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Comonotonicity: From Risk Measurement to Risk Management

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

January 27, 2005

This is a PhD thesis about the concept of comontonicity and its applications in Finance and Insurance.

Number of Pages in PDF File: 172

Keywords: Risk measures, Coherency, Comonotonicity, Lognormal, Pension, Annuities

working papers series

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Date posted: March 19, 2009  

Suggested Citation

Vanduffel, Steven, Comonotonicity: From Risk Measurement to Risk Management (January 27, 2005). Available at SSRN: http://ssrn.com/abstract=1359809 or http://dx.doi.org/10.2139/ssrn.1359809

Contact Information

Steven Vanduffel (Contact Author)
Vrije Universiteit Brussel (VUB) ( email )
Pleinlaan 2
Brussels, Brabant 1050
HOME PAGE: http://www.stevenvanduffel.com
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References:  83
Citations:  4

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