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Slijkerman, Jan Frederik - 2006

Persistent link: https://www.econbiz.de/10003354596

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

Insurance sector risk

Slijkerman, Jan Frederik - 2006

the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since … reinsurance is important for the capacity of insurers, we measure risk dependence among European insurers and reinsurers. The … results point to a relatively low insurance sector wide risk. Dependence among insurers is higher than among reinsurers. …

Persistent link: https://www.econbiz.de/10011349192

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

Risk diversification by European financial conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - 2005

Persistent link: https://www.econbiz.de/10003233496

Risk aversion, prudence, and asset allocation : a review and some new developments

Denuit, Michel; Eeckhoudt, Louis R. - In: Theory and decision : an international journal for … 80 (2016) 2, pp. 227-243

Persistent link: https://www.econbiz.de/10011593667