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Does positive dependence between individual risks increase stop-loss premiums?
Denuit, Michel; Dhaene, Jan; Ribas, Carmen - 2000
Persistent link: https://www.econbiz.de/10001593691
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Some remarks on IBNR evaluation techniques
Goovaerts, Marc J.; Dhaene, Jan; VandenBorre, Eddy; … - 2000
Persistent link: https://www.econbiz.de/10001593727
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A simple geometric proof that comonotonic risks have the convex-largest sum
Kaas, R.; Dhaene, Jan; Vyncke, David; Goovaerts, Marc J.; … - 2001
Persistent link: https://www.econbiz.de/10001594219
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Economic capital allocation derived from risk measures
Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002
Persistent link: https://www.econbiz.de/10001696847
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Some remarks on IBNR evaluation techniques
Goovaerts, Marc J.; Dhaene, Jan; VanDenBorre, Eddy; … - In: Tijdschrift voor economie en management 46 (2001) 4, pp. 525-532
Persistent link: https://www.econbiz.de/10001710394
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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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The concept of comonotonicity in actuarial science and finance
Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002
Persistent link: https://www.econbiz.de/10001655460
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Theory
Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002
Persistent link: https://www.econbiz.de/10001655663
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Applications
Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002
Persistent link: https://www.econbiz.de/10001655664
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The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks
Dhaene, Jan - 2014
In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely determined. A possible approach when it comes to choosing a particular pricing measure is to consider the one that is 'closest' to the physical probability measure P, where...
Persistent link: https://www.econbiz.de/10013048225