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~person:"Boonen, Tim J."
~person:"Uryasev, Stan"
~person:"Vanduffel, Steven"
~subject:"Abteilung"
~subject:"Allocation"
~subject:"Portfolio-Management"
~subject:"Risk"
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TWO-COMPONENT EXTREME VALUE DI...
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Abteilung
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Risk
Risikomaß
60
Risk measure
60
Theorie
42
Theory
42
Portfolio selection
30
Measurement
18
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18
Risiko
17
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16
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15
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10
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conditional value-at-risk
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38
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Boonen, Tim J.
Uryasev, Stan
Vanduffel, Steven
McAleer, Michael
37
Wang, Ruodu
36
Stoja, Evarist
27
Hammoudeh, Shawkat
22
Rosazza Gianin, Emanuela
22
Pérez Amaral, Teodosio
19
Righi, Marcelo Brutti
19
Fabozzi, Frank J.
18
Rüschendorf, Ludger
18
Vries, Casper G. de
18
Brandtner, Mario
17
Härdle, Wolfgang
17
Polanski, Arnold
17
Daníelsson, Jón
16
Cai, Jun
15
Dhaene, Jan
14
Mao, Tiantian
14
Tsanakas, Andreas
14
Bellini, Fabio
12
Bernard, Carole
12
Embrechts, Paul
12
Huschens, Stefan
12
Janabi, Mazin A. M. al
12
Jiménez-Martín, Juan-Ángel
12
Kürsten, Wolfgang
12
Cheung, Ka Chun
11
Furman, Edward
11
Hyung, Namwon
11
Kim, Young Shin
11
Tang, Qihe
11
Albrecht, Peter
10
Allen, David E.
10
Dowd, Kevin
10
Liu, Haiyan
10
Munari, Cosimo-Andrea
10
Rengifo, Erick W.
10
Stoyanov, Stoyan V.
10
Tiwari, Aviral Kumar
10
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Journal of risk and financial management : JRFM
4
European journal of operational research : EJOR
3
Insurance / Mathematics & economics
3
Journal of banking & finance
3
Scandinavian actuarial journal
3
AFI
2
Finance and stochastics
2
The journal of risk and insurance : the journal of the American Risk and Insurance Association
2
Astin bulletin : the journal of the International Actuarial Association
1
Discussion paper / The Pensions Institute, Cass Business School, City University
1
International journal of theoretical and applied finance
1
Journal of risk
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Nonconvex optimization and its applications : NOIA
1
Operations research
1
Research report / Katholieke Universiteit Leuven, Faculty of Economics and Applied Economics, Department of Applied Economics
1
The European journal of finance
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ECONIS (ZBW)
38
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole
;
Rüschendorf, Ludger
;
Vanduffel, Steven
; …
- In:
The European journal of finance
23
(
2017
)
4/6
,
pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
Saved in:
5
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
Saved in:
6
The impact of correlation on (Range) Value-at-Risk
Bernard, Carole
;
De Vecchi, Corrado
;
Vanduffel, Steven
- In:
Scandinavian actuarial journal
2023
(
2023
)
6
,
pp. 531-564
Persistent link: https://www.econbiz.de/10014383858
Saved in:
7
Risk measures and comonotonicity : a review
Dhaene, Jan
;
Vanduffel, Steven
;
Tang, Q.
;
Goovaerts, Marc J.
-
2006
Persistent link: https://www.econbiz.de/10003329684
Saved in:
8
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
Saved in:
9
Competitive equilibria with distortion risk measures
Boonen, Tim J.
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 703-728
Persistent link: https://www.econbiz.de/10011397655
Saved in:
10
Conditional value-at-risk and average value-at-risk : estimation and asymptotics
Chun, So Yeon
;
Shapiro, Alex
;
Uryasev, Stan
- In:
Operations research
60
(
2012
)
4
,
pp. 739-756
Persistent link: https://www.econbiz.de/10009627501
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