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Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
Genest, Christian; Gerber, Hans U.; Goovaerts, Marc J.; … - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 143-146
Persistent link: https://www.econbiz.de/10008890295
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Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
Genest, Christian; Gerber, Hans U.; Goovaerts, Marc J.; … - In: Insurance: Mathematics and Economics 44 (2009) 2, pp. 143-145
Persistent link: https://www.econbiz.de/10004973645
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Modern actuarial risk theory : using R
Kaas, R.; Goovaerts, Marc J.; Dhaene, Jan; Denuit, Michel - 2009 - 2. ed., corr. 2. print.
Persistent link: https://www.econbiz.de/10003726725
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Risk measures and comonotonicity : a review
Dhaene, Jan; Vanduffel, Steven; Tang, Q.; Goovaerts, Marc J. - 2006
Persistent link: https://www.econbiz.de/10003329684
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Modern actuarial risk theory : using R
Kaas, R.; Goovaerts, Marc J.; Dhaene, Jan; Denuit, Michel - 2009 - 2nd ed., corr. 2nd printing
Persistent link: https://www.econbiz.de/10003870922
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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
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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
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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
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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
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Editorial: The impact factor of IME
Kaas, R.; Gerber, Hans U.; Goovaerts, Marc J.; Shiu, … - In: Insurance / Mathematics & economics 62 (2015), pp. 1-4
Persistent link: https://www.econbiz.de/10011312094