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Optimal Capital Allocation Pri...
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Risk measure
Theorie
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English
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Vanduffel, Steven
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Dhaene, Jan
21
Tsanakas, Andreas
21
Bernard, Carole
16
Rüschendorf, Ludger
9
Bignozzi, Valeria
6
Goovaerts, Marc J.
6
Millossovich, Pietro
6
Pesenti, Silvana M.
6
Denuit, Michel
4
Kazzi, Rodrigue
4
Cheung, Ka Chun
3
Darkiewicz, G.
3
Feng, Runhuan
3
Jing, Xiaochen
3
Laeven, R. J. A.
3
Valdez, Emiliano
3
Wang, Ruodu
3
Yao, Jing
3
Boonen, Tim J.
2
Cornilly, Dries
2
De Vecchi, Corrado
2
Kaas, R.
2
Linders, Daniël
2
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Tang, Qihe
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Barigou, Karim
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Insurance / Mathematics & economics
8
Scandinavian actuarial journal
4
The journal of risk and insurance : the journal of the American Risk and Insurance Association
4
AFI
3
European journal of operational research : EJOR
3
Discussion paper / The Pensions Institute, Cass Business School, City University
2
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2
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1
The final version of this article appeared as: Tsanakas A. (2004), ''Dynamic risk capital allocation with distortion measures'', Insurance: Mathematics and Economics, 35(2), p.223-243
1
Tijdschrift voor economie en management
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Optimal capital allocation principles
Dhaene, Jan
;
Tsanakas, Andreas
;
Valdez, Emiliano
; …
-
2009
Persistent link: https://www.econbiz.de/10009126885
Saved in:
2
Optimal capital allocation principles
Dhaene, Jan
;
Tsanakas, Andreas
;
Valdez, Emiliano
; …
- In:
The journal of risk and insurance : the journal of the …
79
(
2012
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009517734
Saved in:
3
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
Saved in:
4
Can a coherent risk measure be too subadditive?
Dhaene, Jan
;
Laeven, R. J. A.
;
Vanduffel, Steven
; …
-
2004
Persistent link: https://www.econbiz.de/10002263701
Saved in:
5
Can a coherent risk measure be too subadditive?
Dhaene, Jan
;
Laeven, R. J. A.
;
Vanduffel, Steven
; …
-
2006
Persistent link: https://www.econbiz.de/10003329677
Saved in:
6
Risk measures and comonotonicity : a review
Dhaene, Jan
;
Vanduffel, Steven
;
Tang, Q.
;
Goovaerts, Marc J.
-
2006
Persistent link: https://www.econbiz.de/10003329684
Saved in:
7
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
Saved in:
8
Can a coherent risk measure be too subadditive?
Dhaene, Jan
;
Laeven, R. J. A.
;
Vanduffel, Steven
; …
- In:
The journal of risk and insurance : the journal of the …
75
(
2008
)
2
,
pp. 365-386
Persistent link: https://www.econbiz.de/10003713544
Saved in:
9
The tail Stein's identity with applications to risk measures
Landsman, Zinoviy
;
Valdez, Emiliano
- In:
North American actuarial journal
20
(
2016
)
4
,
pp. 313-326
Persistent link: https://www.econbiz.de/10011721394
Saved in:
10
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
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