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Tail mutual exclusivity and tail-var lower bounds
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - 2015
Persistent link: https://www.econbiz.de/10010486345
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On partial hedging and counter-monotonic sums
Cheung, Ka Chun; Dhaene, Jan; Tang, Qihe - 2011
Persistent link: https://www.econbiz.de/10009485837
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Explicit solutions for a general class of optimal allocation problems
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung … - 2013
Persistent link: https://www.econbiz.de/10009731217
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Ordered random vectors and equality in distribution
Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; … - 2013
Persistent link: https://www.econbiz.de/10009731218
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Optimal capital allocation principles
Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano; … - 2009
Persistent link: https://www.econbiz.de/10009126885
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On the suboptimality of path-dependent pay-offs in Lévy markets
Vanduffel, Steven; Chernih, Andrew; Schoutens, Wim - 2007
Persistent link: https://www.econbiz.de/10003613733
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Basel II : capital requirements for equity investment portfolios
Suarez, Fabian; Dhaene, Jan; Henrard, Luc; Vanduffel, Steven - 2006
Persistent link: https://www.econbiz.de/10003610788
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A note on optimal lower bound approximations for risk measures of sums of lognormals
Vanduffel, Steven; Chen, X.; Dhaene, Jan; Goovaerts, Marc J. - 2006
Persistent link: https://www.econbiz.de/10003610847
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Asset correlations: shifting tides
Chernih, Andrew (contributor); Vanduffel, Steven (contributor) - 2006
Persistent link: https://www.econbiz.de/10003611637
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Some results on Denault's capital allocation rule
Vanduffel, Steven (contributor); Dhaene, Jan (contributor) - 2006
Persistent link: https://www.econbiz.de/10003572198