Jan Dhaene : Citation Profile


Are you Jan Dhaene?

KU Leuven

16

H index

20

i10 index

941

Citations

RESEARCH PRODUCTION:

63

Articles

9

Papers

RESEARCH ACTIVITY:

   30 years (1989 - 2019). See details.
   Cites by year: 31
   Journals where Jan Dhaene has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 37 (3.78 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdh2
   Updated: 2019-10-06    RAS profile: 2019-05-29    
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Relations with other researchers


Works with:

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

Is cited by:

Laeven, Roger (33)

Goovaerts, Marc (30)

Guillen, Montserrat (19)

Chateauneuf, Alain (13)

mostoufi, mina (11)

Vanduffel, Steven (9)

Rulliere, Didier (9)

Ferretti, Paola (9)

Wu, Xianyi (8)

Puccetti, Giovanni (8)

Chi, Yichun (7)

Cites to:

Goovaerts, Marc (109)

Vanduffel, Steven (22)

Laeven, Roger (14)

Chateauneuf, Alain (8)

Valdez, Emiliano (8)

Müller, Alfred (8)

De Schepper, Ann (6)

Gilboa, Itzhak (4)

Schmeidler, David (4)

Sandmann, Klaus (4)

Pelsser, Antoon (4)

Main data


Where Jan Dhaene has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics34
ASTIN Bulletin: The Journal of the International Actuarial Association12
North American Actuarial Journal5
Journal of Risk & Insurance5
Journal of Pension Economics and Finance2

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

Recent works citing Jan Dhaene (2019 and 2018)


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

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

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

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

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

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

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2018Weak comonotonicity. (2018). Zitikis, Ricardas ; Wang, Ruodu. In: Papers. RePEc:arx:papers:1812.04827.

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2019Risk Management with Tail Conditional Certainty Equivalents. (2019). Shushi, Tomer ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1902.06941.

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2019Consistent upper price bounds for exotic options given a finite number of call prices and their convergence. (2019). Schmithals, Daniel ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:1907.09144.

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2019A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula. (2019). Infante, Jose Arturo ; Cherchali, Adel ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1908.00811.

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2019Valoración de opciones call asiáticas Promedio Aritmético usando Taylor Estocástico 1.5.. (2019). Giron, Luis Eduardo ; Baixauli, Samuel ; Diez, Susana Alvarez. In: Working Papers. RePEc:ddt:wpaper:44.

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2019Valoración de Opciones Call Asiáticas Promedio Aritmético bajo Movimiento Browniano Logístico. (2019). Giron, Luis Eduardo ; Baixauli, Samuel ; Diez, Susana Alvarez. In: Working Papers. RePEc:ddt:wpaper:46.

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

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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

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

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

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

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

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

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

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

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

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

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2018Insurance choice under third degree stochastic dominance. (2018). Chi, Yichun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:198-205.

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2018Euler allocations in the presence of non-linear reinsurance: Comment on Major (2018). (2018). Pesenti, Silvana M ; Millossovich, Pietro ; Tsanakas, Andreas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:29-31.

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2018A stochastic order for the analysis of investments affected by the time value of money. (2018). Lopez-Diaz, Maria Concepcion ; Martinez-Fernandez, Sergio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:75-82.

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2019Forecasting compositional risk allocations. (2019). Boonen, Tim J ; Santolino, Miguel ; Guillen, Montserrat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:79-86.

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2019Dynamic capital allocation with irreversible investments. (2019). Zanjani, George ; Ping, Xiaohu ; Kamiya, Shinichi ; Bauer, Daniel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:85:y:2019:i:c:p:138-152.

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2019Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions. (2019). Kim, So-Yeun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:145-157.

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2019Affordable and adequate annuities with stable payouts: Fantasy or reality?. (2019). Linders, Daniel ; van Bilsen, Servaas . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:19-42.

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2019Asymptotics of multivariate conditional risk measures for Gaussian risks. (2019). Ling, Chengxiu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:205-215.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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2018A clustering approach and a rule of thumb for risk aggregation. (2018). Marta, F ; Puccetti, Giovanni ; Giammusso, Davide. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248.

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

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2018Exact probability distribution function for the volatility of cumulative production. (2018). Zadourian, Rubina ; Klumper, Andreas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:59-66.

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

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2019Peacocks nearby: Approximating sequences of measures. (2019). Gulum, Cetin I ; Gerhold, Stefan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:7:p:2406-2436.

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2019Equivalent distortion risk measures on moment spaces. (2019). Vanduffel, Steven ; Cornilly, Dries. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:187-192.

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2019A generalization of Expected Shortfall based capital allocation. (2019). Zhou, Yong ; Xun, LI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:146:y:2019:i:c:p:193-199.

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2019Extreme-aggregation measures in the RDEU model. (2019). Hu, Taizhong ; Chen, Ouxiang. In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:155-163.

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

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2018A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842.

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2019Direct and Hierarchical Models for Aggregating Spatially Dependent Catastrophe Risks. (2019). Guin, Jayanta ; Liu, Charlie Wusuo ; Wojcik, Rafa. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:54-:d:229383.

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

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2019Coherent diversification measures in portfolio theory: An axiomatic foundation. (2019). Dionne, Georges ; Koumou, Gilles Boevi. In: Working Papers. RePEc:ris:crcrmw:2019_002.

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

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

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2019Voting on multiple issues: what to put on the ballot?. (2018). Gershkov, Alex ; Shi, Xianwen ; Moldovanu, Benny. In: Theoretical Economics. RePEc:the:publsh:3193.

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

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Works by Jan Dhaene:


YearTitleTypeCited
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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paper0
2017IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS In: Journal of Economic Surveys.
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article0
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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article19
2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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article21
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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article60
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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article28
1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article9
1989Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes.(1989) In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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1990Distributions in Life Insurance In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article2
1992Error Bounds for Compound Poisson Approximations of the Individual Risk Model In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article5
1996Some Moment Relations for the Hipp approximation In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article2
1996Dependency of Risks and Stop-Loss Order In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article56
1996On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article1
1997On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article3
2002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article13
2003A Unified Approach to Generate Risk Measures In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article12
2017LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2019FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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article1
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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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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article3
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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article4
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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article24
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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article50
1999Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics.
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article7
1999The safest dependence structure among risks In: Insurance: Mathematics and Economics.
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article32
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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article45
2001Does positive dependence between individual risks increase stop-loss premiums? In: Insurance: Mathematics and Economics.
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article22
2002The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics.
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article168
2002The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics.
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article133
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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article44
2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
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article19
2008Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics.
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article18
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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article6
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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article4
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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article2
2012Convex order and comonotonic conditional mean risk sharing In: Insurance: Mathematics and Economics.
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2013Tail Variance premiums for log-elliptical distributions In: Insurance: Mathematics and Economics.
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2013On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics.
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2014Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics.
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2016Optimal allocation of policy deductibles for exchangeable risks In: Insurance: Mathematics and Economics.
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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency In: Insurance: Mathematics and Economics.
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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models In: Insurance: Mathematics and Economics.
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2019A dynamic equivalence principle for systematic longevity risk management In: Insurance: Mathematics and Economics.
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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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2014The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks In: Tinbergen Institute Discussion Papers.
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2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: Tinbergen Institute Discussion Papers.
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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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2015Tail Mutual Exclusivity and Tail-Var Lower Bounds 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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