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A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Instituut - 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/10011256720

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; 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/10010325273

A Comonotonic Image of Independence for Additive Risk Measures

Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J.A.; … - Tinbergen Institute - 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/10005450808

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

An accurate analytical approximation for the price of a European-style arithmetic Asian option

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003

Persistent link: https://www.econbiz.de/10001769796

Comonotonic approximations for optimal portfolio selection problems

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

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

How to determinie the capital requirement for a portfolio of annuity liabilities

Dhaene, Jan; Goovaerts, Marc J.; Vanduffel, Steven; … - In: Tijdschrift voor economie en management 46 (2001) 4, pp. 533-544

Persistent link: https://www.econbiz.de/10001710404

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

Self exciting threshold interest rates models

Decamps, Marc; Goovaerts, Marc J.; Schoutens, Wim - 2005

Persistent link: https://www.econbiz.de/10002724001

Solvency capital, risk measures and cosmonotonicity : a review

Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, … - 2004

Persistent link: https://www.econbiz.de/10002153389

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