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Records in athletics through extreme - value theory

Einmahl, John H. J. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003384924

Worst VaR scenarios : a remark

Laeven, Roger J. A. - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 159-163

Persistent link: https://www.econbiz.de/10009517647

Law-invariant return and star-shaped risk measures

Laeven, Roger J. A.; Rosazza Gianin, Emanuela; Zullino, … - In: Insurance : mathematics and economics 117 (2024), pp. 140-153

Persistent link: https://www.econbiz.de/10015066962

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

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

Decision principles derived from risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302

Persistent link: https://www.econbiz.de/10008747061

Asymptotically distribution-free goodness-of-fit testing for tail copulas

Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014

Persistent link: https://www.econbiz.de/10011283328

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10011334834

Optimal stopping under uncertainty in drift and jump intensity

Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209

Persistent link: https://www.econbiz.de/10011956978

Robust optimal risk sharing and risk premia in expanding pools

Knispel, Thomas; Laeven, Roger J. A.; Svindland, Gregor - In: Insurance / Mathematics & economics 70 (2016), pp. 182-195

Persistent link: https://www.econbiz.de/10011597263