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Optimal Capital Allocation Pri...
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Dhaene, Jan
112
Vanduffel, Steven
84
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43
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42
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34
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30
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22
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13
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The final version of this article appeared as: Landsman Z., A. Tsanakas (2006), ''Stochastic ordering of bivariate elliptical distributions'', Statistics and Probability Letters, 76, p.488-494
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
The journal of derivatives : the official publication of the International Association of Financial Engineers
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1
Optimal capital allocation principles
Dhaene, Jan
;
Tsanakas, Andreas
;
Valdez, Emiliano
; …
-
2009
Persistent link: https://www.econbiz.de/10009126885
Saved in:
2
Bounds and approximations for sums of dependent log-elliptical random variables
Valdez, Emiliano
;
Dhaene, Jan
;
Maj, Mateusz
;
Vanduffel, …
- In:
Insurance / Mathematics & economics
44
(
2009
)
3
,
pp. 385-397
Persistent link: https://www.econbiz.de/10009517625
Saved in:
3
How to determinie the capital requirement for a portfolio of annuity liabilities
Dhaene, Jan
;
Goovaerts, Marc J.
;
Vanduffel, Steven
; …
- In:
Tijdschrift voor economie en management
46
(
2001
)
4
,
pp. 533-544
Persistent link: https://www.econbiz.de/10001710404
Saved in:
4
Comonotonic approximations for optimal portfolio selection problems
Dhaene, Jan
;
Vanduffel, Steven
;
Goovaerts, Marc J.
;
Kaas, R.
-
2004
Persistent link: https://www.econbiz.de/10002035167
Saved in:
5
Comonotonic approximations for optimal portfolio selection problems
Dhaene, Jan
;
Vanduffel, Steven
;
Goovaerts, Marc J.
;
Kaas, R.
- In:
The journal of risk and insurance : the journal of the …
72
(
2005
)
2
,
pp. 253-300
Persistent link: https://www.econbiz.de/10002968418
Saved in:
6
Solvency capital, risk measures and cosmonotonicity : a review
Dhaene, Jan
;
Vanduffel, Steven
;
Tang, Qihe
;
Goovaerts, …
-
2004
Persistent link: https://www.econbiz.de/10002153389
Saved in:
7
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:
8
On the evaluation of 'saving-consumption' plans
Vanduffel, Steven
;
Dhaene, Jan
;
Goovaerts, Marc J.
- In:
Journal of pension economics and finance
4
(
2005
)
1
,
pp. 17-30
Persistent link: https://www.econbiz.de/10002839805
Saved in:
9
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:
10
On the evaluation of "saving-consumption" plans
Vanduffel, Steven
;
Dhaene, Jan
;
Goovaerts, Marc J.
-
2004
Persistent link: https://www.econbiz.de/10002263824
Saved in:
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