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Bowley reinsurance with asymmetric information on the insurer's risk preferences
Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 623-644
Persistent link: https://www.econbiz.de/10012624638
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Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414
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Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
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Risk sharing with multiple indemnity environments
Asimit, Alexandru V.; Boonen, Tim J.; Chi, Yichun; … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 587-603
Persistent link: https://www.econbiz.de/10013205971
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Static and dynamic risk capital allocations with the Euler rule
Boonen, Tim J. - In: Journal of risk 22 (2019) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10013177092
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Capital allocation for portfolios with non-linear risk aggregation
Boonen, Tim J.; Tsanakas, Andreas; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 72 (2017), pp. 95-106
Persistent link: https://www.econbiz.de/10011694391
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Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
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A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287
Persistent link: https://www.econbiz.de/10012157603
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Robust distortion risk measures
Bernard, Carole; Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818
Persistent link: https://www.econbiz.de/10014565274