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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

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

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

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

Tail mutual exclusivity and Tail-VaR lower bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - In: Scandinavian actuarial journal (2017) 1, pp. 88-104

Persistent link: https://www.econbiz.de/10011771971

An approximation method for risk aggregations and capital allocation rules based on additive risk factor models

Zhou, Ming; Dhaene, Jan; Yao, Jing - In: Insurance / Mathematics & economics 79 (2018), pp. 92-100

Persistent link: https://www.econbiz.de/10011825398

Optimal capital allocation principles

Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano; … - 2009

Persistent link: https://www.econbiz.de/10009126885

Optimal portfolio selection for cash-flows with bounded capital at risk

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan; Van … - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 103-114

Persistent link: https://www.econbiz.de/10002749749

Comparing approximations for risk measures of sums of non-independent lognormal random variables

Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan - 2004

Persistent link: https://www.econbiz.de/10002153412

Can a coherent risk measure be too subadditive?

Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - 2004

Persistent link: https://www.econbiz.de/10002263701

An overview of comonotonicity and its applications in finance and insurance

Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle - In: Advanced mathematical methods for finance, (pp. 155-179). 2011

Persistent link: https://www.econbiz.de/10008991312

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

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