Jan Dhaene : Citation Profile


Are you Jan Dhaene?

KU Leuven

19

H index

24

i10 index

1186

Citations

RESEARCH PRODUCTION:

74

Articles

23

Papers

RESEARCH ACTIVITY:

   30 years (1989 - 2019). See details.
   Cites by year: 39
   Journals where Jan Dhaene has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 45 (3.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdh2
   Updated: 2021-02-20    RAS profile: 2021-01-05    
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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 (34)

Goovaerts, Marc (34)

Chateauneuf, Alain (25)

Guillen, Montserrat (25)

mostoufi, mina (21)

Mierzejewski, Fernando (16)

Ferretti, Paola (13)

Vanduffel, Steven (12)

De Waegenaere, Anja (11)

De Schepper, Ann (11)

Rulliere, Didier (9)

Cites to:

Goovaerts, Marc (117)

Vanduffel, Steven (24)

Laeven, Roger (16)

Pelsser, Antoon (11)

Chateauneuf, Alain (11)

Müller, Alfred (8)

Valdez, Emiliano (6)

De Schepper, Ann (6)

Tallon, Jean-Marc (5)

Stadje, Mitja (5)

Schmeidler, David (4)

Main data


Where Jan Dhaene has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics36
ASTIN Bulletin12
Review of Business and Economic Literature8
Journal of Risk & Insurance5
North American Actuarial Journal5
Journal of Pension Economics and Finance2

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

Recent works citing Jan Dhaene (2021 and 2020)


YearTitle of citing document
2020Ultimate 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.

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2020From 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.

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2020From 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.

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2020Conditional 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.

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2020Risk 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.

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2020Life-Care Tontines. (2020). Lucas, Nathalie ; Hieber, Peter. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020026.

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2020Stop-loss protection for a large P2P insurance pool. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020028.

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2020Conditional mean risk sharing for dependent risks using graphical models. (2020). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020029.

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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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2020Model-Independent Price Bounds for Catastrophic Mortality Bonds. (2016). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Papers. RePEc:arx:papers:1607.07108.

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2020On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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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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2020Risk Management with Tail Quasi-Linear Means. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2020Stability properties of Haezendonck-Goovaerts premium principles. (2019). Xanthos, Foivos ; Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1909.10735.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2020Bounds on Multi-asset Derivatives via Neural Networks. (2019). Bernard, Carole ; de Gennaro, Luca. In: Papers. RePEc:arx:papers:1911.05523.

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2020Nonlinear reserving and multiple contract modifications in life insurance. (2019). Djehiche, Boualem ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:1911.06159.

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2020Modality for Scenario Analysis and Maximum Likelihood Allocation. (2020). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2005.02950.

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2020Model-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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2020A Natural Actor-Critic Algorithm with Downside Risk Constraints. (2020). Spooner, Thomas ; Savani, Rahul. In: Papers. RePEc:arx:papers:2007.04203.

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2020Pricing 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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2020Pricing 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.

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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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2020Option 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.

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2020Insurance 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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2021Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

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2021Some 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.

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2020Economic 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.

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2020A 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.

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2020Weak comonotonicity. (2020). Wang, Ruodu ; Zitikis, Riardas. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:386-397.

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2020General 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.

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2020Identifying 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.

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2020Stochastic 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.

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2020On 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.

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2020Validation of association. (2020). Ledwina, Teresa ; Miel, Bogdan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:55-67.

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2020On 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.

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2020On 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.

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2020Multivariate 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.

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2020Nonlinear 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.

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2020Ruin-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.

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2020Stability 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.

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2020On 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.

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2020On 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.

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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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2020Optimal 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.

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2020Optimal 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.

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2020Linear 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.

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2020A 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.

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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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2020Option 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.

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2020Pricing 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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2020Refundable deductible insurance. (2020). Marmol, Maite ; Claramunt, Maria Merce. In: Working Papers. RePEc:hal:wpaper:hal-02909299.

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2020The 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.

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2020Optimal 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.

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2020The 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.

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2020A 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.

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2020A 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.

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2020On 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.

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Works by Jan Dhaene:


YearTitleTypeCited
2010Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper24
2012Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 24
paper
2012Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 24
article
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA.
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paper3
2014Reserve-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
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 3
paper
2014The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA.
[Citation analysis]
paper2
2015The minimal entropy martingale measure in a market of traded financial and actuarial risks.(2015) In: LIDAM Reprints ISBA.
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This paper has another version. Agregated cites: 2
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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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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This paper has another version. Agregated cites: 1
paper
2015Tail Mutual Exclusivity and Tail-Var Lower Bounds.(2015) In: Tinbergen Institute Discussion Papers.
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2015On the transferability of reserves in lifelong health insurance contracts In: LIDAM Discussion Papers ISBA.
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2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system In: LIDAM Discussion Papers ISBA.
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2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: LIDAM Reprints ISBA.
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2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: Health Policy.
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2017Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA.
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2017Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation In: LIDAM Reprints ISBA.
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2017LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION.(2017) In: ASTIN Bulletin.
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2019A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA.
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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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2002Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics.
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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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2003On the Distribution of Cash Flows Using Esscher Transforms In: Journal of Risk & Insurance.
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2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
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2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article22
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.
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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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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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article59
1996On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin.
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1997On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin.
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2002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin.
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2003A Unified Approach to Generate Risk Measures In: ASTIN Bulletin.
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2019FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin.
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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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article6
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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article49
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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article187
2002The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics.
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article151
2003Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics.
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article4
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.
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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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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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2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency In: Insurance: Mathematics and Economics.
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2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory In: Insurance: Mathematics and Economics.
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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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2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
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2001Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation In: Review of Business and Economic Literature.
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2005Het Actuariaat in Leuven: 2001-2003 en de toekomst In: Review of Business and Economic Literature.
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2005Managing Uncertainty: Financial, Actuarial and Statistical Modeling In: Review of Business and Economic Literature.
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2005Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature.
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2007Comonotonicity In: Review of Business and Economic Literature.
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2009A Robustification of the Chain-Ladder Method In: North American Actuarial Journal.
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2000“Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000 In: North American Actuarial Journal.
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2003Economic Capital Allocation Derived from Risk Measures In: North American Actuarial Journal.
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2003Stable Laws and the Present Value of Fixed Cash Flows In: North American Actuarial Journal.
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2005Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal.
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2015Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets 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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2015Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior In: Tinbergen Institute Discussion Papers.
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2001Convex upper and lower bounds for present value functions In: Applied Stochastic Models in Business and Industry.
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