Details about Ann De Schepper

Access statistics for papers by Ann De Schepper.

Last updated 2012-03-02. Update your information in the RePEc Author Service.

Short-id: pde208

Working Papers

2010

1. A new graphical tool for copula selection
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (1)

2009

2. Optimal moment bounds under multiple shape constraints
   Working Papers, University of Antwerp, Faculty of Business and Economics

2008

3. Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (1)

2007

4. A copula test space model: How to avoid the wrong copula choice
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (3)

2006

5. Risk management under incomplete information: Exact upper and lower bounds for the Value at Risk
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (1)
6. Risk management under incomplete information: Exact upper and lower bounds for the probability to reach extreme values
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (1)
7. The comonotonicity coefficient: A new measure of positive dependence in a multivariate setting
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (2)

2004

8. On the pricing of options under limited information
   Working Papers, University of Antwerp, Faculty of Business and Economics

2002

9. Transition probabilities for diffusion equations by means of path integrals
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (2)

2001

10. Bounds for present value functions with stochastic interest rates and stochastic volatility
    Working Papers, University of Antwerp, Faculty of Business and Economics View citations (1)
    See also Journal Article Bounds for present value functions with stochastic interest rates and stochastic volatility, Insurance: Mathematics and Economics, Elsevier (2002) View citations (1) (2002)

Undated

11. Copulas and the distribution of cash flows with mixed signs
    Working Papers, University of Antwerp, Faculty of Business and Economics
12. Discrete annuities using truncate stochastic interest rates: The case of a Vasicek and Ho-Lee model
    Working Papers, University of Antwerp, Faculty of Business and Economics
13. General annuities under truncate stochastic interest rates
    Working Papers, University of Antwerp, Faculty of Business and Economics View citations (2)
14. Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries
    Working Papers, University of Antwerp, Faculty of Business and Economics

Journal Articles

2011

1. Are blue chip stock market indices good proxies for all-shares market indices? The case of the Brussels Stock Exchange 1833–20051
   Financial History Review, 2011, 18, (3), 277-308 View citations (11)

2009

2. Spectral decomposition of optimal asset-liability management
   Journal of Economic Dynamics and Control, 2009, 33, (3), 710-724 View citations (3)

2005

3. On the Use of Copulas for Calculating the Present Value of a General Cash Flow
   Review of Business and Economic Literature, 2005, L, (1), 69-94
4. Pricing Exotic Options under Local Volatility
   Review of Business and Economic Literature, 2005, L, (1), 49-68

2003

5. On the Distribution of Cash Flows Using Esscher Transforms
   Journal of Risk & Insurance, 2003, 70, (3), 563-575 View citations (5)

2002

6. Bounds for present value functions with stochastic interest rates and stochastic volatility
   Insurance: Mathematics and Economics, 2002, 31, (1), 87-103 View citations (1)
   See also Working Paper Bounds for present value functions with stochastic interest rates and stochastic volatility, Working Papers (2001) View citations (1) (2001)

1999

7. The GARCH(1,1)-M model: results for the densities of the variance and the mean
   Insurance: Mathematics and Economics, 1999, 24, (1-2), 83-94 View citations (1)

1997

8. A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
   Insurance: Mathematics and Economics, 1997, 20, (1), 35-41 View citations (7)
9. IBNR reserves under stochastic interest rates
   Insurance: Mathematics and Economics, 1997, 21, (3), 225-244 View citations (1)

1994

10. An analytical inversion of a Laplace transform related to annuities certain
    Insurance: Mathematics and Economics, 1994, 14, (1), 33-37 View citations (17)

1992

11. Interest randomness in annuities certain
    Insurance: Mathematics and Economics, 1992, 11, (4), 271-281 View citations (9)
12. Some further results on annuities certain with random interest
    Insurance: Mathematics and Economics, 1992, 11, (4), 283-290 View citations (5)
13. The Laplace transform of annuities certain with exponential time distribution
    Insurance: Mathematics and Economics, 1992, 11, (4), 291-294 View citations (12)