Risk measurement with equivalent utility principles

By Michel Denuit, Jan Dhaene, Marc J. Goovaerts, Rob Kaas, Roger J. A. Laeven. 2006

77 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9ace2e54aea865369a73422cd590b5d4b83ad6cf

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Citations in the corpus

To Split or Not to Split: Capital Allocation with Convex Risk Measures (2007, unknown): “For such a perspective see Tsanakas and Desli (2003) and also the review Denuit et al. (2006).”
Entropic Value-at-Risk: A New Coherent Risk Measure (2012, unknown): “See [23] for additional issues.”
Decision principles derived from risk measures (2010, methodology): “Distortion risk measures were developed in the economics literature; see Schmeidler(1989), Quiggin (1982) and Yaari (1987).”
Optimal risk sharing under distorted probabilities (2008, background): “On a more general note, this paper aims to underscore the usefulness of distortion risk measures that have been arguably under-appreciated by the financial/mathematical economics community [14].”
Actuarial Risk Measures for Financial Derivative Pricing (2008, background): “(1984) and, more recently, Denuit et al. (2006) and Laeven and Goovaerts (2007).”
Weighted Risk Capital Allocations (2008, unknown): “There is a great variety of pcp’s in the literature; see, e.g., Gerber (1979), Buhlmann (1980, 1984),Goovaertsetal.(1984),Denneberg(1994),Kaasetal.(1994), Wang (1995, 1996, 1998), Tsanakas and Desli (2003), Heilpern (2003), Young (2004), Denuit et al. (2005), Denuit et al. (2006) , Dhaene et al. (2”
Weighted Premium Calculation Principles (2008, unknown): “, Tsanakas and Desli (2003), Heilpern (2003), Young (2004), Denuit et al. (2006), Dhaene et al.”
Properties of Distortion Risk Measures (2009, background): “With the concept of coherent risk measure and its defining properties, different sets of measures started to appear, each with distinctive properties: convex measures (see Follmer and Shied 2002 or Fritelli and Rosazza 2002), spectral measures (Acerbi 2002) or deviation measures (Rockafellar et al. ”