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Almost expectation and excess dependence notions

Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Theory and decision : an international journal for … 79 (2015) 3, pp. 375-401

Persistent link: https://www.econbiz.de/10011377445

Risk apportionment and multiply monotone targets

Denuit, Michel - In: Mathematical social sciences 92 (2018), pp. 74-77

Persistent link: https://www.econbiz.de/10012109086

Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines

Denuit, Michel - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 591-617

Persistent link: https://www.econbiz.de/10012116366

Preserving the Rothschild-Stiglitz type increase in risk with background risk : a characterization

Denuit, Michel; Mesfioui, Mhamed - In: Insurance / Mathematics & economics 72 (2017), pp. 1-5

Persistent link: https://www.econbiz.de/10011691479

Tail mutual exclusivity and Tail-VaR lower bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - In: Scandinavian actuarial journal (2017) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10011771971

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

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

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

Non-differentiable transformations preserving stochastic dominance

Denuit, Michel; Eeckhoudt, Louis R.; Jokung Nguena, Octave - In: Journal of the Operational Research Society : OR 64 (2013) 9, pp. 1441-1446

Persistent link: https://www.econbiz.de/10009788603

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

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

Tail mutual exclusivity and tail-var lower bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - 2015

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

Persistent link: https://www.econbiz.de/10010477089