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Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J. - In: Tijdschrift voor economie en management 52 (2007) 2, pp. 265-278

Persistent link: https://www.econbiz.de/10003503081

A note on optimal lower bound approximations for risk measures of sums of lognormals

Vanduffel, Steven; Chen, X.; Dhaene, Jan; Goovaerts, Marc J. - 2006

Persistent link: https://www.econbiz.de/10003610847

Risk measures and comonotonicity : a review

Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006

Persistent link: https://www.econbiz.de/10003329684

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

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

Risk measures and dependencies of risks

Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc J. - 2004

Persistent link: https://www.econbiz.de/10002263800

Actuarial theory for dependent risks : measures, orders and models

Denuit, Michel; Dhaene, Jan; Goovaerts, Marc J.; Kaas, R. - 2005

Persistent link: https://www.econbiz.de/10013489994

Upper bounds for strictly concave distortion risk measures on moment spaces

Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151

Persistent link: https://www.econbiz.de/10011929851

Robust distortion risk measures

Pesenti, Silvana M.; Vanduffel, Steven - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 774-818

Persistent link: https://www.econbiz.de/10014565274

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