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An optimization approach to the dynamic allocation of economic capital
Laeven, Roger J. A.; Goovaerts, Marc J. - In: Insurance: Mathematics and Economics 35 (2004) 2, pp. 299-319
Persistent link: https://www.econbiz.de/10005374626
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...
Persistent link: https://www.econbiz.de/10011334834
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
Persistent link: https://www.econbiz.de/10001993311
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Managing economic and virtual economic capital within financial conglomerates
Goovaerts, Marc J.; Van den Borre, Eddy; Laeven, Roger J. A. - 2003
Persistent link: https://www.econbiz.de/10001891652
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Decision principles derived from risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302
Persistent link: https://www.econbiz.de/10008747061
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A note on additive risk measures in rank-dependent utility
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 187-189
Persistent link: https://www.econbiz.de/10008654259
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Worst case risk measurement : back to the future?
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 380-392
Persistent link: https://www.econbiz.de/10009404700
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Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
Genest, Christian; Gerber, Hans U.; Goovaerts, Marc J.; … - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 143-145
Persistent link: https://www.econbiz.de/10009517649