Narrow search
Showing 1 - 10 of 77
Cover Image
A unified approach to generate risk measures
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe - 2003
The paper derives many existing risk measures and premium principles by minimizing a Markow bound for the tail probability. Our approach involves two exogenous functions v(S) and ... Minimizing a general Markow bound leads to the following unifying equation. [Marc J. Goovaerts, Rob Kaas, Jan...
Persistent link: https://www.econbiz.de/10005847002
Cover Image
Upper and lower bounds for sums of random variables
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. - In: Insurance: Mathematics and Economics 27 (2000) 2, pp. 151-168
Persistent link: https://www.econbiz.de/10005374604
Cover Image
Some new classes of consistent risk measures
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe - In: Insurance: Mathematics and Economics 34 (2004) 3, pp. 505-516
Persistent link: https://www.econbiz.de/10005380617
Cover Image
Comonotonic approximations for optimal portfolio selection problems
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004
Persistent link: https://www.econbiz.de/10002035167
Cover Image
The hurdle-race problem
Vanduffel, Steven; Dhaene, Jan; Goovaerts, Marc J.; Kaas, R. - 2002
Persistent link: https://www.econbiz.de/10001708297
Cover Image
Risk measures, measures for insolvency risk and economical capital allocation
Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - In: Tijdschrift voor economie en management 46 (2001) 4, pp. 545-559
Persistent link: https://www.econbiz.de/10001710410
Cover Image
Upper and lower bounds for sums of random variables
Kaas, R.; Dhaene, Jan; Goovaerts, Marc J. - 2000
Persistent link: https://www.econbiz.de/10001593693
Cover Image
A simple geometric proof that comonotonic risks have the convex-largest sum
Kaas, R.; Dhaene, Jan; Vyncke, David; Goovaerts, Marc J.; … - 2001
Persistent link: https://www.econbiz.de/10001594219
Cover Image
The concept of comonotonicity in actuarial science and finance
Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002
Persistent link: https://www.econbiz.de/10001655460
Cover Image
Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann; Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002
Persistent link: https://www.econbiz.de/10001655514