Risk Measures and Comonotonicity: A Review-Reference-Cited by-同舟云学术

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Risk Measures and Comonotonicity: A Review

Published:2006-11-22 Issue:4 Volume:22 Page:573-606
ISSN:1532-6349
Container-title:Stochastic Models
language:en
Short-container-title:Stochastic Models

Author:

Dhaene J.¹,Vanduffel S.²,Goovaerts M. J.¹,Kaas R.³,Tang Q.⁴,Vyncke D.⁵

Affiliation:

1. a K.U. Leuven, Leuven, Belgium and University of Amsterdam , Amsterdam , The Netherlands

2. b K.U. Leuven, Leuven, Belgium and Fortis, Brussels, Belgium and University of Amsterdam , Amsterdam , The Netherlands

3. c University of Amsterdam , Amsterdam , The Netherlands

4. d University of Iowa , Iowa City , Iowa , USA

5. e K.U. Leuven, Leuven, Belgium and Ghent University , Ghent , Belgium

Publisher

Informa UK Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/15326340600878016

Reference36 articles.

1. Application of Coherent Risk Measures to Capital Requirements in Insurance

2. Coherent Measures of Risk

3. The Pricing of Options and Corporate Liabilities

4. Premium Calculation from Top Down

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