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A simple geometric proof that comonotonic risks have the convex-largest sum

Kaas, R.; Dhaene, Jan; Vyncke, David; Goovaerts, Marc J.; … - 2001

Persistent link: https://www.econbiz.de/10001594219

The concept of comonotonicity in actuarial science and finance

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655460

Theory

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655663

Applications

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655664

Bounds for present value functions with stochastic interest rates and stochastic volatility

De Schepper, Ann; Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002

Persistent link: https://www.econbiz.de/10001655514

On the distribution of cash flows using Esscher transforms

Vyncke, David; Goovaerts, Marc J.; De Schepper, Ann; … - In: The journal of risk and insurance : the journal of the … 70 (2003) 3, pp. 563-575

Persistent link: https://www.econbiz.de/10001787185

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004

Persistent link: https://www.econbiz.de/10002035167

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300

Persistent link: https://www.econbiz.de/10002968418

Comonotonic Approximations for Optimal Portfolio Selection Problems

Dhaene, Jan - 2015

We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of 'constant mix' portfolios.First, we consider the portfolio...

Persistent link: https://www.econbiz.de/10013039513

Stable laws and the distribution of cash-flows

Goovaerts, Marc J.; De Schepper, Ann; Vyncke, David; … - 2001

Persistent link: https://www.econbiz.de/10001633701