21
H index
30
i10 index
1612
Citations
KU Leuven | 21 H index 30 i10 index 1612 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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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 |
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 |
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 |
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 |
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 |
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 | Robust asymptotic insurance-finance arbitrage. (2022). Schmidt, Thorsten ; Ritter, Moritz ; Oberpriller, Katharina. In: Papers. RePEc:arx:papers:2212.04713. 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 |
2023 | Antimonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity. (2023). Wang, Ruodu ; Wakker, Peter P ; Principi, Giulio. In: Papers. RePEc:arx:papers:2307.08542. Full description at Econpapers || Download paper |
2023 | New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025. 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 |
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 |
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 |
2023 | Reinsurance games with two reinsurers: Tree versus chain. (2023). Zou, Bin ; Young, Virginia R ; Li, Dongchen ; Cao, Jingyi. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:928-941. 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 |
2022 | The gradient allocation principle based on the higher moment risk measure. (2022). Tong, Zhiwei ; Tang, Qihe ; Gomez, Fabio. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s0378426622001388. Full description at Econpapers || Download paper |
2022 | Multivariate crash risk. (2022). Weigert, Florian ; Huggenberger, Markus ; Chabi-Yo, Fousseni. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:1:p:129-153. Full description at Econpapers || Download paper |
2022 | Closed-form and bias-corrected estimators for the bivariate gamma distribution. (2022). Kim, Hyoung-Moon ; Jang, Yu-Hyeong ; Zhao, Jun. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:191:y:2022:i:c:s0047259x22000380. Full description at Econpapers || Download paper |
2023 | Blockchain agency theory. (2023). Koliousis, Ioannis ; Walton, Nigel ; Onjewu, Adah-Kole Emmanuel. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:191:y:2023:i:c:s0040162523001671. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2022 | Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation. (2022). Koumou, Gilles Boevi ; Dionne, Georges. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:11:p:205-:d:954228. Full description at Econpapers || Download paper |
2022 | Unit-Linked Tontine: Utility-Based Design, Pricing and Performance. (2022). Sehner, Thorsten ; Nguyen, Thai ; Chen, AN. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:4:p:78-:d:788706. Full description at Econpapers || Download paper |
2022 | Bivariate Copula Trees for Gross Loss Aggregation with Positively Dependent Risks. (2022). Liu, Charlie Wusuo ; Wojcik, Rafa. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:8:p:144-:d:868968. Full description at Econpapers || Download paper |
2023 | A Model for Risk Adjustment (IFRS 17) for Surrender Risk in Life Insurance. (2023). Carlehed, Magnus. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:3:p:62-:d:1102477. Full description at Econpapers || Download paper |
2022 | Long-Term Care Sustainable Networks in ADRION Region. (2022). Drobne, Samo ; Bogataj, Marija. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:18:p:11154-:d:908122. Full description at Econpapers || Download paper |
2022 | Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. (2022). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03327710. Full description at Econpapers || Download paper |
2023 | Testing of Herd Behavior In african Stock Markets During COVID-19 Pandemic. (2023). Benboubker, Mounir ; Gohou, Jude ; Es-Sanoun, Mohamed. In: Post-Print. RePEc:hal:journl:hal-04144289. Full description at Econpapers || Download paper |
2022 | Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710. Full description at Econpapers || Download paper |
2022 | Expectile-based capital allocation. (2022). Khalil, Said. In: Working Papers. RePEc:hal:wpaper:hal-03816525. Full description at Econpapers || Download paper |
2023 | Model-Free Bounds for Multi-Asset Options Using Option-Implied Information and Their Exact Computation. (2023). Xiang, Qikun ; Papapantoleon, Antonis ; Neufeld, Ariel. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:4:p:2051-2068. Full description at Econpapers || Download paper |
2022 | INSURANCE-FINANCE ARBITRAGE. (2022). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2022-09. Full description at Econpapers || Download paper |
2023 | Cyber loss model risk translates to premium mispricing and risk sensitivity. (2023). Jang, Jiwook ; Truck, Stefan ; Shevchenko, Pavel V ; Sofronov, Georgy ; Malavasi, Matteo ; Peters, Gareth W. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:2:d:10.1057_s41288-023-00285-x. Full description at Econpapers || Download paper |
2023 | Earthquake loss and Solvency Capital Requirement calculation using a fault-specific catastrophe model. (2023). Papanikolaou, Ioannis ; Zimbidis, Alexandros ; Deligiannakis, Georgios. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:48:y:2023:i:4:d:10.1057_s41288-021-00259-x. Full description at Econpapers || Download paper |
2023 | Peer-to-peer risk sharing with an application to flood risk pooling. (2023). Taylor, Stephen ; Liu, Chongda ; Feng, Runhuan. In: Annals of Operations Research. RePEc:spr:annopr:v:321:y:2023:i:1:d:10.1007_s10479-022-04841-x. Full description at Econpapers || Download paper |
2022 | A concept of copula robustness and its applications in quantitative risk management. (2022). Zahle, Henryk. In: Finance and Stochastics. RePEc:spr:finsto:v:26:y:2022:i:4:d:10.1007_s00780-022-00485-8. Full description at Econpapers || Download paper |
2022 | Herding behaviour in the capital market: What do we know and what is next?. (2022). Asri, Marwan ; Purwanto, Bernardinus M ; Setiyono, Bowo ; Komalasari, Puput Tri. In: Management Review Quarterly. RePEc:spr:manrev:v:72:y:2022:i:3:d:10.1007_s11301-021-00212-1. Full description at Econpapers || Download paper |
2022 | Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses. (2022). Denuit, Michel ; Robert, Christian Y. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09881-7. Full description at Econpapers || Download paper |
2022 | On a Markovian Game Model for Competitive Insurance Pricing. (2022). Mouminoux, Claire ; Albrecher, Hansjoerg ; Loisel, Stephane ; Dutang, Christophe. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09906-1. Full description at Econpapers || Download paper |
2022 | On The Randomized Schmitter Problem. (2022). Albrecher, Hansjorg ; Araujo-Acuna, Jose Carlos. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09910-5. Full description at Econpapers || Download paper |
2022 | Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses. (2022). Robert, Christian Y ; Denuit, Michel. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:3:d:10.1007_s11009-021-09888-0. Full description at Econpapers || Download paper |
2022 | Hessian orderings of multivariate normal variance-mean mixture distributions and their applications in evaluating dependent multivariate risk portfolios. (2022). Eftekharian, Abbas ; Balakrishnan, Narayanaswamy ; Amiri, Mehdi. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:31:y:2022:i:3:d:10.1007_s10260-021-00610-5. Full description at Econpapers || Download paper |
2022 | Iterated expectations under rank?dependent expected utility and implications for common valuation methods. (2022). Viero, Marielouise ; Stomper, Alex. In: Canadian Journal of Economics/Revue canadienne d'économique. RePEc:wly:canjec:v:55:y:2022:i:2:p:739-763. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2010 | Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 45 |
2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | article | |
2014 | Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 5 |
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 |
2015 | The minimal entropy martingale measure in a market of traded financial and actuarial risks.(2015) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2014 | The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2015 | Tail mutual exclusivity and Tail-VaR lower bounds In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 4 |
2017 | Tail mutual exclusivity and Tail-VaR lower bounds.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2015 | Tail Mutual Exclusivity and Tail-Var Lower Bounds.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2015 | On the transferability of reserves in lifelong health insurance contracts In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 0 |
2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 0 |
2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: LIDAM Reprints ISBA. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: Health Policy. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2017 | Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2017 | Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 0 |
2017 | LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION.(2017) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2019 | A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA. [Citation analysis] | paper | 3 |
2019 | A dynamic equivalence principle for systematic longevity risk management.(2019) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2001 | Bounds for present value functions with stochastic interest rates and stochastic volatility In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2002 | Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2019 | Systemic Risk: Conditional Distortion Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 5 |
2009 | Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics. [Full Text][Citation analysis] | paper | 0 |
2017 | IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 1 |
2003 | On the Distribution of Cash Flows Using Esscher Transforms In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 4 |
2005 | Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 21 |
2008 | Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 25 |
2009 | Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 2 |
2012 | Optimal Capital Allocation Principles In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 99 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 99 | paper | |
2006 | Risk measurement with equivalent utility principles In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 39 |
1989 | Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 11 |
1989 | Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes.(1989) In: ASTIN Bulletin. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
1990 | Distributions in Life Insurance In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
1992 | Error Bounds for Compound Poisson Approximations of the Individual Risk Model In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 6 |
1996 | Some Moment Relations for the Hipp approximation In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 2 |
1996 | Dependency of Risks and Stop-Loss Order1 In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 63 |
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 | 19 |
2003 | A Unified Approach to Generate Risk Measures In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 13 |
2019 | FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 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 | 7 |
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 | 40 |
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 | 235 |
2002 | The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 195 |
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 | 27 |
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 | 19 |
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 |
2013 | On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 14 |
2014 | Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
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 | 24 |
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 | 16 |
2019 | Fair valuation of insurance liability cash-flow streams in continuous time: Theory In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 6 |
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 |
2008 | Modern Actuarial Risk Theory In: Springer Books. [Citation analysis] | book | 101 |
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 |
2003 | Economic Capital Allocation Derived from Risk Measures In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 67 |
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 |
2015 | Option prices and model-free measurement of implied herd behavior in stock markets.(2015) In: International Journal of Financial Engineering (IJFE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2015 | Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Convex upper and lower bounds for present value functions In: Applied Stochastic Models in Business and Industry. [Full Text][Citation analysis] | article | 3 |
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