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Reducing risk by merging counter-monotonic risks

Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe - In: Insurance / Mathematics & economics 54 (2014), pp. 58-65

Persistent link: https://www.econbiz.de/10010259677

Risk-minimizing reinsurance protection for multivariate risks

Cheung, Ka Chun; Sung, K. C. J.; Yam, Sheung Chi Phillip - In: The journal of risk and insurance : the journal of the … 81 (2014) 1, pp. 219-236

Persistent link: https://www.econbiz.de/10010340221

On the diversification effect in solvency II for extremely dependent risks

Chen, Yongzhao; Cheung, Ka Chun; Yam, Sheung Chi Phillip; … - In: Risks : open access journal 11 (2023) 8, pp. 1-22

In this article, we investigate the validity of diversification effect under extreme-value copulas, when the marginal risks of the portfolio are identically distributed, which can be any one having a finite endpoint or belonging to one of the three maximum domains of attraction. We show that...

Persistent link: https://www.econbiz.de/10014370410

Risk-adjusted Bowley reinsurance under distorted probabilities

Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying - In: Insurance / Mathematics & economics 86 (2019), pp. 64-72

Persistent link: https://www.econbiz.de/10012058684

Inter-temporal mutual-fund management

Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, … - In: Mathematical finance : an international journal of … 32 (2022) 3, pp. 825-877

Persistent link: https://www.econbiz.de/10013331049

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655663

Dhaene, Jan; Denuit, Michel; Goovaerts, Marc J.; Kaas, R.; … - 2002

Persistent link: https://www.econbiz.de/10001655664

Almost expectation and excess dependence notions

Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Theory and decision : an international journal for … 79 (2015) 3, pp. 375-401

Persistent link: https://www.econbiz.de/10011377445

Max-factor individual risk models with application to credit portfolios

Denuit, Michel; Kiriliouk, Anna; Segers, Johan - In: Insurance / Mathematics & economics 62 (2015), pp. 162-172

Persistent link: https://www.econbiz.de/10011312076

Tradeoffs for downside risk-averse decision-makers and the self-protection decision

Denuit, Michel; Eeckhoudt, Louis R.; Liu, Liqun; Meyer, Jack - In: The Geneva risk and insurance review 41 (2016) 1, pp. 19-47

Persistent link: https://www.econbiz.de/10011447270

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