  We discuss the thermodynamics of the O(N) model across the corresponding
phase transition using the two-loop Phi-derivable approximation of the
effective potential and compare our results to those obtained in the literature
within the Hartree-Fock approximation. In particular, we find that in the
chiral limit the transition is of the second order, whereas it was found to be
of the first order in the Hartree-Fock case. These features are manifest at the
level of the thermodynamical observables. We also compute the thermal sigma and
pion masses from the curvature of the effective potential. In the chiral limit,
this guarantees that the Goldstone's theorem is obeyed in the broken phase. A
realistic parametrization of the model in the N=4 case, based on the vacuum
values of the curvature masses, shows that a sigma mass of around 450 MeV can
be obtained. The equations are renormalized after extending our previous
results for the N=1 case by means of the general procedure described in [J.
Berges et al., Annals Phys. 320, 344-398 (2005)]. When restricted to the
Hartree-Fock approximation, our approach reveals that certain problems raised
in the literature concerning the renormalization are completely lifted.
Finally, we introduce a new type of Phi-derivable approximation in which the
gap equation is not solved at the same level of accuracy as the accuracy at
which the potential is computed. We discuss the consistency and applicability
of these types of "hybrid" approximations and illustrate them in the two-loop
case by showing that the corresponding effective potential is renormalizable
and that the transition remains of the second order.
