A Unified Approach to Generate Risk Measures

By Marc J. Goovaerts, Rob Kaas, Jan Dhaene, Qihe Tang. ASTIN Bulletin: The Journal of the International Actuarial Association, 2003

51 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0a5592df6b463f430e90239f5f5b86ccbfaee82b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. José Garrido
2. Kristina P. Pavlova

In Economics and Econometrics

1. Silvia Mayoral
2. Alejandro Balbás
3. José Garrido

In Management Science and Operations Research

1. Silvia Mayoral
2. Alejandro Balbás
3. José Garrido
4. Kristina P. Pavlova
5. Shuanming Li
6. Hélène Cossette
7. É. Marceau
8. Gordon E. Willmot

Citations in the corpus

• After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “r " Best practices " risk measures (Goovaerts et al., 2003a): These are based on the argument that there are no sets of axioms generally applicable to all risk problems .”
• A comonotonic image of independence for additive risk measures (2004, unknown): “1”
• Risk Measures and Comonotonicity: A Review (2006, unknown): “[14].”
• Properties of Distortion Risk Measures (2009, background): “Goovaerts et al. (2003b) recover many existing risk measures by minimizing a Markov bound for the tail probability.”