Dhaene Jan

Jan Dhaene

Information about the author Jan Dhaene will soon be added to the site.
Found 4 papers in total
Optimal Capital Allocation Principles
Optimal Capital Allocation Principles
2012
This article develops a unifying framework for allocating the aggregate capital of a...
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
2011
In this paper we discuss multiperiod portfolio selection problems related to a...
Risk measurement with equivalent utility principles
Risk measurement with equivalent utility principles
2006
Risk measures have been studied for several decades in the actuarial literature, where...
Bounds for the price of a European-style Asian option in a binary tree model
Bounds for the price of a European-style Asian option in a binary tree model
2006
Inspired by the ideas of Rogers and Shi, Chalasani et al. derived accurate lower and...
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