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On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
Goovaerts, Marc J.; Linders, Danie͏̈l; Van Weert, Koen; … - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 10-18
Persistent link: https://www.econbiz.de/10009557646
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On the Interplay between Distortion, Mean Value and Haezendonck-Goovaerts Risk Measures
Goovaerts, Marc J. - 2012
In actuarial research, distortion-, mean value- and Haezendonck-Goovaerts risk measures are concepts that are usually treated separately. In this paper we indicate and characterize the relation between the different risk measures, as well as their relation to convex risk measures. While it is...
Persistent link: https://www.econbiz.de/10013114380
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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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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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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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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