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On a multiplicative multivariate gamma distribution with applications in insurance

Semenikhine, Vadim; Furman, Edward; Su, Jianxi - In: Risks : open access journal 6 (2018) 3, pp. 1-20

One way to formulate a multivariate probability distribution with dependent univariate margins distributed gamma is by using the closure under convolutions property. This direction yields an additive background risk model, and it has been very well-studied. An alternative way to accomplish the...

Persistent link: https://www.econbiz.de/10011890776

On s-convex and risk aversion

Denuit, Michel; Lefevre, Claude; Scarsini, Marco - In: Theory and decision : an international journal for … 50 (2001) 3, pp. 239-248

Persistent link: https://www.econbiz.de/10001592603

Some consequences of correlation aversion in decision science

Denuit, Michel; Eeckhoudt, Louis; Rey, Béatrice - 2010

Persistent link: https://www.econbiz.de/10003964885

Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes

Denuit, Michel; Rey, Béatrice - In: Mathematical social sciences 60 (2010) 2, pp. 137-143

Persistent link: https://www.econbiz.de/10009300837

Another look at risk apportionment

Denuit, Michel; Rey, Béatrice - In: Journal of mathematical economics 49 (2013) 4, pp. 335-343

Persistent link: https://www.econbiz.de/10010190189

Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance

Denuit, Michel; Liu, Liqun - In: Theory and decision : an international journal for … 76 (2014) 2, pp. 287-295

Persistent link: https://www.econbiz.de/10010345255

Benchmark values for higher order coefficients of relative risk aversion

Denuit, Michel; Rey, Béatrice - In: Theory and decision : an international journal for … 76 (2014) 1, pp. 81-94

Persistent link: https://www.econbiz.de/10010345268

A separation theorem for the weak s-convex orders

Denuit, Michel; Liu, Liqun; Meyer, Jack - In: Insurance / Mathematics & economics 59 (2014), pp. 279-284

Persistent link: https://www.econbiz.de/10010469999

Bivariate almost stochastic dominance

Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Economic theory : official journal of the Society for … 57 (2014) 2, pp. 377-405

Persistent link: https://www.econbiz.de/10010436193

Tradeoffs for downside risk-averse decision-makers and the self-protection decision

Denuit, Michel; Eeckhoudt, Louis; Liu, Liqun; Meyer, Jack - In: The Geneva risk and insurance review 41 (2016) 1, pp. 19-47

Persistent link: https://www.econbiz.de/10011447270