Similar Search Results

Risk measures and comonotonicity : a review

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

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

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

Comonotonicity

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

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

Closed-form approximations for constant continuous annuities

Vanduffel, Steven; Dhaene, Jan; Valdez, Emiliano - 2005

Persistent link: https://www.econbiz.de/10002723917

Risk measures and dependencies of risks

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

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

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

Modern actuarial risk theory

Kaas, R. - 2001

Persistent link: https://www.econbiz.de/10013531625

Dependence uncertainty bounds for the expectile of a portfolio

Jakobsons, Edgars; Vanduffel, Steven - In: Risks : open access journal 3 (2015) 4, pp. 599-623

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the risky components is not fully specified. First, we summarize methods for obtaining bounds when only the marginal distributions of the components are known, but not their...

Persistent link: https://www.econbiz.de/10011402861

A model-free approach to multivariate option pricing

Bernard, Carole; Bondarenko, Oleg; Vanduffel, Steven - In: Review of derivatives research 24 (2021) 2, pp. 135-155

Persistent link: https://www.econbiz.de/10012549100