Similar Search Results

Narrow search

Optimal portfolio selection for general provisioning and terminal wealth problems

Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc J. - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 90-97

Persistent link: https://www.econbiz.de/10003985403

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

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 recursive approach to mortality-linked derivative pricing

Shang, Zhaoning; Goovaerts, Marc J.; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-248

Persistent link: https://www.econbiz.de/10009242028

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