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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

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

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

Closed-form approximations for constant continuous annuities

Vanduffel, Steven; Dhaene, Jan; Valdez, Emiliano - 2005

Persistent link: https://www.econbiz.de/10002723917

Cost-efficient payoffs under model ambiguity

Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and stochastics 28 (2024) 4, pp. 965-997

Persistent link: https://www.econbiz.de/10015130486

Optimal payoffs under smooth ambiguity

Chen, An; Vanduffel, Steven; Wilke, Morten - In: European journal of operational research : EJOR 320 (2025) 3, pp. 754-764

Persistent link: https://www.econbiz.de/10015085373

Robust distortion risk measures

Bernard, Carole; Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818

Persistent link: https://www.econbiz.de/10014565274

Risk measures and comonotonicity : a review

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

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

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...

Persistent link: https://www.econbiz.de/10011402861

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119