Jan Dhaene : Citation Profile

Are you Jan Dhaene?

KU Leuven

15

H index

20

i10 index

882

Citations

RESEARCH PRODUCTION:

55

Articles

8

Papers

RESEARCH ACTIVITY:

   29 years (1989 - 2018). See details.
   Cites by year: 30
   Journals where Jan Dhaene has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 35 (3.82 %)

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   Permalink: http://citec.repec.org/pdh2
   Updated: 2018-11-17    RAS profile: 2018-08-23    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jan Dhaene.

Is cited by:

Laeven, Roger (33)

Goovaerts, Marc (30)

Guillen, Montserrat (19)

Chateauneuf, Alain (16)

Vanduffel, Steven (9)

Ferretti, Paola (9)

Rulliere, Didier (9)

Wu, Xianyi (8)

De Schepper, Ann (7)

Mierzejewski, Fernando (7)

De Waegenaere, Anja (6)

Cites to:

Goovaerts, Marc (105)

Vanduffel, Steven (22)

Chateauneuf, Alain (8)

Müller, Alfred (8)

Laeven, Roger (7)

Valdez, Emiliano (6)

De Schepper, Ann (6)

Schmeidler, David (4)

Gilboa, Itzhak (4)

Sandmann, Klaus (4)

Pelsser, Antoon (4)

Main data

Where Jan Dhaene has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics33
ASTIN Bulletin: The Journal of the International Actuarial Association11
Journal of Risk & Insurance5
Journal of Pension Economics and Finance2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute5

Recent works citing Jan Dhaene (2018 and 2017)

YearTitle of citing document
2018Optimal dividend payments for a two-dimensional insurance risk process. (2018). Azcue, Pablo ; Palmowski, Zbigniew ; Muler, Nora . In: Papers. RePEc:arx:papers:1603.07019.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

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2017Pricing formulae for derivatives in insurance using the Malliavin calculus. (2017). Hillairet, Caroline ; Jiao, Ying. In: Papers. RePEc:arx:papers:1707.05061.

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2018A robust approach for minimization of risk measurement errors. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2018Marginal and dependence uncertainty: bounds, optimal transport, and sharpness. (2018). Bartl, Daniel ; Papapantoleon, Antonis ; Lux, Thibaut ; Kupper, Michael. In: Papers. RePEc:arx:papers:1709.00641.

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2017Optimal Risk Allocation in Reinsurance Networks. (2017). Bauerle, Nicole ; Glauner, Alexander. In: Papers. RePEc:arx:papers:1711.10210.

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2018Spatial risk measures induced by powers of max-stable random fields. (2018). Koch, Erwan. In: Papers. RePEc:arx:papers:1804.05694.

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2018Mortality/longevity Risk-Minimization with or without securitization. (2018). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine . In: Papers. RePEc:arx:papers:1805.11844.

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2018Law-invariant insurance pricing and its limitations. (2018). Bellini, Fabio ; Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1808.00821.

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2017Risk Management of Policyholder Behavior in Equity-Linked Life Insurance. (2017). MacKay, Anne ; Hardy, Mary R ; Bernard, Carole ; Augustyniak, Maciej. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:2:p:661-690.

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2017Value-at-Risk Bounds With Variance Constraints. (2017). Bernard, Carole ; Vanduffel, Steven ; Ruschendorf, Ludger. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:923-959.

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2017Pricing formulae for derivatives in insurance using the Malliavin calculus. (2017). Hillairet, Caroline ; Jiao, Ying. In: Working Papers. RePEc:crs:wpaper:2017-75.

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2017Differential equations connecting VaR and CVaR. (2017). Balbas, Raquel . In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24017.

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2017Reserve modelling and the aggregation of risks using time varying copula models. (2017). Araichi, Sawssen ; Belkacem, Lotfi ; de Peretti, Christian. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:149-158.

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2017Chance-constrained optimization for pension fund portfolios in the presence of default risk. (2017). Aw, Grace ; Sun, Yufei ; Teo, Kok Lay ; Loxton, Ryan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:205-214.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2017Comonotonic approximation to periodic investment problems under stochastic drift. (2017). Xu, Liang ; Liu, Qinjun ; Kou, Gang ; Gao, Chunyan . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:251-261.

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2018Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. (2018). Cui, Zhenyu ; Liu, Yanchu ; Lee, Chihoon . In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:3:p:1134-1139.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2017Efficient option risk measurement with reduced model risk. (2017). Mitra, Sovan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:163-174.

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2017Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. (2017). Feng, Runhuan ; Jing, Xiaochen . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:36-48.

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2017Capital allocation for portfolios with non-linear risk aggregation. (2017). Tsanakas, Andreas ; Boonen, Tim J ; Wuthrich, Mario V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:95-106.

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2017Multiple risk factor dependence structures: Copulas and related properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121.

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2017Risk measures in a quantile regression credibility framework with Fama/French data applications. (2017). Pitselis, Georgios . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:122-134.

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2017Characterization of acceptance sets for co-monotone risk measures. (2017). Rieger, Marc Oliver. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:147-152.

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2017On some multivariate Sarmanov mixed Erlang reinsurance risks: Aggregation and capital allocation. (2017). Ratovomirija, Gildas ; Vernic, Raluca ; Tamraz, Maissa. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:197-209.

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2017Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks. (2017). Lauer, Alexandra ; Zahle, Henryk. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:99-108.

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2017Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures. (2017). Cai, Jun ; Mao, Tiantian ; Wang, Ying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:105-116.

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2017The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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2017Optimal insurance design in the presence of exclusion clauses. (2017). Chi, Yichun ; Liu, Fangda . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:185-195.

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2017Multiple risk factor dependence structures: Distributional properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:56-68.

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2017Pareto-optimal reinsurance arrangements under general model settings. (2017). Cai, Jun ; Wang, Ruodu ; Liu, Haiyan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:24-37.

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2017A general approach to full-range tail dependence copulas. (2017). Su, Jianxi ; Hua, Lei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:49-64.

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2018An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks. (2018). Zhao, Yixing ; Mamon, Rogemar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:1-12.

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2018Stochastic orders and co-risk measures under positive dependence. (2018). Sordo, M A ; Suarez-Llorens, A ; Bello, A J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:105-113.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2018Using fuzzy logic to interpret dependent risks. (2018). Kemaloglu, Sibel Acik ; Apaydin, Aysen ; Tank, Fatih ; Shapiro, Arnold F. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:101-106.

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2018Weighted risk capital allocations in the presence of systematic risk. (2018). Furman, Edward ; Zitikis, Riardas ; Kuznetsov, Alexey. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:75-81.

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2018Distortion measures and homogeneous financial derivatives. (2018). Major, John A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:82-91.

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2018Which eligible assets are compatible with comonotonic capital requirements?. (2018). Koch-Medina, Pablo ; Svindland, Gregor ; Munari, Cosimo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:18-26.

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2018Upper bounds for strictly concave distortion risk measures on moment spaces. (2018). Cornilly, D ; Vanduffel, S ; Ruschendorf, L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:141-151.

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2018Optimal risk allocation in reinsurance networks. (2018). Bauerle, Nicole ; Glauner, Alexander. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:37-47.

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2017Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. (2017). Furman, Edward ; Zitikis, Riardas ; Wang, Ruodu. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:83:y:2017:i:c:p:70-84.

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2017Multivariate dependence modeling based on comonotonic factors. (2017). Hua, Lei ; Joe, Harry. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:155:y:2017:i:c:p:317-333.

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2018Efron’s monotonicity property for measures on R2. (2018). Saumard, Adrien ; Wellner, Jon A. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:166:y:2018:i:c:p:212-224.

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2017Multiple cyber attacks against a target with observation errors and dependent outcomes: Characterization and optimization. (2017). Zhao, Peng ; Hu, Xiaoxiao ; Xu, Maochao. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:159:y:2017:i:c:p:119-133.

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2018Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach. (2018). Mejdoub, Hanene ; Ben Arab, Mounira . In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:208-218.

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2017The Solvency II Standard Formula, Linear Geometry, and Diversification. (2017). Paulusch, Joachim. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:2:p:11-:d:98991.

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2017Optimal Reinsurance Policies under the VaR Risk Measure When the Interests of Both the Cedent and the Reinsurer Are Taken into Account. (2017). Jiang, Wenjun ; Zitikis, Riardas ; Ren, Jiandong . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:11-:d:89417.

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2017Ruin Probabilities in a Dependent Discrete-Time Risk Model With Gamma-Like Tailed Insurance Risks. (2017). Huang, Xing-Fang ; Jiang, Tao ; Yang, Yang ; Zhang, Ting. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:14-:d:92089.

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2017Actuarial Geometry. (2017). Mildenhall, Stephen J. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:2:p:31-:d:101685.

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2017Bayesian Modelling, Monte Carlo Sampling and Capital Allocation of Insurance Risks. (2017). Targino, Rodrigo ; Wuthrich, Mario V ; Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:53-:d:112832.

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2017A Review and Some Complements on Quantile Risk Measures and Their Domain. (2017). Fuchs, Sebastian ; Schmidt, Klaus D ; Schlotter, Ruben. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:59-:d:117902.

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2018On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance. (2018). Semenikhine, Vadim ; Su, Jianxi ; Furman, Edward. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:79-:d:163347.

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2017Pricing formulae for derivatives in insurance using the Malliavin calculus *. (2017). Hillairet, Caroline ; Reveillac, Anthony ; Jiao, Ying. In: Working Papers. RePEc:hal:wpaper:hal-01561987.

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2018Extreme Value Theory and Copulas: Reinsurance in the Presence of Dependent Risks. (2018). Chukwudum, Queensley. In: Working Papers. RePEc:hal:wpaper:hal-01855971.

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2017Proyección de mortalidad en España mediante mixturas de modelos y análisis del impacto económico del riesgo de longevidad /Mortality Projection in Spain through Mixtures of Models and Analysis of . (2017). Benchimol, Andres . In: Estudios de Economía Aplicada. RePEc:lrk:eeaart:35_2_7.

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2017Capital Allocation in the Insurance Sector. (2017). Balog, Dóra. In: Financial and Economic Review. RePEc:mnb:finrev:v:16:y:2017:i:3:p:74-97.

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2017A Dynamic Measure of Intentional Herd Behavior in Financial Markets. (2017). Park, Beum Jo ; Kim, Myung-Joong. In: MPRA Paper. RePEc:pra:mprapa:82025.

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2018Market consistent valuations with financial imperfection. (2018). Gospodinov, Nikolay ; Assa, Hirbod. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:1:d:10.1007_s10203-018-0207-2.

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2017Risk bounds for factor models. (2017). Vanduffel, Steven ; Wang, Ruodu ; Ruschendorf, Ludger ; Bernard, Carole. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0328-4.

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2018Risk measures based on behavioural economics theory. (2018). Mao, Tiantian ; Cai, Jun. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0358-6.

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2017Hedging efficiently under correlation. (2017). Daluiso, Roberto ; Morini, Massimo. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1535-1547.

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2018Voting on Multiple Issues: What to Put on the Ballot?. (2018). Gershkov, Alex ; Shi, Xianwen ; Moldovanu, Benny. In: Working Papers. RePEc:tor:tecipa:tecipa-616.

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2017The pricing of average options with jump diffusion processes in the uncertain volatility model. (2017). Fan, Yulian ; Zhang, Huadong. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s2424786317500050.

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2017Persistence of insurance activities and financial stability. (2017). Kubitza, Christian ; Regele, Fabian . In: ICIR Working Paper Series. RePEc:zbw:icirwp:3017.

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Works by Jan Dhaene:

YearTitleTypeCited
2001Bounds for present value functions with stochastic interest rates and stochastic volatility In: Working Papers.
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2002Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 0		article
2009Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics.
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2017IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS In: Journal of Economic Surveys.
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2003On the Distribution of Cash Flows Using Esscher Transforms In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article4
2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article19
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article19
2009Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables In: Journal of Risk & Insurance.
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2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article53
2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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This paper has another version. Agregated cites: 53		paper
2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
[Full Text][Citation analysis]		article27
1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes.(1989) In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1990Distributions in Life Insurance In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1992Error Bounds for Compound Poisson Approximations of the Individual Risk Model In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1996Some Moment Relations for the Hipp approximation In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1996Dependency of Risks and Stop-Loss Order In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1996On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1997On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2003A Unified Approach to Generate Risk Measures In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2017LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2012Comonotonic approximations for the probability of lifetime ruin In: Journal of Pension Economics and Finance.
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2005On the evaluation of plans In: Journal of Pension Economics and Finance.
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2006Bounds for the price of a European-style Asian option in a binary tree model In: European Journal of Operational Research.
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1994On a class of approximative computation methods in the individual risk model In: Insurance: Mathematics and Economics.
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1995Recursions for the individual model In: Insurance: Mathematics and Economics.
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1996The compound Poisson approximation for a portfolio of dependent risks In: Insurance: Mathematics and Economics.
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1997On the dependency of risks in the individual life model In: Insurance: Mathematics and Economics.
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1997A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate In: Insurance: Mathematics and Economics.
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1998Comonotonicity, correlation order and premium principles In: Insurance: Mathematics and Economics.
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1999Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics.
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1999The safest dependence structure among risks In: Insurance: Mathematics and Economics.
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2000An easy computable upper bound for the price of an arithmetic Asian option In: Insurance: Mathematics and Economics.
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2000Upper and lower bounds for sums of random variables In: Insurance: Mathematics and Economics.
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2001Does positive dependence between individual risks increase stop-loss premiums? In: Insurance: Mathematics and Economics.
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2002The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics.
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2002The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics.
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2003Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics.
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2003The hurdle-race problem In: Insurance: Mathematics and Economics.
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2004Some new classes of consistent risk measures In: Insurance: Mathematics and Economics.
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2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article17
2008Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics.
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2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
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2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
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2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
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2010Optimal portfolio selection for general provisioning and terminal wealth problems In: Insurance: Mathematics and Economics.
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2011A recursive approach to mortality-linked derivative pricing In: Insurance: Mathematics and Economics.
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2012The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets In: Insurance: Mathematics and Economics.
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2012Convex order approximations in the case of cash flows of mixed signs In: Insurance: Mathematics and Economics.
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2012Convex order and comonotonic conditional mean risk sharing In: Insurance: Mathematics and Economics.
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2013Tail Variance premiums for log-elliptical distributions In: Insurance: Mathematics and Economics.
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2013On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics.
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2014Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics.
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2016Optimal allocation of policy deductibles for exchangeable risks In: Insurance: Mathematics and Economics.
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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency In: Insurance: Mathematics and Economics.
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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models In: Insurance: Mathematics and Economics.
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2014The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks In: Tinbergen Institute Discussion Papers.
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2015Option prices and model-free measurement of implied herd behavior in stock markets.(2015) In: International Journal of Financial Engineering (IJFE).
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