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Can a coherent risk measure be too subadditive?
Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 365-386
Persistent link: https://www.econbiz.de/10003713544
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Financial bounds for insurance claims
Bernard, Carole; Vanduffel, Steven - In: The journal of risk and insurance : the journal of the … 81 (2014) 1, pp. 27-56
Persistent link: https://www.econbiz.de/10010340238
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Optimal capital allocation principles
Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano; … - In: The journal of risk and insurance : the journal of the … 79 (2012) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009517734
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Comonotonic approximations for optimal portfolio selection problems
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300
Persistent link: https://www.econbiz.de/10002968418
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Value-at-risk bounds with variance constraints
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 923-959
Persistent link: https://www.econbiz.de/10011749149
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Optimal Capital Allocation Principles
Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano A.; … - In: The journal of risk and insurance : the journal of the … 79 (2012) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10009835389