Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
By Steven Vanduffel, Tom Hoedemakers, Jan Dhaene. 2005
74 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/5165c36981622acbd3c20ae0c5c0b7abf25803c8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Jan Dhaene
- Marc J. Goovaerts
- Rob Kaas
- Steven Vanduffel
- David Vyncke
- Michel Denuit
- Ruodu Wang
- Paul Embrechts
In Management Science and Operations Research
- Jan Dhaene
- Marc J. Goovaerts
- Rob Kaas
- Steven Vanduffel
- David Vyncke
- Michel Denuit
- Ruodu Wang
- Emiliano A. Valdez
In Statistics and Probability
Citations in the corpus
- Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, background): “More details about comonotonicity can be found in Dhaene et al. (2002a,b), more details about the relation between risk measures and comonotonicity can be found in Dhaene et al. (2004) .”
- Modeling Dependent Risks with Multivariate Erlang Mixtures (2009, unknown): “We are currently working on these problems and intend to compare our numerical results with those in Dhaene et al. (2002b) and Vanduffel et al. (2005) in which the authors propose comonotonicity based bounds to estimate the stop-loss premium of the sum of lognormal random variables and hence the…”
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2008, background): “CTEp [ S ] ≤ CTEp [S] ≤ CTEp [S ] , p ∈ (0, 1) , (27)”