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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 comonotonic image of independence for additive risk measures

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

Persistent link: https://www.econbiz.de/10001993311

Decision principles derived from risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302

Persistent link: https://www.econbiz.de/10008747061

A note on additive risk measures in rank-dependent utility

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 187-189

Persistent link: https://www.econbiz.de/10008654259

Worst case risk measurement : back to the future?

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 380-392

Persistent link: https://www.econbiz.de/10009404700

Worst VaR scenarios with given marginals and measures of association

Kaas, R.; Laeven, Roger J. A.; Nelsen, Roger B. - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 146-158

Persistent link: https://www.econbiz.de/10009517648

Practical actuarial credibility models

Kaas, R.; Dannenburg, Dennis Ramon; Goovaerts, Marc J. - 1996

Persistent link: https://www.econbiz.de/10000966783

Editorial: The impact factor of IME

Kaas, R.; Gerber, Hans U.; Goovaerts, Marc J.; Shiu, … - In: Insurance / Mathematics & economics 62 (2015), pp. 1-4

Persistent link: https://www.econbiz.de/10011312094

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - 2004

Persistent link: https://www.econbiz.de/10002035167

The hurdle-race problem

Vanduffel, Steven; Dhaene, Jan; Goovaerts, Marc J.; Kaas, R. - 2002

Persistent link: https://www.econbiz.de/10001708297

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