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The concept of comonotonicity in actuarial science and finance: theory

Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; … - In: Insurance: Mathematics and Economics 31 (2002) 1, pp. 3-33

Persistent link: https://www.econbiz.de/10005374529

The Herd Behavior Index : A New Measure for the Implied Degree of Co-Movement in Stock Markets

Dhaene, Jan - 2012

We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).The degree of co-movement in a stock...

Persistent link: https://www.econbiz.de/10013114109

Editorial

Goovaerts, M. J.; Kaas, R.; De Vylder, F. - In: Insurance: Mathematics and Economics 10 (1992) 4, pp. 231-231

Persistent link: https://www.econbiz.de/10005374950

Extremal values of stop-loss premiums under moment constraints

Kaas, R.; Goovaerts, M. J. - In: Insurance: Mathematics and Economics 5 (1986) 4, pp. 279-283

Persistent link: https://www.econbiz.de/10005374987

Best bounds for positive distributions with fixed moments

Kaas, R.; Goovaerts, M. J. - In: Insurance: Mathematics and Economics 5 (1986) 1, pp. 87-92

Persistent link: https://www.econbiz.de/10005374994

Application of the problem of moments to derive bounds on integrals with integral constraints

Goovaerts, M. J.; Kaas, R. - In: Insurance: Mathematics and Economics 4 (1985) 2, pp. 99-111

Persistent link: https://www.econbiz.de/10005375313

General bounds on ruin probabilities

Kaas, R.; Goovaerts, M. J. - In: Insurance: Mathematics and Economics 5 (1986) 2, pp. 164-167

Persistent link: https://www.econbiz.de/10005375398

Stochastic processes defined from a Lagrangian

De Vylder, F.; Goovaerts, M. J.; Kaas, R. - In: Insurance: Mathematics and Economics 11 (1992) 1, pp. 55-69

Persistent link: https://www.econbiz.de/10005375407

Optimal reinsurance in relation to ordering of risks

Van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. - In: Insurance: Mathematics and Economics 8 (1989) 1, pp. 11-17

Persistent link: https://www.econbiz.de/10005375458

Properties of the Esscher premium calculation principle

Van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. - In: Insurance: Mathematics and Economics 8 (1989) 4, pp. 261-267

Persistent link: https://www.econbiz.de/10005380586