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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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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