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An overview of comonotonicity and its applications in finance and insurance

Griselda Deelstra, Jan Dhaene and Michèle Vanmaele UGent (2011) Advanced mathematical methods for finance. p.155-179
abstract
Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this chapter, we give an extensive bibliographic overview --- without claiming to be complete --- of the developments of the theory of comonotonicity and its applications, with an emphasis on the achievements in the period 2004-2010. These applications range from pricing and hedging of derivatives over risk management to life insurance.
Please use this url to cite or link to this publication:
author
organization
year
type
bookChapter
publication status
published
subject
keyword
derivatives pricing and hedging, risk measurement, life insurance, convex order, Comonotonicity
book title
Advanced mathematical methods for finance
editor
Giulia Di Nunno and Bernt Oksendal
pages
155 - 179
publisher
Springer
place of publication
Berlin, Germany
ISBN
9783642184116
DOI
10.1007/978-3-642-18412-3
language
English
UGent publication?
yes
classification
B2
copyright statement
I have transferred the copyright for this publication to the publisher
VABB id
c:vabb:339767
VABB type
VABB-4
id
1245641
handle
http://hdl.handle.net/1854/LU-1245641
date created
2011-05-27 14:25:21
date last changed
2011-06-17 13:55:41
@incollection{1245641,
  abstract     = {Over the last decade, it has been shown that the concept of comonotonicity is a helpful tool for solving several research and practical problems in the domain of finance and insurance. In this chapter, we give an extensive bibliographic overview --- without claiming to be complete --- of the developments of the theory of comonotonicity and its applications, with an emphasis on the achievements in the period 2004-2010. These applications range from pricing and hedging of derivatives over risk management to life insurance.},
  author       = {Deelstra, Griselda and Dhaene, Jan and Vanmaele, Mich{\`e}le},
  booktitle    = {Advanced mathematical methods for finance},
  editor       = {Di Nunno, Giulia and Oksendal, Bernt},
  isbn         = {9783642184116},
  keyword      = {derivatives pricing and hedging,risk measurement,life insurance,convex order,Comonotonicity},
  language     = {eng},
  pages        = {155--179},
  publisher    = {Springer},
  title        = {An overview of comonotonicity and its applications in finance and insurance},
  url          = {http://dx.doi.org/10.1007/978-3-642-18412-3},
  year         = {2011},
}

Chicago
Deelstra, Griselda, Jan Dhaene, and Michèle Vanmaele. 2011. “An Overview of Comonotonicity and Its Applications in Finance and Insurance.” In Advanced Mathematical Methods for Finance, ed. Giulia Di Nunno and Bernt Oksendal, 155–179. Berlin, Germany: Springer.
APA
Deelstra, G., Dhaene, J., & Vanmaele, M. (2011). An overview of comonotonicity and its applications in finance and insurance. In G. Di Nunno & B. Oksendal (Eds.), Advanced mathematical methods for finance (pp. 155–179). Berlin, Germany: Springer.
Vancouver
1.
Deelstra G, Dhaene J, Vanmaele M. An overview of comonotonicity and its applications in finance and insurance. In: Di Nunno G, Oksendal B, editors. Advanced mathematical methods for finance. Berlin, Germany: Springer; 2011. p. 155–79.
MLA
Deelstra, Griselda, Jan Dhaene, and Michèle Vanmaele. “An Overview of Comonotonicity and Its Applications in Finance and Insurance.” Advanced Mathematical Methods for Finance. Ed. Giulia Di Nunno & Bernt Oksendal. Berlin, Germany: Springer, 2011. 155–179. Print.