19
H index
24
i10 index
1186
Citations
KU Leuven | 19 H index 24 i10 index 1186 Citations RESEARCH PRODUCTION: 74 Articles 23 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Insurance: Mathematics and Economics | 36 |
ASTIN Bulletin | 12 |
Review of Business and Economic Literature | 8 |
Journal of Risk & Insurance | 5 |
North American Actuarial Journal | 5 |
Journal of Pension Economics and Finance | 2 |
Year | Title of citing document |
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2020 | Ultimate behavior of conditional mean risk sharing for independent compound Panjer-Katz sums with gamma and Pareto severities. (2020). Robert, C Y ; Denuit, M. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020014. Full description at Econpapers || Download paper |
2020 | From risk sharing to pure premium for a large number of heterogeneous losses. (2020). Robert, C Y ; Denuit, M. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020015. Full description at Econpapers || Download paper |
2020 | From risk sharing to risk transfer: the analytics of collaborative insurance. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020017. Full description at Econpapers || Download paper |
2020 | Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent risks. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020018. Full description at Econpapers || Download paper |
2020 | Risk reduction by conditional mean risk sharing with application to collaborative insurance. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020024. Full description at Econpapers || Download paper |
2020 | Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026. Full description at Econpapers || Download paper |
2020 | Stop-loss protection for a large P2P insurance pool. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020028. Full description at Econpapers || Download paper |
2020 | Conditional mean risk sharing for dependent risks using graphical models. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020029. Full description at Econpapers || Download paper |
2021 | Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477. Full description at Econpapers || Download paper |
2020 | Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829. Full description at Econpapers || Download paper |
2021 | Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821. Full description at Econpapers || Download paper |
2020 | Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941. Full description at Econpapers || Download paper |
2020 | Stability properties of Haezendonck-Goovaerts premium principles. (2019). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1909.10735. Full description at Econpapers || Download paper |
2020 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper |
2020 | Bounds on Multi-asset Derivatives via Neural Networks. (2019). Bernard, Carole ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:1911.05523. Full description at Econpapers || Download paper |
2020 | Nonlinear reserving and multiple contract modifications in life insurance. (2019). Djehiche, Boualem ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:1911.06159. Full description at Econpapers || Download paper |
2020 | Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950. Full description at Econpapers || Download paper |
2020 | Model-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. Full description at Econpapers || Download paper |
2020 | A Natural Actor-Critic Algorithm with Downside Risk Constraints. (2020). Spooner, Thomas ; Savani, Rahul. In: Papers. RePEc:arx:papers:2007.04203. Full description at Econpapers || Download paper |
2020 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804. Full description at Econpapers || Download paper |
2020 | Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market. (2020). Mildenhall, Stephen J ; Major, John A. In: Papers. RePEc:arx:papers:2008.12427. Full description at Econpapers || Download paper |
2021 | Law-invariant functionals that collapse to the mean. (2020). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2009.04144. Full description at Econpapers || Download paper |
2020 | Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2011.08343. Full description at Econpapers || Download paper |
2020 | Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364. Full description at Econpapers || Download paper |
2021 | Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077. Full description at Econpapers || Download paper |
2021 | Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Mohammed, Nawaf ; Furman, Edward ; Su, Jianxi. In: Papers. RePEc:arx:papers:2102.05003. Full description at Econpapers || Download paper |
2020 | Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain. (2020). Trujilloponce, Antonio ; Parradomartinez, Purificacion ; Moreno, Ignacio . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2965-2994. Full description at Econpapers || Download paper |
2020 | A generalization of the Aumann–Shapley value for risk capital allocation problems. (2020). De Waegenaere, Anja ; Norde, Henk ; Boonen, Tim J. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:277-287. Full description at Econpapers || Download paper |
2020 | Weak comonotonicity. (2020). Wang, Ruodu ; Zitikis, Riardas. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:386-397. Full description at Econpapers || Download paper |
2020 | General lattice methods for arithmetic Asian options. (2020). Gambaro, Anna Maria ; Fusai, Gianluca ; Kyriakou, Ioannis. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1185-1199. Full description at Econpapers || Download paper |
2020 | Identifying influential energy stocks based on spillover network. (2020). Sun, Qingru ; Tang, Renwu ; Gao, Xiangyun ; Wang, ZE. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918305179. Full description at Econpapers || Download paper |
2020 | Stochastic volatility models for the implied correlation index.. (2020). Escobar Anel, Marcos ; Fang, Lin. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930056x. Full description at Econpapers || Download paper |
2020 | On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134. Full description at Econpapers || Download paper |
2020 | Validation of association. (2020). Ledwina, Teresa ; Miel, Bogdan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:55-67. Full description at Econpapers || Download paper |
2020 | On sums of two counter-monotonic risks. (2020). Marceau, Etienne ; Gadoury, Simon-Pierre ; Cossette, Helene ; Chaoubi, Ihsan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:47-60. Full description at Econpapers || Download paper |
2020 | On the increasing convex order of generalized aggregation of dependent random variables. (2020). Cheung, Ka Chun ; Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:61-69. Full description at Econpapers || Download paper |
2020 | Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models. (2020). Yao, Jing ; Shushi, Tomer. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:178-186. Full description at Econpapers || Download paper |
2020 | Nonlinear reserving and multiple contract modifications in life insurance. (2020). Djehiche, Boualem ; Christiansen, Marcus C. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:187-195. Full description at Econpapers || Download paper |
2020 | Ruin-based risk measures in discrete-time risk models. (2020). Zuyderhoff, Pierre ; Trufin, Julien ; Marceau, Etienne ; Cossette, Helene. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:246-261. Full description at Econpapers || Download paper |
2020 | Stability properties of Haezendonck–Goovaerts premium principles. (2020). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:94-99. Full description at Econpapers || Download paper |
2020 | On a family of coherent measures of variability. (2020). Chen, Ouxiang ; Hu, Taizhong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:173-182. Full description at Econpapers || Download paper |
2020 | On a robust risk measurement approach for capital determination errors minimization. (2020). Moresco, Marlon Ruoso ; Muller, Fernanda Maria ; Righi, Marcelo Brutti. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:199-211. Full description at Econpapers || Download paper |
2021 | From 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. Full description at Econpapers || Download paper |
2021 | Multiplicative 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. Full description at Econpapers || Download paper |
2021 | Pareto-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. Full description at Econpapers || Download paper |
2021 | Stochastic 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. Full description at Econpapers || Download paper |
2021 | Moment-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. Full description at Econpapers || Download paper |
2021 | Model-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. Full description at Econpapers || Download paper |
2020 | Optimal insurance in the presence of multiple policyholders. (2020). Vanduffel, Steven ; Liu, Fangda ; Bernard, Carole. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:180:y:2020:i:c:p:638-656. Full description at Econpapers || Download paper |
2020 | Optimal capitalization and deposit insurance strategies with regard to moral hazard. (2020). Cheng, Jiang ; Mao, Hong. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519303005. Full description at Econpapers || Download paper |
2020 | Linear orderings of the scale mixtures of the multivariate skew-normal distribution. (2020). Jamalizadeh, Ahad ; Izadkhah, Salman ; Amiri, Mehdi. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:179:y:2020:i:c:s0047259x20302281. Full description at Econpapers || Download paper |
2020 | A modified version of stochastic dominance involving dependence. (2020). Montes, Susana ; Salamanca, Juan Jesus. In: Statistics & Probability Letters. RePEc:eee:stapro:v:165:y:2020:i:c:s0167715220301516. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2020 | Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:321-:d:462729. Full description at Econpapers || Download paper |
2020 | Pricing 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. Full description at Econpapers || Download paper |
2020 | Refundable deductible insurance. (2020). Marmol, Maite ; Claramunt, Maria Merce. In: Working Papers. RePEc:hal:wpaper:hal-02909299. Full description at Econpapers || Download paper |
2020 | The Distributionally Robust Chance-Constrained Vehicle Routing Problem. (2020). Wiesemann, Wolfram ; Ghosal, Shubhechyya. In: Operations Research. RePEc:inm:oropre:v:68:y:2020:i:3:p:716-732. Full description at Econpapers || Download paper |
2020 | Optimal Portfolio Positioning on Multiple Assets Under Ambiguity. (2020). Prigent, Jean-Luc ; Triki, Emna ; Boujelbene, Mouna ; ben Ameur, Hachmi. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09894-y. Full description at Econpapers || Download paper |
2020 | The relation between PD and LGD: an application to a corporate loan portfolio. (2020). Santos, Antonio. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:e202009. Full description at Econpapers || Download paper |
2020 | A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies. (2020). Fantazzini, Dean ; Zimin, Stephan. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:47:y:2020:i:1:d:10.1007_s40812-019-00136-8. Full description at Econpapers || Download paper |
2020 | A Black–Scholes inequality: applications and generalisations. (2020). Tehranchi, Michael R. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:1:d:10.1007_s00780-019-00410-6. Full description at Econpapers || Download paper |
2020 | On Minimal Copulas under the Concordance Order. (2020). Fuchs, Sebastian ; Ahn, Jae Youn. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:184:y:2020:i:3:d:10.1007_s10957-019-01618-4. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 24 |
2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 24 | paper | |
2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
2014 | Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 3 |
2014 | Reserve-dependent benefits and costs in life and health insurance contracts.(2014) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 2 |
2015 | The minimal entropy martingale measure in a market of traded financial and actuarial risks.(2015) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2014 | The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2015 | Tail mutual exclusivity and Tail-VaR lower bounds In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 1 |
2017 | Tail mutual exclusivity and Tail-VaR lower bounds.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | Tail Mutual Exclusivity and Tail-Var Lower Bounds.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2015 | On the transferability of reserves in lifelong health insurance contracts In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 0 |
2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: Health Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2017 | Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2017 | LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION.(2017) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2019 | A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2019 | A dynamic equivalence principle for systematic longevity risk management.(2019) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2001 | Bounds for present value functions with stochastic interest rates and stochastic volatility In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2019 | Systemic Risk: Conditional Distortion Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 2 |
2009 | Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2017 | IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 1 |
2003 | On the Distribution of Cash Flows Using Esscher Transforms In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 4 |
2005 | Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 20 |
2008 | Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 22 |
2009 | Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 2 |
2012 | Optimal Capital Allocation Principles In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 71 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 71 | paper | |
2006 | Risk measurement with equivalent utility principles In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 31 |
1989 | Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 9 |
1989 | Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes.(1989) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
1990 | Distributions in Life Insurance In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
1992 | Error Bounds for Compound Poisson Approximations of the Individual Risk Model In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 5 |
1996 | Some Moment Relations for the Hipp approximation In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
1996 | Dependency of Risks and Stop-Loss Order1 In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 59 |
1996 | On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 1 |
1997 | On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 3 |
2002 | A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 14 |
2003 | A Unified Approach to Generate Risk Measures In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 13 |
2019 | FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
2012 | Comonotonic approximations for the probability of lifetime ruin In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2005 | On the evaluation of plans In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2006 | Bounds for the price of a European-style Asian option in a binary tree model In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
1994 | On a class of approximative computation methods in the individual risk model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
1995 | Recursions for the individual model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
1996 | The compound Poisson approximation for a portfolio of dependent risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
1997 | On the dependency of risks in the individual life model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
1997 | A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
1998 | Comonotonicity, correlation order and premium principles In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 56 |
1999 | Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
1999 | The safest dependence structure among risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 34 |
2000 | An easy computable upper bound for the price of an arithmetic Asian option In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
2000 | Upper and lower bounds for sums of random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 49 |
2001 | Does positive dependence between individual risks increase stop-loss premiums? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 23 |
2002 | The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 187 |
2002 | The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 151 |
2003 | Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2003 | The hurdle-race problem In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2004 | Some new classes of consistent risk measures In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 47 |
2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 25 |
2008 | Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 22 |
2008 | Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
2009 | Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
2009 | Correlation order, merging and diversification In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
2010 | Optimal portfolio selection for general provisioning and terminal wealth problems In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2011 | A recursive approach to mortality-linked derivative pricing In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
2012 | The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 15 |
2012 | Convex order approximations in the case of cash flows of mixed signs In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2013 | Tail Variance premiums for log-elliptical distributions In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2013 | On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 10 |
2014 | Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2016 | Optimal allocation of policy deductibles for exchangeable risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
2017 | Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2018 | An approximation method for risk aggregations and capital allocation rules based on additive risk factor models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
2019 | Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
2019 | Fair valuation of insurance liability cash-flow streams in continuous time: Theory In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
2001 | De nabije toekomst van het Actuariaat in Leuven In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2001 | Some Remarks on IBNR Evaluation Techniques In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2001 | How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2001 | Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 2 |
2005 | Het Actuariaat in Leuven: 2001-2003 en de toekomst In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2005 | Managing Uncertainty: Financial, Actuarial and Statistical Modeling In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2005 | Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2007 | Comonotonicity In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 69 |
2009 | A Robustification of the Chain-Ladder Method In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 2 |
2000 | “Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000 In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2003 | Economic Capital Allocation Derived from Risk Measures In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 36 |
2003 | Stable Laws and the Present Value of Fixed Cash Flows In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2005 | Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 4 |
2015 | Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Option prices and model-free measurement of implied herd behavior in stock markets.(2015) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2015 | Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Convex upper and lower bounds for present value functions In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 2 |
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