User menu

Risk measurement with the equivalent utility principles

Bibliographic reference Denuit, Michel ; Laeven, Roger ; Kaas, Rob ; Goovaerts, Marc ; Dhaene, Jan. Risk measurement with the equivalent utility principles. In: Statistics and Decisions : an international mathematical journal for stochastic methods and models, Vol. 24, no. 1, p. 1-25 (2006)
Permanent URL http://hdl.handle.net/2078/16987
  1. Abdellaoui Mohammed, A Genuine Rank-Dependent Generalization of the Von Neumann-Morgenstern Expected Utility Theorem, 10.1111/1468-0262.00301
  2. Acerbi Carlo, Spectral measures of risk: A coherent representation of subjective risk aversion, 10.1016/s0378-4266(02)00281-9
  3. Anscombe F. J., Aumann R. J., A Definition of Subjective Probability, 10.1214/aoms/1177704255
  4. Artzner Philippe, Delbaen Freddy, Eber Jean-Marc, Heath David, Coherent Measures of Risk, 10.1111/1467-9965.00068
  5. Bassett G. W., Pessimistic Portfolio Allocation and Choquet Expected Utility, 10.1093/jjfinec/nbh023
  6. Bäuerle Nicole, Müller Alfred, Stochastic orders and risk measures: Consistency and bounds, 10.1016/j.insmatheco.2005.08.003
  7. Borch Karl, Equilibrium in a Reinsurance Market, 10.2307/1909887
  8. Bühlmann Hans, Premium Calculation from Top Down, 10.2143/ast.15.2.2015021
  9. Carlier G., Dana R.A., Core of convex distortions of a probability, 10.1016/s0022-0531(03)00122-4
  10. Castagnoli Erio, Maccheroni Fabio, Marinacci Massimo, Insurance premia consistent with the market, 10.1016/s0167-6687(02)00155-5
  11. Castagnoli Erio, Maccheroni Fabio, Marinacci Massimo, CHOQUET INSURANCE PRICING: A CAVEAT, 10.1111/j.0960-1627.2004.00201.x
  12. Chateauneuf A., Finance, 18, 25 (1997)
  13. Chateauneuf Alain, Cohen Michèle, Meilijson Isaac, Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model, 10.1016/s0304-4068(03)00044-2
  14. Chateauneuf Alain, Dana Rose-Anne, Tallon Jean-Marc, Optimal risk-sharing rules and equilibria with Choquet-expected-utility, 10.1016/s0304-4068(00)00041-0
  15. Chateauneuf A., Kast R., Lapied A., CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS, 10.1111/j.1467-9965.1996.tb00119.x
  16. Chateauneuf Alain, Tallon Jean-Marc, Diversification, convex preferences and non-empty core in the Choquet expected utility model, 10.1007/s001990000152
  17. Chateauneuf Alain, Wakker Peter, 10.1023/a:1007886529870
  18. Denneberg D., Methods of Operations Research, 63, 3 (1990)
  19. Denuit M., Bulletin of the Swiss Association of Actuaries, 1999, 137 (1999)
  20. Deprez Olivier, Gerber Hans U., On convex principles of premium calculation, 10.1016/0167-6687(85)90014-9
  21. De Waegenaere Anja, Kast Robert, Lapied Andre, Choquet pricing and equilibrium, 10.1016/s0167-6687(03)00116-1
  22. Dhaene J., Denuit M., Goovaerts M.J., Kaas R., Vyncke D., The concept of comonotonicity in actuarial science and finance: theory, 10.1016/s0167-6687(02)00134-8
  23. Dhaene J., Denuit M., Goovaerts M.J., Kaas R., Vyncke D., The concept of comonotonicity in actuarial science and finance: applications, 10.1016/s0167-6687(02)00135-x
  24. Dhaene Jan, Goovaerts Mark J., Kaas Rob, Economic Capital Allocation Derived from Risk Measures, 10.1080/10920277.2003.10596084
  25. Dhaene J., Belgian Actuarial Bulletin, 4, 53 (2004)
  26. Föllmer Hans, Schied Alexander, Convex measures of risk and trading constraints, 10.1007/s007800200072
  27. Frittelli Marco, Rosazza Gianin Emanuela, Putting order in risk measures, 10.1016/s0378-4266(02)00270-4
  28. Geman H., Learning about Risk: Some Lessons from Insurance, 10.1023/a:1009835429630
  29. Gerber Hans U., Goovaerts Marc J., On the representation of additive principles of premium calculation, 10.1080/03461238.1981.10413743
  30. Gilboa Itzhak, Expected utility with purely subjective non-additive probabilities, 10.1016/0304-4068(87)90022-x
  31. Gilboa Itzhak, Schmeidler David, Maxmin expected utility with non-unique prior, 10.1016/0304-4068(89)90018-9
  32. Goovaerts M. J., Transactions of the 26th International Congress of Actuaries, 4, 121 (1998)
  33. Goovaerts Marc J., Kaas Rob, Dhaene Jan, Tang Qihe, Some new classes of consistent risk measures, 10.1016/j.insmatheco.2004.03.003
  34. Goovaerts Marc J., Kaas Rob, Laeven Roger J.A., Tang Qihe, A comonotonic image of independence for additive risk measures, 10.1016/j.insmatheco.2004.07.005
  35. Guriev Sergei, On Microfoundations of the Dual Theory of Choice, 10.1023/a:1014382530086
  36. Hamada Mahmoud, Sherris Michael, Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory, 10.1080/1350486032000069580
  37. Heilpern S, A rank-dependent generalization of zero utility principle, 10.1016/s0167-6687(03)00144-6
  38. Inoue Akihiko, On the worst conditional expectation, 10.1016/s0022-247x(03)00477-3
  39. Inui Koji, Kijima Masaaki, On the significance of expected shortfall as a coherent risk measure, 10.1016/j.jbankfin.2004.08.005
  40. Inui Koji, Kijima Masaaki, Kitano Atsushi, VaR is subject to a significant positive bias, 10.1016/j.spl.2005.02.001
  41. Kadane Joseph B., Wasserman Larry, Symmetric, coherent, Choquet capacities, 10.1214/aos/1032526967
  42. Krätschmer Volker, Robust representation of convex risk measures by probability measures, 10.1007/s00780-005-0160-0
  43. Kusuoka Shigeo, On law invariant coherent risk measures, Advances in Mathematical Economics (2001) ISBN:9784431659372 p.83-95, 10.1007/978-4-431-67891-5_4
  44. Leitner Johannes, Dilatation monotonous Choquet integrals, 10.1016/j.jmateco.2005.02.001
  45. Luan Cuncun, Insurance Premium Calculations with Anticipated Utility Theory , 10.2143/ast.31.1.992
  46. Marinacci M., Sankhya - Series A, 61, 358 (1999)
  47. Pflug G. C., Austrian Journal of Statistics, 31, 73 (2002)
  48. Quiggin John, A theory of anticipated utility, 10.1016/0167-2681(82)90008-7
  49. Roell Ailsa, Risk Aversion in Quiggin and Yaari's Rank-Order Model of Choice Under Uncertainty, 10.2307/3038236
  50. Rootzen H., Ambio-Royal Swedish Academy of Science, 8, 550 (1999)
  51. Schmeidler David, Integral Representation Without Additivity, 10.2307/2046508
  52. Schmeidler David, Subjective Probability and Expected Utility without Additivity, 10.2307/1911053
  53. Tsanakas A., Desli E., Risk Measures and Theories of Choice, 10.1017/s1357321700004414
  54. Van Heerwaarden A.E., Kaas R., Goovaerts M.J., Properties of the Esscher premium calculation principle, 10.1016/0167-6687(89)90001-2
  55. Wakker Peter, Under stochastic dominance Choquet-expected utility and anticipated utility are identical, 10.1007/bf00126589
  56. Wang Shaun, Premium Calculation by Transforming the Layer Premium Density, 10.2143/ast.26.1.563234
  57. Wang Shaun S., A Class of Distortion Operators for Pricing Financial and Insurance Risks, 10.2307/253675
  58. Wang Shaun S., A Universal Framework for Pricing Financial and Insurance Risks, 10.2143/ast.32.2.1027
  59. Wang Shaun S., Young Virginia R., Panjer Harry H., Axiomatic characterization of insurance prices, 10.1016/s0167-6687(97)00031-0
  60. Yaari Menahem E., The Dual Theory of Choice under Risk, 10.2307/1911158