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Computation of convex bounds for present value functions of random payments

Ahcan, Ales; Darkiewicz, Grzegorz; Goovaerts, Marc J.; … - 2004

Persistent link: https://www.econbiz.de/10008657063

On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures

Goovaerts, Marc J.; Linders, Danie͏̈l; Van Weert, Koen; … - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 10-18

Persistent link: https://www.econbiz.de/10009557646

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

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

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. 143-145

Persistent link: https://www.econbiz.de/10009517649

Special issue: Selected papers in honour of Hans Gerber

Goovaerts, Marc J. (contributor) - 2009

Persistent link: https://www.econbiz.de/10009517650

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

Spectral decomposition of optimal assetliability management

Decamps, Marc; De Schepper, Ann; Goovaerts, Marc J. - In: Journal of economic dynamics & control 33 (2009) 3, pp. 710-724

Persistent link: https://www.econbiz.de/10003817998

An investigation on the use of copulas when calculating general cash flow distributions

Goovaerts, Marc J.; De Schepper, Ann; Hua, Yong; … - 2004

Persistent link: https://www.econbiz.de/10002263734

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

Persistent link: https://www.econbiz.de/10001993311

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