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~person:"Vanduffel, Steven"
~subject:"Risikomaß"
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TWO-COMPONENT EXTREME VALUE DI...
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Risikomaß
Risk measure
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Vanduffel, Steven
McAleer, Michael
95
Wang, Ruodu
45
Allen, David E.
44
Härdle, Wolfgang
40
Stoja, Evarist
37
Pérez Amaral, Teodosio
32
Fabozzi, Frank J.
31
Daníelsson, Jón
29
Hammoudeh, Shawkat
29
Chang, Chia-Lin
27
Dowd, Kevin
27
Polanski, Arnold
27
Vries, Casper G. de
27
Powell, Robert
24
Caporin, Massimiliano
23
Righi, Marcelo Brutti
23
Rosazza Gianin, Emanuela
23
Embrechts, Paul
22
Jiménez-Martín, Juan-Ángel
22
Račev, Svetlozar T.
22
Rüschendorf, Ludger
22
Dhaene, Jan
20
Giot, Pierre
20
Huschens, Stefan
20
Paolella, Marc S.
20
Wied, Dominik
20
Bernard, Carole
19
Dionne, Georges
19
Stoyanov, Stoyan V.
19
Brandtner, Mario
18
Lucas, André
18
Tsanakas, Andreas
18
Albrecht, Peter
17
Boonen, Tim J.
17
Cai, Jun
17
Mao, Tiantian
17
Chlebus, Marcin
16
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16
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The journal of risk and insurance : the journal of the American Risk and Insurance Association
3
AFI
2
Discussion paper / The Pensions Institute, Cass Business School, City University
2
Insurance / Mathematics & economics
2
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
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Scandinavian actuarial journal
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ECONIS (ZBW)
28
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1
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole
;
Kazzi, Rodrigue
;
Vanduffel, Steven
- In:
Insurance / Mathematics & economics
94
(
2020
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Saved in:
2
Risk bounds for factor models
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
Saved in:
3
How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
Saved in:
4
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
5
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
6
Can a coherent risk measure be too subadditive?
Dhaene, Jan
;
Laeven, R. J. A.
;
Vanduffel, Steven
; …
- In:
The journal of risk and insurance : the journal of the …
75
(
2008
)
2
,
pp. 365-386
Persistent link: https://www.econbiz.de/10003713544
Saved in:
7
Can a coherent risk measure be too subadditive?
Dhaene, Jan
;
Laeven, R. J. A.
;
Vanduffel, Steven
; …
-
2006
Persistent link: https://www.econbiz.de/10003329677
Saved in:
8
Risk measures and comonotonicity : a review
Dhaene, Jan
;
Vanduffel, Steven
;
Tang, Q.
;
Goovaerts, Marc J.
-
2006
Persistent link: https://www.econbiz.de/10003329684
Saved in:
9
A note on optimal lower bound approximations for risk measures of sums of lognormals
Vanduffel, Steven
;
Chen, X.
;
Dhaene, Jan
;
Goovaerts, Marc J.
-
2006
Persistent link: https://www.econbiz.de/10003610847
Saved in:
10
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
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