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Can a coherent risk measure be too subadditive?

Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - In: The journal of risk and insurance : the journal of the … 75 (2008) 2, pp. 365-386

Persistent link: https://www.econbiz.de/10003713544

Can a coherent risk measure be too subadditive?

Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - 2006

Persistent link: https://www.econbiz.de/10003329677

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

Can a coherent risk measure be too subadditive?

Dhaene, Jan; Laeven, R. J. A.; Vanduffel, Steven; … - 2004

Persistent link: https://www.econbiz.de/10002263701

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

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 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

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

Properties of a risk measure derived from ruin theory

Trufin, Julien; Albrecher, Hansjörg; Denuit, Michel M. - In: The Geneva risk and insurance review 36 (2011) 2, pp. 174-188

Persistent link: https://www.econbiz.de/10009389178