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Risk measurement with equivalent utility principles

Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; … - In: Statistics & Risk Modeling 24 (2006) 1, pp. 1-25

SUMMARY Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial...

Persistent link: https://www.econbiz.de/10014621319

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 note on additive risk measures in rank-dependent utility

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 187-189

Persistent link: https://www.econbiz.de/10008654259

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

Comonotonic approximations for optimal portfolio selection problems

Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc J.; Kaas, R. - In: The journal of risk and insurance : the journal of the … 72 (2005) 2, pp. 253-300

Persistent link: https://www.econbiz.de/10002968418

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

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

Bounds for present value functions with stochastic interest rates and stochastic volatility

De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; … - In: Insurance: Mathematics and Economics 31 (2002) 1, pp. 87-103

Persistent link: https://www.econbiz.de/10005365497

Bounds for present value functions with stochastic interest rates and stochastic volatility

De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; … - In: Insurance / Mathematics & economics 31 (2002) 1, pp. 87-104

Persistent link: https://www.econbiz.de/10006893484

Worst VaR scenarios with given marginals and measures of association

Kaas, R.; Laeven, Roger J. A.; Nelsen, Roger B. - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 146-158

Persistent link: https://www.econbiz.de/10009517648

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