Narrow search
Showing 1 - 10 of 347
Cover Image
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
Cover Image
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
Cover Image
Theory
Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002
Persistent link: https://www.econbiz.de/10001655663
Cover Image
Applications
Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002
Persistent link: https://www.econbiz.de/10001655664
Cover Image
The Concept of Comonotonicity in Actuarial Science and Finance : Applications
Dhaene, Jan - 2006
In an insurance context,one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a certain reference period. It also appears when considering discounted payments related to a single...
Persistent link: https://www.econbiz.de/10012780872
Cover Image
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
Cover Image
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
Cover Image
Comonotonic approximations for optimal portfolio selection problems
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004
Persistent link: https://www.econbiz.de/10002035167
Cover Image
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
Cover Image
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