Jan Dhaene : Citation Profile


Are you Jan Dhaene?

KU Leuven

20

H index

29

i10 index

1485

Citations

RESEARCH PRODUCTION:

75

Articles

23

Papers

1

Books

RESEARCH ACTIVITY:

   32 years (1989 - 2021). See details.
   Cites by year: 46
   Journals where Jan Dhaene has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 47 (3.07 %)

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   Permalink: http://citec.repec.org/pdh2
   Updated: 2022-09-24    RAS profile: 2021-12-27    
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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 (40)

Goovaerts, Marc (35)

Vanduffel, Steven (26)

Chateauneuf, Alain (26)

Guillen, Montserrat (24)

mostoufi, mina (19)

Mierzejewski, Fernando (16)

Ferretti, Paola (13)

De Waegenaere, Anja (12)

De Schepper, Ann (11)

Rulliere, Didier (10)

Cites to:

Goovaerts, Marc (111)

Vanduffel, Steven (26)

Laeven, Roger (15)

Pelsser, Antoon (12)

Milevsky, Moshe (9)

Müller, Alfred (8)

Valdez, Emiliano (6)

De Schepper, Ann (6)

Stadje, Mitja (5)

Scholes, Myron (4)

Sandmann, Klaus (4)

Main data


Where Jan Dhaene has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics37
ASTIN Bulletin12
Review of Business and Economic Literature8
North American Actuarial Journal5
Journal of Risk & Insurance5
Journal of Pension Economics and Finance2

Working Papers Series with more than one paper published# docs
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)8
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)6
Tinbergen Institute Discussion Papers / Tinbergen Institute5

Recent works citing Jan Dhaene (2022 and 2021)


YearTitle of citing document
2021Risk sharing under the dominant peer-to-peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021001.

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2021Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004.

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2021Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. (2021). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021016.

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2021Risk-sharing rules and their properties, with applications to peer-to-peer insurance. (2021). Robert, Christian Y ; Dhaene, Jan ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021037.

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2021Mortality credits within large survivor funds. (2021). Robert, Christian Y ; Hieber, Peter ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021038.

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2021Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477.

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2021Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821.

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2022Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804.

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2021Law-invariant functionals that collapse to the mean. (2020). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2009.04144.

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2021Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364.

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2022Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

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2021Probabilistic Framework For Loss Distribution Of Smart Contract Risk. (2021). Lanchier, Nicolas ; Jevtic, Petar . In: Papers. RePEc:arx:papers:2101.08964.

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2021Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947.

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2021Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003.

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2021Ordered Risk Aggregation under Dependence Uncertainty. (2021). Chen, Yuyu ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2104.07718.

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2021Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk. (2021). Afhami, Bahareh ; Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen. In: Papers. RePEc:arx:papers:2104.11594.

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2021Numerical valuation of American basket options via partial differential complementarity problems. (2021). Snoeijer, Jacob ; In, Karel. In: Papers. RePEc:arx:papers:2106.01200.

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2022Collaborative Insurance Sustainability and Network Structure. (2021). Vermet, Franck ; Ratz, Philipp ; Lowe, Matthias ; Kouakou, Lariosse ; Charpentier, Arthur. In: Papers. RePEc:arx:papers:2107.02764.

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2021A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:2107.10891.

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2021Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464.

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2021Minimizing ruin probability under dependencies for insurance pricing. (2021). de Moura, Alexandra Bugalho ; Guerra, Manuel ; Gudmundarson, Ragnar Levy. In: Papers. RePEc:arx:papers:2108.10075.

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2021Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796.

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2021Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122.

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2022Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2022). Barczy, Matyas ; L'aszl'o S"utH{o}, ; Ned, Fanni K. In: Papers. RePEc:arx:papers:2202.09770.

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2022Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity. (2022). Peters, Gareth W ; Jang, Jiwook ; Truck, Stefan ; Sofronov, Georgy ; Shevchenko, Pavel V ; Malavasi, Matteo. In: Papers. RePEc:arx:papers:2202.10588.

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2022On the impact of outliers in loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.00184.

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2022A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599.

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2022Detection and treatment of outliers for multivariate robust loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.03874.

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2022Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438.

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2022A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520.

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2022Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2022Optimal investment strategy to maximize the expected utility of an insurance company under Cramer Lundberg dynamic. (2022). Sikov, A ; Cerda-Hernandez, J. In: Papers. RePEc:arx:papers:2207.02947.

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2021Risk sharing under the dominant peer?to?peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205.

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2021Capital allocation, the leverage ratio requirement. (2021). Vo, Quynh-Anh ; Neamtu, Ioana. In: Bank of England working papers. RePEc:boe:boeewp:0956.

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2021Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals. (2021). Katja, Ignatieva ; Vitali, Alexeev ; Thusitha, Liyanage. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:1.

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2021Consistent Testing for an Implication of Supermodular Dominance. (2021). , Whang ; Linton, O ; Chung, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2134.

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2021Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (2021). Durante, Fabrizio ; Di Lascio, F. Marta L. ; Marta, F ; Fuchs, Sebastian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000359.

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2021Pricing service maintenance contracts using predictive analytics. (2021). Boute, Robert ; Antonio, Katrien ; Deprez, Laurens. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:530-545.

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2021Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures. (2021). Laeven, Roger ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:438-446.

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2022Tight tail probability bounds for distribution-free decision making. (2022). , Johan ; den Hertog, Dick ; van Eekelen, Wouter ; Brekelmans, Ruud ; Roos, Ernst. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:931-944.

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2021A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209.

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2021Stop-loss protection for a large P2P insurance pool. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:210-233.

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2021Bayesian credibility under a bivariate prior on the frequency and the severity of claims. (2021). Woo, Jae-Kyung ; Oh, Rosy ; Ni, Weihong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:274-295.

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2021Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349.

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2021Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69.

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2021Structured reinsurance deals with reference to relative market performance. (2021). Krvavych, Yuriy ; Albrecher, Hansjorg ; Vincent, Leonard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:125-139.

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2021Haezendonck-Goovaerts capital allocation rules. (2021). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Centrone, Francesca ; Canna, Gabriele. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:173-185.

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2021Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability. (2021). Zhuang, Sheng Chao ; Tan, Ken Seng ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:302-319.

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2021Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341.

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2021Pandemic risk management: Resources contingency planning and allocation. (2021). Zhang, Linfeng ; Feng, Runhuan ; Chong, Wing Fung ; Chen, Xiaowei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:359-383.

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2021Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (2021). Su, Jianxi ; Furman, Edward ; Mohammed, Nawaf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:425-436.

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2021A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (2021). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:437-465.

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2021Multivariate dependence among cyber risks based on L-hop propagation. (2021). Zhao, Peng ; Xu, Maochao ; Da, Gaofeng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:525-546.

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2022Systemic risk: Conditional distortion risk measures. (2022). Laeven, Roger ; Zhang, Yiying ; Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:126-145.

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2022Asymptotic results on marginal expected shortfalls for dependent risks. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168.

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2022Risk aggregation under dependence uncertainty and an order constraint. (2022). Wang, Ruodu ; Lin, Liyuan ; Chen, Yuyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:169-187.

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2022Risk aggregation and capital allocation using a new generalized Archimedean copula. (2022). Moutanabbir, Khouzeima ; Marri, Fouad. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:75-90.

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2022Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26.

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2022Risk transference constraints in optimal reinsurance. (2022). Heras, Antonio ; Balbas, Raquel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:27-40.

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2021From risk sharing to pure premium for a large number of heterogeneous losses. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:116-126.

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2021Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167.

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2021Pareto-optimal reinsurance policies with maximal synergy. (2021). Ren, Jiandong ; Hong, Hanping ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:185-198.

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2021Stochastic orders and multivariate measures of risk contagion. (2021). Suarez-Llorens, A ; Sordo, M A ; Ortega-Jimenez, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:199-207.

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2021Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247.

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2021Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291.

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2021Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43.

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2021Pricing in a competitive stochastic insurance market. (2021). Pantelous, Athanasios A ; Koo, Bonsoo ; Boonen, Tim J ; Mourdoukoutas, Fotios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:44-56.

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2021The tail mean–variance optimal portfolio selection under generalized skew-elliptical distribution. (2021). Khaloozadeh, Hamid ; Eini, Esmat Jamshidi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:44-50.

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2021Law-invariant functionals that collapse to the mean. (2021). Koch-Medina, Pablo ; Bellini, Fabio ; Svindland, Gregor ; Munari, Cosimo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:98:y:2021:i:c:p:83-91.

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2021Revisiting optimal investment strategies of value-maximizing insurance firms. (2021). Iki, Mario ; Ravanelli, Claudia ; Moreno-Bromberg, Santiago ; Koch-Medina, Pablo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:131-151.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction. (2021). Robert, Christian Y ; Denuit, Michel. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:186:y:2021:i:c:s0047259x21000816.

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2021Propensity for hedging and ambiguity aversion. (2021). Chateauneuf, Alain ; Ventura, Caroline ; Aouani, Zaier. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:97:y:2021:i:c:s0304406821001063.

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2021The conditional Haezendonck–Goovaerts risk measure. (2021). Guo, Jianhua ; Jiang, Renqiao ; Xun, LI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:169:y:2021:i:c:s0167715220302716.

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2022Unit-Linked Tontine: Utility-Based Design, Pricing and Performance. (2022). Sehner, Thorsten ; Nguyen, Thai ; Chen, AN. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:4:p:78-:d:788706.

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2022Bivariate Copula Trees for Gross Loss Aggregation with Positively Dependent Risks. (2022). Liu, Charlie Wusuo ; Wojcik, Rafa. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:8:p:144-:d:868968.

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2021A Bridge between Local GAAP and Solvency II Frameworks to Quantify Capital Requirement for Demographic Risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:10:p:175-:d:646398.

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2021Designing Annuities with Flexibility Opportunities in an Uncertain Mortality Scenario. (2021). Olivieri, Annamaria. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:11:p:189-:d:662618.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2021). Delong, Lukasz ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-02896141.

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2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

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2022Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. (2022). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03327710.

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2021Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-02896141.

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2021Insurance valuation: A two-step generalised regression approach. (2020). Barigou, Karim ; Tsanakas, Andreas ; Bignozzi, Valeria. In: Working Papers. RePEc:hal:wpaper:hal-03043244.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710.

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2021Worst-Case Expected Shortfall with Univariate and Bivariate Marginals. (2021). Das, Bikramjit ; Dhara, Anulekha ; Natarajan, Karthik. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:33:y:2021:i:1:p:370-389.

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2021An Axiomatic Foundation for the Expected Shortfall. (2021). Zitikis, Riardas ; Wang, Ruodu. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1413-1429.

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2021Minimizing Ruin Probability Under Dependencies for Insurance Pricing. (2021). de Moura, A B ; Guerra, M ; Gudmundarson, R L. In: Working Papers REM. RePEc:ise:remwps:wp01932021.

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2021Two price economic equilibria and financial market bid/ask prices. (2021). Siu, Tak Kuen ; Madan, Dilip B ; Elliott, Robert J. In: Annals of Finance. RePEc:kap:annfin:v:17:y:2021:i:1:d:10.1007_s10436-020-00377-x.

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2021A model-free approach to multivariate option pricing. (2021). Vanduffel, Steven ; Bondarenko, Oleg ; Bernard, Carole. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09172-2.

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2021Put–call parity and generalized neo-additive pricing rules. (2021). Lefort, Jean-Philippe ; Lecuyer, Emy. In: Theory and Decision. RePEc:kap:theord:v:90:y:2021:i:3:d:10.1007_s11238-020-09775-z.

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2021On coverage limits and deductibles for SAI loss severities. (2021). Li, Xiaohu ; You, Yinping ; Fang, Rui. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03770-x.

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2021Comonotonicity and low volatility effect. (2021). Sun, Edward W ; Chen, Yi-Ting ; Lai, Wan-Ni. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03320-0.

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More than 100 citations found, this list is not complete...

Works by Jan Dhaene:


YearTitleTypeCited
2010Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA.
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paper32
2012Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA.
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2012Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics.
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article
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA.
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paper4
2014Reserve-dependent benefits and costs in life and health insurance contracts.(2014) In: LIDAM Reprints ISBA.
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paper
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts.(2014) In: Tinbergen Institute Discussion Papers.
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paper
2014The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA.
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paper3
2015The minimal entropy martingale measure in a market of traded financial and actuarial risks.(2015) In: LIDAM Reprints ISBA.
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paper
2014The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2015Tail mutual exclusivity and Tail-VaR lower bounds In: LIDAM Discussion Papers ISBA.
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paper1
2017Tail mutual exclusivity and Tail-VaR lower bounds.(2017) In: LIDAM Reprints ISBA.
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paper
2015Tail Mutual Exclusivity and Tail-Var Lower Bounds.(2015) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2015On the transferability of reserves in lifelong health insurance contracts In: LIDAM Discussion Papers ISBA.
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paper0
2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system In: LIDAM Discussion Papers ISBA.
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paper0
2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: LIDAM Reprints ISBA.
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paper
2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: Health Policy.
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article
2017Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA.
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paper0
2017Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation In: LIDAM Reprints ISBA.
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paper0
2017LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION.(2017) In: ASTIN Bulletin.
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article
2019A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA.
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paper3
2019A dynamic equivalence principle for systematic longevity risk management.(2019) In: Insurance: Mathematics and Economics.
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2001Bounds for present value functions with stochastic interest rates and stochastic volatility In: Working Papers.
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paper1
2002Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics.
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article
2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
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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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article1
2003On the Distribution of Cash Flows Using Esscher Transforms In: Journal of Risk & Insurance.
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article4
2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
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article20
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article25
2009Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables In: Journal of Risk & Insurance.
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article2
2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
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2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
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1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes In: ASTIN Bulletin.
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1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes.(1989) In: ASTIN Bulletin.
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1990Distributions in Life Insurance In: ASTIN Bulletin.
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1992Error Bounds for Compound Poisson Approximations of the Individual Risk Model In: ASTIN Bulletin.
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article6
1996Some Moment Relations for the Hipp approximation In: ASTIN Bulletin.
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1996Dependency of Risks and Stop-Loss Order1 In: ASTIN Bulletin.
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article61
1996On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin.
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article1
1997On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin.
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article3
2002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin.
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article15
2003A Unified Approach to Generate Risk Measures In: ASTIN Bulletin.
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article13
2019FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin.
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article4
2012Comonotonic approximations for the probability of lifetime ruin* In: Journal of Pension Economics and Finance.
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article0
2005On the evaluation of ‘saving-consumption’ plans In: Journal of Pension Economics and Finance.
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article2
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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article4
1994On a class of approximative computation methods in the individual risk model In: Insurance: Mathematics and Economics.
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article6
1995Recursions for the individual model In: Insurance: Mathematics and Economics.
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article7
1996The compound Poisson approximation for a portfolio of dependent risks In: Insurance: Mathematics and Economics.
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article9
1997On the dependency of risks in the individual life model In: Insurance: Mathematics and Economics.
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article31
1997A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate In: Insurance: Mathematics and Economics.
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article6
1998Comonotonicity, correlation order and premium principles In: Insurance: Mathematics and Economics.
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article64
1999Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics.
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article8
1999The safest dependence structure among risks In: Insurance: Mathematics and Economics.
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article36
2000An easy computable upper bound for the price of an arithmetic Asian option In: Insurance: Mathematics and Economics.
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article30
2000Upper and lower bounds for sums of random variables In: Insurance: Mathematics and Economics.
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article56
2001Does positive dependence between individual risks increase stop-loss premiums? In: Insurance: Mathematics and Economics.
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article24
2002The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics.
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article217
2002The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics.
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article177
2003Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics.
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article5
2003The hurdle-race problem In: Insurance: Mathematics and Economics.
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article5
2004Some new classes of consistent risk measures In: Insurance: Mathematics and Economics.
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article51
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
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article30
2008Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics.
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article26
2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
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article10
2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
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article10
2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
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article7
2010Optimal portfolio selection for general provisioning and terminal wealth problems In: Insurance: Mathematics and Economics.
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article4
2011A recursive approach to mortality-linked derivative pricing In: Insurance: Mathematics and Economics.
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article8
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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article16
2012Convex order approximations in the case of cash flows of mixed signs In: Insurance: Mathematics and Economics.
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article3
2013Tail Variance premiums for log-elliptical distributions In: Insurance: Mathematics and Economics.
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article3
2013On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics.
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article14
2014Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics.
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article6
2016Optimal allocation of policy deductibles for exchangeable risks In: Insurance: Mathematics and Economics.
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article2
2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency In: Insurance: Mathematics and Economics.
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article20
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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article4
2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency In: Insurance: Mathematics and Economics.
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article13
2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory In: Insurance: Mathematics and Economics.
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article3
2021Fair dynamic valuation of insurance liabilities via convex hedging In: Insurance: Mathematics and Economics.
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article1
2001De nabije toekomst van het Actuariaat in Leuven In: Review of Business and Economic Literature.
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2001Some Remarks on IBNR Evaluation Techniques In: Review of Business and Economic Literature.
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article0
2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
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article0
2001Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation In: Review of Business and Economic Literature.
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article1
2005Het Actuariaat in Leuven: 2001-2003 en de toekomst In: Review of Business and Economic Literature.
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article0
2005Managing Uncertainty: Financial, Actuarial and Statistical Modeling In: Review of Business and Economic Literature.
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article0
2005Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature.
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article0
2007Comonotonicity In: Review of Business and Economic Literature.
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article50
2008Modern Actuarial Risk Theory In: Springer Books.
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book96
2009A Robustification of the Chain-Ladder Method In: North American Actuarial Journal.
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article7
2000“Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000 In: North American Actuarial Journal.
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article0
2003Economic Capital Allocation Derived from Risk Measures In: North American Actuarial Journal.
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article60
2003Stable Laws and the Present Value of Fixed Cash Flows In: North American Actuarial Journal.
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article0
2005Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal.
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article4
2015Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets In: Tinbergen Institute Discussion Papers.
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paper1
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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article
2015Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior In: Tinbergen Institute Discussion Papers.
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paper0
2001Convex upper and lower bounds for present value functions In: Applied Stochastic Models in Business and Industry.
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