21
H index
30
i10 index
1582
Citations
KU Leuven | 21 H index 30 i10 index 1582 Citations RESEARCH PRODUCTION: 75 Articles 23 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jan Dhaene. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Insurance: Mathematics and Economics | 37 |
ASTIN Bulletin | 12 |
Review of Business and Economic Literature | 8 |
North American Actuarial Journal | 5 |
Journal of Risk & Insurance | 5 |
Journal of Pension Economics and Finance | 2 |
Year | Title of citing document | |
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2021 | Risk sharing under the dominant peer-to-peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021001. Full description at Econpapers || Download paper | |
2021 | Time-Consistent Evaluation of Credit Risk with Contagion. (2021). Hainaut, Donatien ; Ketelbuters, John John. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021004. Full description at Econpapers || Download paper | |
2021 | Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. (2021). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021016. Full description at Econpapers || Download paper | |
2021 | Risk-sharing rules and their properties, with applications to peer-to-peer insurance. (2021). Robert, Christian Y ; Dhaene, Jan ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021037. Full description at Econpapers || Download paper | |
2021 | Mortality credits within large survivor funds. (2021). Robert, Christian Y ; Hieber, Peter ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021038. Full description at Econpapers || Download paper | |
2022 | Dynamic conditional mean risk sharing in the compound Poisson surplus model. (2022). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022034. Full description at Econpapers || Download paper | |
2023 | Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance. (2023). Robert, Christian Y ; Ghossoub, Mario ; Dhaene, Jan ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023005. Full description at Econpapers || Download paper | |
2023 | Endowment contingency funds for mutual aid and public financing. (2023). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023009. Full description at Econpapers || Download paper | |
2023 | Conditional mean risk sharing of independent discrete losses in large pools. (2023). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023010. Full description at Econpapers || Download paper | |
2021 | Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477. Full description at Econpapers || Download paper | |
2021 | Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821. Full description at Econpapers || Download paper | |
2022 | Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288. Full description at Econpapers || Download paper | |
2021 | Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. (2020). Delong, Lukasz ; Barigou, Karim. In: Papers. RePEc:arx:papers:2007.08804. Full description at Econpapers || Download paper | |
2021 | Law-invariant functionals that collapse to the mean. (2020). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:2009.04144. Full description at Econpapers || Download paper | |
2021 | Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364. Full description at Econpapers || Download paper | |
2022 | Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077. Full description at Econpapers || Download paper | |
2021 | Probabilistic Framework For Loss Distribution Of Smart Contract Risk. (2021). Lanchier, Nicolas ; Jevtic, Petar . In: Papers. RePEc:arx:papers:2101.08964. Full description at Econpapers || Download paper | |
2021 | Least Squares Monte Carlo applied to Dynamic Monetary Utility Functions. (2021). Engsner, Hampus. In: Papers. RePEc:arx:papers:2101.10947. Full description at Econpapers || Download paper | |
2021 | Some results on the risk capital allocation rule induced by the Conditional Tail Expectation risk measure. (2021). Furman, Edward ; Su, Jianxi ; Mohammed, Nawaf. In: Papers. RePEc:arx:papers:2102.05003. Full description at Econpapers || Download paper | |
2021 | Ordered Risk Aggregation under Dependence Uncertainty. (2021). Chen, Yuyu ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2104.07718. Full description at Econpapers || Download paper | |
2021 | Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk. (2021). Afhami, Bahareh ; Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen. In: Papers. RePEc:arx:papers:2104.11594. Full description at Econpapers || Download paper | |
2021 | Numerical valuation of American basket options via partial differential complementarity problems. (2021). Snoeijer, Jacob ; In, Karel. In: Papers. RePEc:arx:papers:2106.01200. Full description at Econpapers || Download paper | |
2022 | Collaborative Insurance Sustainability and Network Structure. (2021). Vermet, Franck ; Ratz, Philipp ; Lowe, Matthias ; Kouakou, Lariosse ; Charpentier, Arthur. In: Papers. RePEc:arx:papers:2107.02764. Full description at Econpapers || Download paper | |
2021 | A bridge between Local GAAP and Solvency II frameworks to quantify Capital Requirement for demographic risk. (2021). Savelli, Nino ; della Corte, Francesco ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:2107.10891. Full description at Econpapers || Download paper | |
2021 | Distributionally robust goal-reaching optimization in the presence of background risk. (2021). Chi, Yichun ; Zhuang, Sheng Chao ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2108.04464. Full description at Econpapers || Download paper | |
2021 | Minimizing ruin probability under dependencies for insurance pricing. (2021). de Moura, Alexandra Bugalho ; Guerra, Manuel ; Gudmundarson, Ragnar Levy. In: Papers. RePEc:arx:papers:2108.10075. Full description at Econpapers || Download paper | |
2021 | Multiple-prior valuation of cash flows subject to capital requirements. (2021). Thoegersen, Julie ; Lindskog, Filip ; Engsner, Hampus. In: Papers. RePEc:arx:papers:2109.00306. Full description at Econpapers || Download paper | |
2022 | Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796. Full description at Econpapers || Download paper | |
2021 | Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2021). Woo, Jae-Kyung ; Peralta, Oscar. In: Papers. RePEc:arx:papers:2201.11122. Full description at Econpapers || Download paper | |
2022 | Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2022). Barczy, Matyas ; L'aszl'o S"utH{o}, ; Ned, Fanni K. In: Papers. RePEc:arx:papers:2202.09770. Full description at Econpapers || Download paper | |
2023 | Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity. (2022). Peters, Gareth W ; Jang, Jiwook ; Truck, Stefan ; Sofronov, Georgy ; Shevchenko, Pavel V ; Malavasi, Matteo. In: Papers. RePEc:arx:papers:2202.10588. Full description at Econpapers || Download paper | |
2023 | On the impact of outliers in loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.00184. Full description at Econpapers || Download paper | |
2023 | A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599. Full description at Econpapers || Download paper | |
2023 | Detection and treatment of outliers for multivariate robust loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.03874. Full description at Econpapers || Download paper | |
2023 | Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438. Full description at Econpapers || Download paper | |
2022 | A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520. Full description at Econpapers || Download paper | |
2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper | |
2022 | Optimal investment strategy to maximize the expected utility of an insurance company under Cramer Lundberg dynamic. (2022). Sikov, A ; Cerda-Hernandez, J. In: Papers. RePEc:arx:papers:2207.02947. Full description at Econpapers || Download paper | |
2023 | An axiomatic theory for anonymized risk sharing. (2022). Wang, Ruodu ; Liu, Yang ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2208.07533. Full description at Econpapers || Download paper | |
2023 | Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520. Full description at Econpapers || Download paper | |
2022 | The limitations of comonotonic additive risk measures: a literature review. (2022). de Oliveira, Eduardo ; Righi, Marcelo Brutti ; Santos, Samuel Solgon. In: Papers. RePEc:arx:papers:2212.13864. Full description at Econpapers || Download paper | |
2023 | Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517. Full description at Econpapers || Download paper | |
2023 | Pairwise counter-monotonicity. (2023). Wang, Ruodu ; Lin, Liyuan ; Lauzier, Jean-Gabriel. In: Papers. RePEc:arx:papers:2302.11701. Full description at Econpapers || Download paper | |
2023 | A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules. (2023). Niakh, Fallou. In: Papers. RePEc:arx:papers:2303.05421. Full description at Econpapers || Download paper | |
2023 | Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions. (2023). Yao, Jing ; Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2305.09097. Full description at Econpapers || Download paper | |
2023 | A cohort-based Partial Internal Model for demographic risk. (2023). Savelli, Nino ; Clemente, Gian Paolo ; della Corte, Francesco. In: Papers. RePEc:arx:papers:2307.03090. Full description at Econpapers || Download paper | |
2022 | Risk?sharing rules and their properties, with applications to peer?to?peer insurance. (2022). Robert, Christian Y ; Dhaene, Jan ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:615-667. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Capital requirements and claims recovery: A new perspective on solvency regulation. (2023). Wilhelmy, Lutz ; Weber, Stefan ; Munari, Cosimo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:329-380. Full description at Econpapers || Download paper | |
2021 | Risk sharing under the dominant peer?to?peer property and casualty insurance business models. (2021). Robert, Christian Y ; Denuit, Michel. In: Risk Management and Insurance Review. RePEc:bla:rmgtin:v:24:y:2021:i:2:p:181-205. Full description at Econpapers || Download paper | |
2021 | Capital allocation, the leverage ratio requirement. (2021). Vo, Quynh-Anh ; Neamtu, Ioana. In: Bank of England working papers. RePEc:boe:boeewp:0956. Full description at Econpapers || Download paper | |
2021 | Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals. (2021). Katja, Ignatieva ; Vitali, Alexeev ; Thusitha, Liyanage. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:1. Full description at Econpapers || Download paper | |
2021 | Consistent Testing for an Implication of Supermodular Dominance. (2021). , Whang ; Linton, O ; Chung, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2134. Full description at Econpapers || Download paper | |
2023 | Le déploiement de la cybersanté au Mali: considérations juridiques à partir de la perspective québécoise. (2023). Kiriakos, Mathieu ; Toussaint-Martin, Olivia ; Orozco, Natalia Torres ; Oula, Arthur ; Daniel, Charles-Tienne ; Forcier, Mlanie Bourassa. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-08. Full description at Econpapers || Download paper | |
2022 | Asymptotic risk decomposition for regularly varying distributions with tail dependence. (2022). Iaulys, Jonas ; Jaun, Egl. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:427:y:2022:i:c:s0096300322002247. Full description at Econpapers || Download paper | |
2023 | A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk. (2023). Maroufy, Vahed ; Madadi, Mohsen ; Rezapour, Mohsen ; Afhami, Bahareh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:444:y:2023:i:c:s0096300322008761. Full description at Econpapers || Download paper | |
2022 | An insurance mechanism for electricity reliability differentiation under deep decarbonization. (2022). McCulloch, Malcolm ; Morstyn, Thomas ; Savelli, Iacopo ; Fele, Filiberto ; Billimoria, Farhad. In: Applied Energy. RePEc:eee:appene:v:321:y:2022:i:c:s0306261922007000. Full description at Econpapers || Download paper | |
2021 | Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables. (2021). Durante, Fabrizio ; Di Lascio, F. Marta L. ; Marta, F ; Fuchs, Sebastian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:159:y:2021:i:c:s0167947321000359. Full description at Econpapers || Download paper | |
2021 | Pricing service maintenance contracts using predictive analytics. (2021). Boute, Robert ; Antonio, Katrien ; Deprez, Laurens. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:530-545. Full description at Econpapers || Download paper | |
2021 | Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures. (2021). Laeven, Roger ; Bellini, Fabio ; Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela . In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:438-446. Full description at Econpapers || Download paper | |
2022 | Tight tail probability bounds for distribution-free decision making. (2022). , Johan ; den Hertog, Dick ; van Eekelen, Wouter ; Brekelmans, Ruud ; Roos, Ernst. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:931-944. Full description at Econpapers || Download paper | |
2023 | Empirical risk assessment of maintenance costs under full-service contracts. (2023). Boute, Robert ; Antonio, Katrien ; Deprez, Laurens. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:476-493. Full description at Econpapers || Download paper | |
2023 | Extended gradient of convex function and capital allocation. (2023). Grechuk, Bogdan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:429-437. Full description at Econpapers || Download paper | |
2023 | Structural models for fog computing based internet of things architectures with insurance and risk management applications. (2023). Zhao, Peng ; Su, Jianxi ; Xu, Maochao ; Zhang, Xiaoyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1273-1291. Full description at Econpapers || Download paper | |
2023 | Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347. Full description at Econpapers || Download paper | |
2021 | A decomposition of general premium principles into risk and deviation. (2021). Schmeck, Maren Diane ; Riedel, Frank ; Nendel, Max. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:193-209. Full description at Econpapers || Download paper | |
2021 | Stop-loss protection for a large P2P insurance pool. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:210-233. Full description at Econpapers || Download paper | |
2021 | Bayesian credibility under a bivariate prior on the frequency and the severity of claims. (2021). Woo, Jae-Kyung ; Oh, Rosy ; Ni, Weihong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:274-295. Full description at Econpapers || Download paper | |
2021 | Optimal capital allocation principles considering capital shortfall and surplus risks in a hierarchical corporate structure. (2021). Wang, Ying ; Cai, Jun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:329-349. Full description at Econpapers || Download paper | |
2021 | Optimal retirement products under subjective mortality beliefs. (2021). Rach, Manuel ; Hieber, Peter ; Chen, AN. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:55-69. Full description at Econpapers || Download paper | |
2021 | Structured reinsurance deals with reference to relative market performance. (2021). Krvavych, Yuriy ; Albrecher, Hansjorg ; Vincent, Leonard. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:125-139. Full description at Econpapers || Download paper | |
2021 | Haezendonck-Goovaerts capital allocation rules. (2021). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Centrone, Francesca ; Canna, Gabriele. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:173-185. Full description at Econpapers || Download paper | |
2021 | Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability. (2021). Zhuang, Sheng Chao ; Tan, Ken Seng ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:302-319. Full description at Econpapers || Download paper | |
2021 | Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341. Full description at Econpapers || Download paper | |
2021 | Pandemic risk management: Resources contingency planning and allocation. (2021). Zhang, Linfeng ; Feng, Runhuan ; Chong, Wing Fung ; Chen, Xiaowei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:359-383. Full description at Econpapers || Download paper | |
2021 | Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation. (2021). Su, Jianxi ; Furman, Edward ; Mohammed, Nawaf. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:425-436. Full description at Econpapers || Download paper | |
2021 | A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures. (2021). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:437-465. Full description at Econpapers || Download paper | |
2021 | Multivariate dependence among cyber risks based on L-hop propagation. (2021). Zhao, Peng ; Xu, Maochao ; Da, Gaofeng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:525-546. Full description at Econpapers || Download paper | |
2022 | Systemic risk: Conditional distortion risk measures. (2022). Laeven, Roger ; Zhang, Yiying ; Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:126-145. Full description at Econpapers || Download paper | |
2022 | Asymptotic results on marginal expected shortfalls for dependent risks. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:146-168. Full description at Econpapers || Download paper | |
2022 | Risk aggregation under dependence uncertainty and an order constraint. (2022). Wang, Ruodu ; Lin, Liyuan ; Chen, Yuyu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:169-187. Full description at Econpapers || Download paper | |
2022 | Risk aggregation and capital allocation using a new generalized Archimedean copula. (2022). Moutanabbir, Khouzeima ; Marri, Fouad. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:75-90. Full description at Econpapers || Download paper | |
2022 | Valuing guaranteed minimum accumulation benefits by a change of numéraire approach. (2022). Xiong, Heng ; Mamon, Rogemar ; Huang, Yiming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:1-26. Full description at Econpapers || Download paper | |
2022 | Risk transference constraints in optimal reinsurance. (2022). Heras, Antonio ; Balbas, Raquel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:27-40. Full description at Econpapers || Download paper | |
2022 | Multivariate matrix-exponential affine mixtures and their applications in risk theory. (2022). Woo, Jae-Kyung ; Peralta, Oscar. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:364-389. Full description at Econpapers || Download paper | |
2022 | Inference for the tail conditional allocation: Large sample properties, insurance risk assessment, and compound sums of concomitants. (2022). Zitikis, R ; Su, J ; Gribkova, N V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:199-222. Full description at Econpapers || Download paper | |
2022 | Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables. (2022). Linders, Daniel ; Dhaene, Jan ; Hanbali, Hamza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:22-37. Full description at Econpapers || Download paper | |
2022 | Irreversible reinsurance: A singular control approach. (2022). Wong, Hoi Ying ; Park, Kyunghyun ; Yan, Tingjin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:326-348. Full description at Econpapers || Download paper | |
2022 | Bilateral risk sharing in a comonotone market with rank-dependent utilities. (2022). Jiang, Wenjun ; Boonen, Tim J. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:361-378. Full description at Econpapers || Download paper | |
2022 | Frequency-severity experience rating based on latent Markovian risk profiles. (2022). Verschuren, Robert Matthijs. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:379-392. Full description at Econpapers || Download paper | |
2022 | Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model. (2022). Li, Jinzhu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:38-56. Full description at Econpapers || Download paper | |
2023 | Probability equivalent level of Value at Risk and higher-order Expected Shortfalls. (2023). Sut, Laszlo ; Nedenyi, Fanni K ; Barczy, Matyas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:107-128. Full description at Econpapers || Download paper | |
2023 | Inf-convolution and optimal allocations for mixed-VaRs. (2023). Hu, Taizhong ; Zou, Zhenfeng ; Xia, Zichao. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:156-164. Full description at Econpapers || Download paper | |
2023 | From risk reduction to risk elimination by conditional mean risk sharing of independent losses. (2023). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:46-59. Full description at Econpapers || Download paper | |
2021 | From risk sharing to pure premium for a large number of heterogeneous losses. (2021). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:116-126. Full description at Econpapers || Download paper | |
2021 | Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167. Full description at Econpapers || Download paper | |
2021 | Pareto-optimal reinsurance policies with maximal synergy. (2021). Ren, Jiandong ; Hong, Hanping ; Jiang, Wenjun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:185-198. Full description at Econpapers || Download paper | |
2021 | Stochastic orders and multivariate measures of risk contagion. (2021). Suarez-Llorens, A ; Sordo, M A ; Ortega-Jimenez, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:199-207. Full description at Econpapers || Download paper | |
2021 | Moment-matching approximations for stochastic sums in non-Gaussian Ornstein–Uhlenbeck models. (2021). Fusai, Gianluca ; Kyriakou, Ioannis ; Brignone, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:232-247. Full description at Econpapers || Download paper | |
2021 | Model-independent price bounds for Catastrophic Mortality Bonds. (2021). Sabanis, Sotirios ; Bahl, Raj Kumari . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:276-291. Full description at Econpapers || Download paper | |
2021 | Modality for scenario analysis and maximum likelihood allocation. (2021). Hofert, Marius ; Koike, Takaaki. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:24-43. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
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2014 | Reserve-dependent benefits and costs in life and health insurance contracts.(2014) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2014 | Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2014 | The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 3 |
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2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: Health Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
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2019 | A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA. [Citation analysis] | paper | 3 |
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1996 | On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 1 |
1997 | On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 3 |
2002 | A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 15 |
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2019 | FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 12 |
2012 | Comonotonic approximations for the probability of lifetime ruin* In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
2005 | On the evaluation of ‘saving-consumption’ plans In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 2 |
2006 | Bounds for the price of a European-style Asian option in a binary tree model In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
1994 | On a class of approximative computation methods in the individual risk model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
1995 | Recursions for the individual model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
1996 | The compound Poisson approximation for a portfolio of dependent risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
1997 | On the dependency of risks in the individual life model In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 32 |
1997 | A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
1998 | Comonotonicity, correlation order and premium principles In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 68 |
1999 | Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
1999 | The safest dependence structure among risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 39 |
2000 | An easy computable upper bound for the price of an arithmetic Asian option In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 29 |
2000 | Upper and lower bounds for sums of random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 59 |
2001 | Does positive dependence between individual risks increase stop-loss premiums? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 24 |
2002 | The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 231 |
2002 | The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 191 |
2003 | Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2003 | The hurdle-race problem In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2004 | Some new classes of consistent risk measures In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 52 |
2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 31 |
2008 | Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 26 |
2008 | Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
2009 | Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 11 |
2009 | Correlation order, merging and diversification In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 7 |
2010 | Optimal portfolio selection for general provisioning and terminal wealth problems In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2011 | A recursive approach to mortality-linked derivative pricing In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
2012 | The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 18 |
2012 | Convex order approximations in the case of cash flows of mixed signs In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
2013 | Tail Variance premiums for log-elliptical distributions In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
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2014 | Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 8 |
2016 | Optimal allocation of policy deductibles for exchangeable risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 2 |
2017 | Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 22 |
2018 | An approximation method for risk aggregations and capital allocation rules based on additive risk factor models In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
2019 | Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 15 |
2019 | Fair valuation of insurance liability cash-flow streams in continuous time: Theory In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 4 |
2021 | Fair dynamic valuation of insurance liabilities via convex hedging In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
2001 | De nabije toekomst van het Actuariaat in Leuven In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2001 | Some Remarks on IBNR Evaluation Techniques In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2001 | How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2001 | Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 2 |
2005 | Het Actuariaat in Leuven: 2001-2003 en de toekomst In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2005 | Managing Uncertainty: Financial, Actuarial and Statistical Modeling In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2005 | Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 0 |
2007 | Comonotonicity In: Review of Business and Economic Literature. [Full Text][Citation analysis] | article | 50 |
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2009 | A Robustification of the Chain-Ladder Method In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 7 |
2000 | “Self-Annuitization and Ruin in Retirementâ€, Moshe Arye Milevsky and Chris Robinson, October 2000 In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
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2003 | Stable Laws and the Present Value of Fixed Cash Flows In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2005 | Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 4 |
2015 | Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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2015 | Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Convex upper and lower bounds for present value functions In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 3 |
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