Similar Search Results - EconBiz

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

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

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

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

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

Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality

Willemse, W.J.; Kaas, R. - 2007

Persistent link: https://www.econbiz.de/10003482427

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