Comonotonicity: From Risk Measurement to Risk Management

172 Pages Posted: 19 Mar 2009  

Steven Vanduffel

Vrije Universiteit Brussel (VUB)

Date Written: January 27, 2005

Abstract

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

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

Suggested Citation

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

Steven Vanduffel (Contact Author)

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
Brussels, Brabant 1050
Belgium

HOME PAGE: http://www.stevenvanduffel.com

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