Zobrazeno 1 - 10
of 419
pro vyhledávání: '"Dhaene, Jan"'
In this paper, we present axiomatic characterizations of some simple risk-sharing (RS) rules, such as the uniform, the mean-proportional and the covariance-based linear RS rules. These characterizations make it easier to understand the underlying pri
Externí odkaz:
http://arxiv.org/abs/2411.06240
Autor:
Dhaene, Jan L. M., Milevsky, Moshe A.
There is little disagreement among insurance actuaries and financial economists about the societal benefits of longevity-risk pooling in the form of life annuities, defined benefit pensions, self-annuitization funds, and even tontine schemes. Indeed,
Externí odkaz:
http://arxiv.org/abs/2402.00855
Modeling lies at the core of both the financial and the insurance industry for a wide variety of tasks. The rise and development of machine learning and deep learning models have created many opportunities to improve our modeling toolbox. Breakthroug
Externí odkaz:
http://arxiv.org/abs/2301.01109
Autor:
Dhaene, Jan, Milevsky, Moshe A.
Publikováno v:
In Insurance Mathematics and Economics November 2024 119:238-250
Publikováno v:
In Insurance Mathematics and Economics January 2025 120:1-16
Publikováno v:
In Journal of Computational and Applied Mathematics 15 March 2025 457
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes include the
Externí odkaz:
http://arxiv.org/abs/1901.04689
Publikováno v:
In Insurance Mathematics and Economics November 2022 107:22-37
Publikováno v:
In Insurance Mathematics and Economics January 2022 102:126-145
Autor:
Denuit, Michel1 (AUTHOR), Dhaene, Jan2 (AUTHOR), Feng, Runhuan3 (AUTHOR), Hieber, Peter4 (AUTHOR) peter.hieber@unil.ch, Robert, Christian Y.5 (AUTHOR)
Publikováno v:
Annals of Actuarial Science. Jul2024, Vol. 18 Issue 2, p237-241. 5p.