Marc Goovaerts : Citation Profile


Are you Marc Goovaerts?

KU Leuven (50% share)
Tinbergen Instituut (50% share)

16

H index

21

i10 index

931

Citations

RESEARCH PRODUCTION:

97

Articles

6

Papers

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   34 years (1978 - 2012). See details.
   Cites by year: 27
   Journals where Marc Goovaerts has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 29 (3.02 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo174
   Updated: 2019-05-18    RAS profile: 2015-07-27    
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Relations with other researchers


Works with:

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

Is cited by:

Dhaene, Jan (61)

Laeven, Roger (41)

Vanduffel, Steven (21)

Guillen, Montserrat (19)

Chi, Yichun (11)

Mierzejewski, Fernando (10)

Valdez, Emiliano (9)

Chateauneuf, Alain (9)

Ferretti, Paola (8)

Puccetti, Giovanni (8)

Loisel, Stéphane (8)

Cites to:

Dhaene, Jan (68)

Laeven, Roger (26)

Schmeidler, David (14)

De Schepper, Ann (11)

Chateauneuf, Alain (9)

Gilboa, Itzhak (8)

Vanduffel, Steven (5)

Jorgensen, Bjorn (4)

Müller, Alfred (4)

El-Hassan, Nadima (4)

Lapied, André (4)

Main data


Where Marc Goovaerts has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics85
Journal of Risk & Insurance3
Physica A: Statistical Mechanics and its Applications2
Journal of Pension Economics and Finance2

Working Papers Series with more than one paper published# docs
Working Papers / University of Antwerp, Faculty of Business and Economics4

Recent works citing Marc Goovaerts (2018 and 2017)


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

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2017A hybrid approach for risk assessment of loan guarantee network. (2017). Niu, Zhibin ; Zha, Hongyuan ; Zhang, Liqing ; Yan, Junchi ; Cheng, Dawei . In: Papers. RePEc:arx:papers:1702.04642.

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

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

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2018). Lejay, Antoine ; Pigato, Paolo. In: Papers. RePEc:arx:papers:1712.08329.

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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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2018The distortion principle for insurance pricing: properties, identification and robustness. (2018). Escobar, Daniela ; Pflug, Georg. In: Papers. RePEc:arx:papers:1809.06592.

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

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2018An optimization approach to adaptive multi-dimensional capital management. (2018). Delsing, G A ; E. M. M. Winands, ; P. J. C. Spreij, ; M. R. H. Mandjes, . In: Papers. RePEc:arx:papers:1812.08435.

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2019Systemic Risk: Conditional Distortion Risk Measures. (2019). Dhaene, Jan ; Zhang, Yiying. In: Papers. RePEc:arx:papers:1901.04689.

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

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2017Optimal Enterprise Risk Management and Decision Making With Shared and Dependent Risks. (2017). Ai, Jing ; Wang, Tianyang ; Brockett, Patrick L. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1127-1169.

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

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2017RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES. (2017). Boonen, Tim J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:303-329_00.

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2017Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint. (2017). Hu, Fengxia ; Wang, Rongming. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:313:y:2017:i:c:p:103-118.

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2017Distributional study of finite-time ruin related problems for the classical risk model. (2017). Li, Shuanming ; Lu, YI. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:319-330.

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2018Skew CIR process, conditional characteristic function, moments and bond pricing. (2018). Tian, Yingxu ; Zhang, Haoyan. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:329:y:2018:i:c:p:230-238.

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

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

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

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

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

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

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

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

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

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2017Analysis of survivorship life insurance portfolios with stochastic rates of return. (2017). Chen, LI ; Parker, Gary ; Lu, YI ; Lin, Luyao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:16-31.

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

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

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2017Haezendonck–Goovaerts risk measure with a heavy tailed loss. (2017). Liu, Qing ; Wang, Xing ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:28-47.

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

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

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

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

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

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

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2018Duality in ruin problems for ordered risk models. (2018). Goffard, Pierre-Olivier ; Lefevre, Claude. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:44-52.

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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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2018Stochastic distortion and its transformed copula. (2018). Lin, Feng ; Yang, Jingping ; Xie, Jiehua ; Peng, Liang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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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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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (2018). Dhaene, Jan ; Yao, Jing ; Zhou, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:92-100.

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2018Optimal insurance design under background risk with dependence. (2018). Lu, ZhiYi ; Han, Ziqi ; Liu, LePing ; Meng, Shengwang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:15-28.

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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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2018Minimizing the probability of ruin: Optimal per-loss reinsurance. (2018). Liang, Xiaoqing ; Young, Virginia R. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:181-190.

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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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2019Budget-constrained optimal insurance without the nonnegativity constraint on indemnities. (2019). Ghossoub, Mario. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:22-39.

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2019An optimization approach to adaptive multi-dimensional capital management. (2019). Delsing, G A ; Winands, E. M. M., ; Spreij, P. J. C., ; Mandjes, M. R. H., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:87-97.

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

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

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

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

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2017Decomposing aggregate risk into marginal risks under partial information: A top-down method. (2017). Shao, Hui. In: Statistics & Probability Letters. RePEc:eee:stapro:v:124:y:2017:i:c:p:97-100.

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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). Chen, Ouxiang ; Hu, Taizhong. In: Statistics & Probability Letters. RePEc:eee:stapro:v:148:y:2019:i:c:p:155-163.

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2017Continuous-time perpetuities and time reversal of diffusions. (2017). Robertson, Scott ; Kardaras, Constantinos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:67495.

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

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

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

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2017On the First Crossing of Two Boundaries by an Order Statistics Risk Process. (2017). Dimitrova, Dimitrina S ; Kaishev, Vladimir K ; Ignatov, Zvetan G. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:43-:d:108877.

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2018The Exponential Estimate of the Ultimate Ruin Probability for the Non-Homogeneous Renewal Risk Model. (2018). Kizinevi, Edita ; Iaulys, Jonas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:20-:d:135300.

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2018Fluctuation Theory for Upwards Skip-Free Lévy Chains. (2018). Vidmar, Matija. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:102-:d:170683.

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2019A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2019). Pigato, Paolo ; Lejay, Antoine. In: Post-Print. RePEc:hal:journl:hal-01669082.

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2017Two-sided exit problems in the ordered risk model. (2017). Goffard, Pierre-Olivier . In: Working Papers. RePEc:hal:wpaper:hal-01528204.

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2017A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082.

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2018The De Vylder-Goovaerts conjecture holds true within the diffusion limit. (2018). Ankirchner, Stefan ; Kazi-Tani, Nabil ; Blanchet-Scalliet, Christophette. In: Working Papers. RePEc:hal:wpaper:hal-01887402.

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

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2017ASSETS AND LIABILITIES MANAGEMENT DURING THE CRISIS - A STUDY ON BANKS IN ROMANIA. (2017). Gaban, Lucian ; Bechis, Liviu ; Fetita, Alin. In: Annals of Faculty of Economics. RePEc:ora:journl:v:1:y:2017:i:1:p:529-537.

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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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2017Determinantes del riesgo comportamental en prÈstamos de consumo y microcrÈdito: Un estudio de caso en Centro AmÈrica.. (2017). Uquillas, Adriana. In: Revista de Investigación en ciencias contables y Administrativas. RePEc:snh:journl:v:3:y:2017:i:1:p:35-66.

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2017Continuous-time perpetuities and time reversal of diffusions. (2017). Kardaras, Constantinos ; Robertson, Scott. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:1:d:10.1007_s00780-016-0308-0.

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

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2017EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT. (2017). Zhuo, Xiaoyang ; Menoukeu-Pamen, Olivier . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500285.

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Marc Goovaerts is editor of


Journal
Insurance: Mathematics and Economics

Works by Marc Goovaerts:


YearTitleTypeCited
2001Bounds for present value functions with stochastic interest rates and stochastic volatility In: Working Papers.
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2002Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics.
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2002Transition probabilities for diffusion equations by means of path integrals In: Working Papers.
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2003Copulas and the distribution of cash flows with mixed signs In: Working Papers.
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2003Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries In: Working Papers.
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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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2006Risk measurement with equivalent utility principles In: Statistics & Risk Modeling.
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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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2009Spectral decomposition of optimal asset-liability management In: Journal of Economic Dynamics and Control.
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1983Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions In: Journal of Econometrics.
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1984The effectiveness of temporary marginal cost subsidies In: International Journal of Industrial Organization.
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1991Bounds on stop-loss premiums and ruin probabilities In: Insurance: Mathematics and Economics.
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1991A recursive evaluation of the finite time ruin probability based on an equation of Seal In: Insurance: Mathematics and Economics.
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1992Editorial In: Insurance: Mathematics and Economics.
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1992Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model In: Insurance: Mathematics and Economics.
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1992Statistical risk evaluation applied to (Belgian) car insurance In: Insurance: Mathematics and Economics.
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1992Optimal parameter estimation under zero-excess assumptions in a classical model In: Insurance: Mathematics and Economics.
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1992Stochastic processes defined from a Lagrangian In: Insurance: Mathematics and Economics.
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1992A summary of new results on optimal parameter estimation under zero-excess assumptions In: Insurance: Mathematics and Economics.
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1992Editorial In: Insurance: Mathematics and Economics.
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1992A stochastic approach to insurance cycles In: Insurance: Mathematics and Economics.
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1992Optimal parameter estimation under zero excess assumptions in the Buhlmann--Straub model In: Insurance: Mathematics and Economics.
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1992Interest randomness in annuities certain In: Insurance: Mathematics and Economics.
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1992Some further results on annuities certain with random interest In: Insurance: Mathematics and Economics.
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1992The Laplace transform of annuities certain with exponential time distribution In: Insurance: Mathematics and Economics.
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1993Ordering of risks : Angela van Heerwaarden, (Thesis publishers, Amsterdam, 1992) pp. 159, fl.37,50/US $21,-, ISBN 90.5170.122.5. In: Insurance: Mathematics and Economics.
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1993Editorial: Disability risk in the EC In: Insurance: Mathematics and Economics.
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1994An analytical inversion of a Laplace transform related to annuities certain In: Insurance: Mathematics and Economics.
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1994The distributions of annuities In: Insurance: Mathematics and Economics.
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1994A note on the solution of practical ruin problems In: Insurance: Mathematics and Economics.
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1996The compound Poisson approximation for a portfolio of dependent risks In: Insurance: Mathematics and Economics.
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1997On the dependency of risks in the individual life model In: Insurance: Mathematics and Economics.
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1982A new premium calculation principle based on Orlicz norms In: Insurance: Mathematics and Economics.
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1982Ordering of risks: a review In: Insurance: Mathematics and Economics.
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1982Analytical best upper bounds on stop-loss premiums In: Insurance: Mathematics and Economics.
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1982Numerical best bounds on stop-loss preminus 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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1997The solution of Schmitters simple problem: Numerical illustration In: Insurance: Mathematics and Economics.
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1997The bi-atomic uniform minimal solution of Schmitters problem In: Insurance: Mathematics and Economics.
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1997IBNR reserves under stochastic interest rates In: Insurance: Mathematics and Economics.
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1998Prediction of claim numbers based on hazard rates In: Insurance: Mathematics and Economics.
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1999Solvency margins and equalization reserves In: Insurance: Mathematics and Economics.
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1999The GARCH(1,1)-M model: results for the densities of the variance and the mean In: Insurance: Mathematics and Economics.
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1999Explicit finite-time and infinite-time ruin probabilities in the continuous case In: Insurance: Mathematics and Economics.
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1999Inequality extensions of Prabhus formula in ruin theory In: Insurance: Mathematics and Economics.
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1999Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics.
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1999On the distribution of IBNR reserves 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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2000Homogeneous risk models with equalized claim amounts 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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1983Bounds for the optimal critical claim size of a bonus system In: Insurance: Mathematics and Economics.
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1983Maximization of the variance of a stop-loss reinsured risk In: Insurance: Mathematics and Economics.
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1983Best bounds on the stop loss premium in case of known range, expectation, variance and mode of the risk In: Insurance: Mathematics and Economics.
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2002The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics.
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2002The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics.
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2003Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics.
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2003The hurdle-race problem In: Insurance: Mathematics and Economics.
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2004Some new classes of consistent risk measures In: Insurance: Mathematics and Economics.
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2004Editorial In: Insurance: Mathematics and Economics.
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2004An optimization approach to the dynamic allocation of economic capital In: Insurance: Mathematics and Economics.
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2004A comonotonic image of independence for additive risk measures In: Insurance: Mathematics and Economics.
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2004A Comonotonic Image of Independence for Additive Risk Measures.(2004) In: Tinbergen Institute Discussion Papers.
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2005Some asymptotic results for sums of dependent random variables, with actuarial applications In: Insurance: Mathematics and Economics.
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2005Approximations for life annuity contracts in a stochastic financial environment In: Insurance: Mathematics and Economics.
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1984Bounds for classical ruin probabilities In: Insurance: Mathematics and Economics.
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1984The structure of the distribution of a couple of observable random variables in credibility theory In: Insurance: Mathematics and Economics.
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1984A characterization of the class of credibility matrices corresponding to a certain class of discrete distributions In: Insurance: Mathematics and Economics.
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2008Actuarial risk measures for financial derivative pricing In: Insurance: Mathematics and Economics.
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2009Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance In: Insurance: Mathematics and Economics.
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2009Editorial In: Insurance: Mathematics and Economics.
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2009Editorial 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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2010A note on additive risk measures in rank-dependent utility In: Insurance: Mathematics and Economics.
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2010Decision principles derived from risk measures 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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1985Application of the problem of moments to derive bounds on integrals with integral constraints In: Insurance: Mathematics and Economics.
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1985Semilinear credibility with several approximating functions In: Insurance: Mathematics and Economics.
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1985Bounds on compound distributions and stop-loss premiums In: Insurance: Mathematics and Economics.
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2012On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures 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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1986Ordering of risks and ruin probabilities In: Insurance: Mathematics and Economics.
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1986Best bounds for positive distributions with fixed moments In: Insurance: Mathematics and Economics.
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1986General bounds on ruin probabilities In: Insurance: Mathematics and Economics.
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1986Extremal values of stop-loss premiums under moment constraints In: Insurance: Mathematics and Economics.
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1986Upper bounds on stop-loss premiums in case of known moments up to the fourth order In: Insurance: Mathematics and Economics.
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1987On the use of QUADPACK for the calculation of risk theoretical quantities In: Insurance: Mathematics and Economics.
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1987Premium rating under non-exponential utility In: Insurance: Mathematics and Economics.
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1987New upper bounds for stop-loss premiums for the individual model In: Insurance: Mathematics and Economics.
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1988Recursive calculation of finite-time ruin probabilities In: Insurance: Mathematics and Economics.
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1989Editorial In: Insurance: Mathematics and Economics.
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1989Optimal reinsurance in relation to ordering of risks In: Insurance: Mathematics and Economics.
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1989Combining Panjers recursion with convolution In: Insurance: Mathematics and Economics.
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1989The practical application of credibility theory In: Insurance: Mathematics and Economics.
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1989A credit scoring model for personal loans In: Insurance: Mathematics and Economics.
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1989Properties of the Esscher premium calculation principle In: Insurance: Mathematics and Economics.
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1990On a multilevel hierarchical credibility algorithm In: Insurance: Mathematics and Economics.
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2004Applications of δ-function perturbation to the pricing of derivative securities In: Physica A: Statistical Mechanics and its Applications.
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2006A path integral approach to asset-liability management In: Physica A: Statistical Mechanics and its Applications.
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1978On the infinite divisibility of the ratio of two gamma-distributed variables In: Stochastic Processes and their Applications.
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1988BETWEEN INDIVIDUAL AND COLLECTIVE MODEL FOR THE TOTAL CLAIMS In: Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics.
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