6 citations · 7 across the 3 of their papers we have counts for
4 papers
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Hamza Hanbali, Daniel Linders, Jan Dhaene
The Value-at-Risk (VaR) of comonotonic sums can be decomposed into marginal VaR's at the same level. This additivity property allows to derive useful decompositions for other risk…
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
Hamza Hanbali, Jan Dhaene, Daniel Linders
This paper considers the difference of stop-loss payoffs where the underlying is a difference of two random variables. The goal is to study whether the comonotonic and countermonot…
On the causality-preservation capabilities of generative modelling
Yves-Cédric Bauwelinckx, Jan Dhaene, Tim Verdonck +1
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 c…
Systemic Risk: Conditional Distortion Risk Measures
Jan Dhaene, Roger J. A. Laeven, Yiying Zhang
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution (CoD) measures as measures of systemic risk and analy…