A rank-dependent generalization of zero utility principle
By Stanislaw Heilpern. 2003
50 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/ee8bfa51db12ae14769c2b68e04982e5b8bf6cb1
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Michel Denuit
- Rob Kaas
- Roger J. A. Laeven
- Jan Dhaene
- Marc J. Goovaerts
- Ka Chun Cheung
- Emiliano A. Valdez
- Qihe Tang
In Finance
- Jan Dhaene
- Marc J. Goovaerts
- Michel Denuit
- Rob Kaas
- Roger J. A. Laeven
- Ruodu Wang
- Paul Embrechts
- Steven Vanduffel
In Management Science and Operations Research
- Jan Dhaene
- Marc J. Goovaerts
- Michel Denuit
- Rob Kaas
- Roger J. A. Laeven
- Emiliano A. Valdez
- Ruodu Wang
- Qihe Tang
Citations in the corpus
- 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”
- Risk measurement with equivalent utility principles (2006, methodology): “Heilpern (2003) and Tsanakas & Desli (2003) introduce a class of risk measures which can be considered as the solutions of the indifference equations for RDEU.”