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Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119

Risk bounds for factor models

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659

Persistent link: https://www.econbiz.de/10011944414

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

Bowley reinsurance with asymmetric information on the insurer's risk preferences

Boonen, Tim J.; Cheung, Ka Chun; Zhang, Yiying - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 623-644

Persistent link: https://www.econbiz.de/10012624638

Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Mathematics and financial economics 9 (2015) 2, pp. 149-167

Persistent link: https://www.econbiz.de/10011349444

Portfolio optimization with quasiconvex risk measures

Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059

Persistent link: https://www.econbiz.de/10011409050

Time-consistency of risk measures : how strong is such a property?

Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 287-317

Persistent link: https://www.econbiz.de/10012065238

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10011334834

A generalization of the Aumann-Shapley value for risk capital allocation problems

Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287

Persistent link: https://www.econbiz.de/10012157603

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