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~person:"Boonen, Tim J."
~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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Risikomaß
43
Risk measure
43
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35
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35
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19
Risiko
14
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13
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13
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asymmetric information
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Boonen, Tim J.
Vanduffel, Steven
McAleer, Michael
37
Wang, Ruodu
35
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
Polanski, Arnold
17
Daníelsson, Jón
16
Härdle, Wolfgang
16
Cai, Jun
14
Dhaene, Jan
14
Mao, Tiantian
14
Tsanakas, Andreas
14
Bellini, Fabio
12
Embrechts, Paul
12
Huschens, Stefan
12
Janabi, Mazin A. M. al
12
Jiménez-Martín, Juan-Ángel
12
Kürsten, Wolfgang
12
Bernard, Carole
11
Cheung, Ka Chun
11
Furman, Edward
11
Hyung, Namwon
11
Tang, Qihe
11
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10
Allen, David E.
10
Dowd, Kevin
10
Kim, Young Shin
10
Liu, Haiyan
10
Munari, Cosimo-Andrea
10
Rengifo, Erick W.
10
Stoyanov, Stoyan V.
10
Uryasev, Stan
10
Balbás de la Corte, Alejandro
9
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3
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3
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2
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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
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1
Finance and stochastics
1
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1
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ECONIS (ZBW)
26
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
8
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:
9
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
Saved in:
10
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
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