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Convex ordering for insurance preferences

Cheung, Ka Chun; Chong, W. F.; Yam, Sheung Chi Phillip - In: Insurance / Mathematics & economics 64 (2015), pp. 409-416

Persistent link: https://www.econbiz.de/10011398122

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

Pareto-optimal insurance contracts with premium budget and minimum charge constraints

Asimit, Alexandru V.; Cheung, Ka Chun; Chong, Wing Fung; … - In: Insurance / Mathematics & economics 95 (2020), pp. 17-27

Persistent link: https://www.econbiz.de/10012419220

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

Reduction of Value-at-Risk bounds via independence and variance information

Puccetti, Giovanni; Rüschendorf, Ludger; Small, Daniel; … - In: Scandinavian actuarial journal (2017) 3, pp. 245-266

Persistent link: https://www.econbiz.de/10011772119

Risk bounds for factor models

Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659

Persistent link: https://www.econbiz.de/10011944414

The impact of correlation on (Range) Value-at-Risk

Bernard, Carole; De Vecchi, Corrado; Vanduffel, Steven - In: Scandinavian actuarial journal 2023 (2023) 6, pp. 531-564

Persistent link: https://www.econbiz.de/10014383858

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