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Actuarial theory for dependent risks : measures, orders and models

Denuit, Michel; Dhaene, Jan; Goovaerts, Marc J.; Kaas, R. - 2005

Persistent link: https://www.econbiz.de/10013489994

Risk measures, measures for insolvency risk and economical capital allocation

Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - In: Tijdschrift voor economie en management 46 (2001) 4, pp. 545-559

Persistent link: https://www.econbiz.de/10001710410

Risk measures and comonotonicity : a review

Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006

Persistent link: https://www.econbiz.de/10003329684

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

A Multivariate Dependence Measure for Aggregating Risks

Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David - 2013

To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate the distribution function of a sum of random variables. As the individual risk factors are often positively dependent, the classical convolution technique will not be sufficient. On the other...

Persistent link: https://www.econbiz.de/10014154509