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Risk measures and comonotonicity : a review

Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006

Persistent link: https://www.econbiz.de/10003329684

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

Comonotonicity

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J. - In: Tijdschrift voor economie en management 52 (2007) 2, pp. 265-278

Persistent link: https://www.econbiz.de/10003503081

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

Persistent link: https://www.econbiz.de/10011418916

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

A multivariate dependence measure for aggregating risks

Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David - 2013

Persistent link: https://www.econbiz.de/10010204096

Non-differentiable transformations preserving stochastic dominance

Denuit, Michel; Eeckhoudt, Louis R.; Jokung Nguena, Octave - In: Journal of the Operational Research Society : OR 64 (2013) 9, pp. 1441-1446

Persistent link: https://www.econbiz.de/10009788603

Reducing risk by merging counter-monotonic risks

Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance / Mathematics & economics 54 (2014), pp. 58-65

Persistent link: https://www.econbiz.de/10010259677

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