Comonotonicity: From Risk Measurement to Risk Management-Reference-Cited by-同舟云学术

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Comonotonicity: From Risk Measurement to Risk Management

Published:2005 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Vanduffel Steven

Publisher

Elsevier BV

Reference84 articles.

1. Optimal portfolio selection: application in Insurance business and investments;A Ahcan;Proceedings of the 8th International Congress on Insurance: Mathematics and Economics,2004

2. Application of coherent capital requirements;P Artzner;North American Actuarial Journal,1999

3. Coherent measures of risk;P Artzner;Mathematical Finance,1999

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Stop-Loss Reinsurance Threshold for Dependent Risks;Journal of Mathematical Finance;2023

2. Default probabilities of a holding company, with complete and partial information;Journal of Computational and Applied Mathematics;2014-12

3. When are path-dependent payoffs suboptimal?;Journal of Banking & Finance;2012-05

4. Approximate Default Probabilities of a Holding Company, with Complete and Partial Information;SSRN Electronic Journal;2012

5. Reconciling Credit Correlations;SSRN Electronic Journal;2010

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