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GlueVaR measures in capital allocation applications
Belles-Sampera, Jaume; Guillén, Montserrat; Santolino, … - In: Insurance / Mathematics & economics 58 (2014), pp. 132-137
Persistent link: https://www.econbiz.de/10010437586
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Factor risk quantification in annuity models
Karabey, Uǧur; Kleinow, Torsten; Cairns, Andrew - In: Insurance / Mathematics & economics 58 (2014), pp. 34-45
Persistent link: https://www.econbiz.de/10010437638
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Tail comonotonicity : properties, constructions, and asymptotic additivity of risk measures
Hua, Lei; Joe, Harry - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 492-503
Persistent link: https://www.econbiz.de/10009672166
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Risk measures with comonotonic subadditivity or convexity and respecting sotchastic orders
Song, Yongsheng; Yan, Jia-an - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 459-465
Persistent link: https://www.econbiz.de/10009517548
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Optimal reinsurance with general risk measures
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 374-384
Persistent link: https://www.econbiz.de/10009517626
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To split or not to split : capital allocation with convex risk measures
Tsanakas, Andreas - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 268-277
Persistent link: https://www.econbiz.de/10009517638
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Worst case risk measurement : back to the future?
Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 380-392
Persistent link: https://www.econbiz.de/10009404700
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Sensitivity of risk measures with respect to the normal approximation of total claim distributions
Krätschmer, Volker; Zähle, Henryk - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 335-344
Persistent link: https://www.econbiz.de/10009404714
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Analytical calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 636-648
Persistent link: https://www.econbiz.de/10009683199
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Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi; Meng, LiLi; Wang, Yujing; Shen, Qingjie - In: Insurance / Mathematics & economics 68 (2016), pp. 92-100
Persistent link: https://www.econbiz.de/10011492551