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Risk measures and comonotonicity : a review
Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006
Persistent link: https://www.econbiz.de/10003329684
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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
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Comonotonicity
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J. - In: Tijdschrift voor economie en management 52 (2007) 2, pp. 265-278
Persistent link: https://www.econbiz.de/10003503081
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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
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Risk measures and dependencies of risks
Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc J. - 2004
Persistent link: https://www.econbiz.de/10002263800
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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
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Comparing approximations for risk measures of sums of non-independent lognormal random variables
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004
Persistent link: https://www.econbiz.de/10002153412
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A comonotonic image of independence for additive risk measures
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004
Persistent link: https://www.econbiz.de/10001993311
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A note on additive risk measures in rank-dependent utility
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 187-189
Persistent link: https://www.econbiz.de/10008654259
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Worst case risk measurement : back to the future?
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 380-392
Persistent link: https://www.econbiz.de/10009404700