Narrow search
Showing 1 - 10 of 13
Cover Image
Bounds and approximations for sums of dependent log-elliptical random variables
Valdez, Emiliano; Dhaene, Jan; Maj, Mateusz; Vanduffel, … - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 385-397
Persistent link: https://www.econbiz.de/10009517625
Cover Image
A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Cover Image
Range value-at-risk bounds for unimodal distributions under partial information
Bernard, Carole; Kazzi, Rodrigue; Vanduffel, Steven - In: Insurance / Mathematics & economics 94 (2020), pp. 9-24
Persistent link: https://www.econbiz.de/10012419085
Cover Image
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
Cover Image
A stein type lemma for the multivariate generalized hyperbolic distribution
Vanduffel, Steven; Yao, Jing - In: European journal of operational research : EJOR 261 (2017) 2, pp. 606-612
Persistent link: https://www.econbiz.de/10011738057
Cover Image
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
Cover Image
Tail mutual exclusivity and Tail-VaR lower bounds
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - In: Scandinavian actuarial journal (2017) 1, pp. 88-104
Persistent link: https://www.econbiz.de/10011771971
Cover Image
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
Zhou, Ming; Dhaene, Jan; Yao, Jing - In: Insurance / Mathematics & economics 79 (2018), pp. 92-100
Persistent link: https://www.econbiz.de/10011825398
Cover Image
On the distribution of cash flows using Esscher transforms
Vyncke, David; Goovaerts, Marc J.; De Schepper, Ann; … - In: The journal of risk and insurance : the journal of the … 70 (2003) 3, pp. 563-575
Persistent link: https://www.econbiz.de/10001787185
Cover Image
Tail variance premiums for log-elliptical distributions
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 441-447
Persistent link: https://www.econbiz.de/10009763631