21
H index
33
i10 index
1770
Citations
KU Leuven | 21 H index 33 i10 index 1770 Citations RESEARCH PRODUCTION: 91 Articles 29 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 | 41 |
ASTIN Bulletin | 12 |
Scandinavian Actuarial Journal | 10 |
Review of Business and Economic Literature | 8 |
Journal of Risk & Insurance | 6 |
North American Actuarial Journal | 5 |
Journal of Pension Economics and Finance | 2 |
Year | Title of citing document |
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2024 | Conditional expectations given the sum of independent random variables with regularly varying densities. (2024). Ortega-Jimenez, Patricia ; Denuit, Michel ; Robert, Christian Y. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024006. Full description at Econpapers || Download paper |
2024 | Efficient hedging of life insurance portfolio for loss-averse insurers. (2024). Hainaut, Donatien ; Motte, Edouard. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024013. Full description at Econpapers || Download paper |
2024 | No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses. (2024). Robert, Christian Y ; Ortega-Jimenez, Patricia ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024019. Full description at Econpapers || Download paper |
2024 | Joint mixability and notions of negative dependence. (2024). Koike, Takaaki ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2204.11438. Full description at Econpapers || Download paper |
2024 | Diversification quotients: Quantifying diversification via risk measures. (2024). Han, Xia ; Wang, Ruodu ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper |
2024 | An optimal investment strategy aimed at maximizing the expected utility across all intermediate capital levels. (2024). Cerda-Hernandez, J ; Sikov, A. In: Papers. RePEc:arx:papers:2207.02947. Full description at Econpapers || Download paper |
2025 | On conditional distortion risk measures under uncertainty. (2025). Hu, Yijun ; Gong, Shuo ; Wei, Linxiao. In: Papers. RePEc:arx:papers:2211.00520. Full description at Econpapers || Download paper |
2024 | The limitations of comonotonic additive risk measures: a literature review. (2024). Righi, Marcelo ; Santos, Samuel Solgon ; de Oliveira, Eduardo. In: Papers. RePEc:arx:papers:2212.13864. Full description at Econpapers || Download paper |
2024 | Anticomonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity. (2024). Wakker, Peter ; Wang, Ruodu ; Principi, Giulio. In: Papers. RePEc:arx:papers:2307.08542. Full description at Econpapers || Download paper |
2025 | Mean-field Libor market model and valuation of long term guarantees. (2025). Hochgerner, Simon ; Schachinger, Gabriel ; Gach, Florian ; Kienbacher, Eva. In: Papers. RePEc:arx:papers:2310.09022. Full description at Econpapers || Download paper |
2024 | Optimal sharing, equilibria, and welfare without risk aversion. (2024). Wang, Ruodu ; Lin, Liyuan ; Lauzier, Jean-Gabriel. In: Papers. RePEc:arx:papers:2401.03328. Full description at Econpapers || Download paper |
2024 | Forecasting and Backtesting Gradient Allocations of Expected Shortfall. (2024). Koike, Takaaki. In: Papers. RePEc:arx:papers:2401.11701. Full description at Econpapers || Download paper |
2024 | Egalitarian pooling and sharing of longevity risk, a.k.a. The many ways to skin a tontine cat. (2024). Milevsky, Moshe. In: Papers. RePEc:arx:papers:2402.00855. Full description at Econpapers || Download paper |
2024 | A new characterization of second-order stochastic dominance. (2024). Guan, Yuanying ; Wang, Ruodu ; Huang, Muqiao. In: Papers. RePEc:arx:papers:2402.13355. Full description at Econpapers || Download paper |
2024 | Improved model-free bounds for multi-asset options using option-implied information and deep learning. (2024). Liu, Shuaiqiang ; Dragazi, Evangelia ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2404.02343. Full description at Econpapers || Download paper |
2024 | Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475. Full description at Econpapers || Download paper |
2024 | Allocation Mechanisms in Decentralized Exchange Markets with Frictions. (2024). Wang, Ruodu ; Ghossoub, Mario ; Principi, Giulio. In: Papers. RePEc:arx:papers:2404.10900. Full description at Econpapers || Download paper |
2024 | Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification. (2024). Zhao, Yimiao ; Liu, Yang ; Geng, Bingzhen. In: Papers. RePEc:arx:papers:2404.18029. Full description at Econpapers || Download paper |
2024 | On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549. Full description at Econpapers || Download paper |
2024 | Efficiency in Pure-Exchange Economies with Risk-Averse Monetary Utilities. (2024). Zhu, Michael Boyuan ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2406.02712. Full description at Econpapers || Download paper |
2024 | Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty. (2024). Nendel, Max ; Streicher, Jan ; de Vecchi, Corrado. In: Papers. RePEc:arx:papers:2406.19242. Full description at Econpapers || Download paper |
2024 | Counter-monotonic risk allocations and distortion risk measures. (2024). Wang, Ruodu ; Ren, Qinghua ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2407.16099. Full description at Econpapers || Download paper |
2024 | Risk sharing with Lambda value at risk under heterogeneous beliefs. (2024). Wei, Yunran ; Liu, Peng ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2408.03147. Full description at Econpapers || Download paper |
2024 | A novel k-generation propagation model for cyber risk and its application to cyber insurance. (2024). Zhang, Xin ; Ren, NA. In: Papers. RePEc:arx:papers:2408.14151. Full description at Econpapers || Download paper |
2024 | Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures. (2024). Chong, Wing Fung ; Zhu, Michael B ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2409.05103. Full description at Econpapers || Download paper |
2024 | Sensitivity Analysis of Ruin of an Insurance Company in Ghana. (2024). Pabifio, Daniel Tawiah. In: Papers. RePEc:arx:papers:2410.11846. Full description at Econpapers || Download paper |
2024 | Stochastic Loss Reserving: Dependence and Estimation. (2024). Shen, Yang ; Furman, Edward ; Fleck, Andrew. In: Papers. RePEc:arx:papers:2410.14985. Full description at Econpapers || Download paper |
2024 | Canonical insurance models: stochastic equations and comparison theorems. (2024). Furrer, Christian ; Christiansen, Marcus C. In: Papers. RePEc:arx:papers:2411.12522. Full description at Econpapers || Download paper |
2025 | On multivariate contribution measures of systemic risk with applications in cryptocurrency market. (2025). Zhang, Yiying ; Pu, Tong ; Li, Junxue ; Wen, Limin. In: Papers. RePEc:arx:papers:2411.13384. Full description at Econpapers || Download paper |
2024 | Risk models from tree-structured Markov random fields following multivariate Poisson distributions. (2024). Cot, Benjamin ; Cossette, H'Elene ; Dubeau, Alexandre ; Marceau, Etienne. In: Papers. RePEc:arx:papers:2412.00607. Full description at Econpapers || Download paper |
2024 | Counter-monotonic Risk Sharing with Heterogeneous Distortion Risk Measures. (2024). Wang, Ruodu ; Ren, Qinghua ; Ghossoub, Mario. In: Papers. RePEc:arx:papers:2412.00655. Full description at Econpapers || Download paper |
2025 | A Hybrid Framework for Reinsurance Optimization: Integrating Generative Models and Reinforcement Learning. (2025). Dong, Stella C ; Finlay, James R. In: Papers. RePEc:arx:papers:2501.06404. Full description at Econpapers || Download paper |
2025 | Decentralized Annuity: A Quest for the Holy Grail of Lifetime Financial Security. (2025). Zongxia, Liang ; Runhuan, Feng ; Yilun, Song. In: Papers. RePEc:arx:papers:2502.13742. Full description at Econpapers || Download paper |
2025 | Distortion risk measures of sums of two counter-monotonic risks. (2025). Huang, Chunle. In: Papers. RePEc:arx:papers:2503.05256. Full description at Econpapers || Download paper |
2025 | Marginal expected shortfall: Systemic risk measurement under dependence uncertainty. (2025). Lin, Sheldon X ; Furman, Edward ; Chen, Jinghui. In: Papers. RePEc:arx:papers:2504.19953. Full description at Econpapers || Download paper |
2025 | Stochastic dominance for linear combinations of infinite-mean risks. (2025). Hu, Taizhong ; Chen, Yuyu ; Shneer, Seva ; Zou, Zhenfeng. In: Papers. RePEc:arx:papers:2505.01739. Full description at Econpapers || Download paper |
2025 | Risk Sharing Among Many: Implementing a Subgame Perfect and Optimal Equilibrium. (2025). Ogaku, Michiko. In: Papers. RePEc:arx:papers:2505.04122. Full description at Econpapers || Download paper |
2025 | Partial comonotonicity and distortion riskmetrics. (2025). Huang, Muqiao. In: Papers. RePEc:arx:papers:2506.07472. Full description at Econpapers || Download paper |
2024 | Mitigating wildfire losses via insuranceâ€linked securities: Modeling and risk management perspectives. (2024). Su, Jianxi ; Li, Hong. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:91:y:2024:i:2:p:383-414. Full description at Econpapers || Download paper |
2024 | Paretoâ€efficient risk sharing in centralized insurance markets with application to flood risk. (2024). Chong, Wing Fung ; Ghossoub, Mario ; Boonen, Tim J. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:91:y:2024:i:2:p:449-488. Full description at Econpapers || Download paper |
2024 | Insurance–finance arbitrage. (2024). Artzner, Philippe ; Schmidt, Thorsten ; Eisele, Karltheodor. In: Mathematical Finance. RePEc:bla:mathfi:v:34:y:2024:i:3:p:739-773. Full description at Econpapers || Download paper |
2024 | Machine Learning techniques in joint default assessment. (2024). luciano, elisa ; Semeraro, Patrizia ; Fadda, Edoardo. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:723. Full description at Econpapers || Download paper |
2024 | On the flexibility and loading maximization for weighted premiums. (2024). Vliora, Polyxeni ; Psarrakos, Georgios. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:481:y:2024:i:c:s0096300324004053. Full description at Econpapers || Download paper |
2025 | Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination. (2025). Yildirim, Ramazan ; ben Hamida, Hela ; Mejri, Sami ; Aloui, Chaker. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002353. Full description at Econpapers || Download paper |
2024 | Risk reduction and portfolio optimization using clustering methods. (2024). Thos, Anna-Katharina ; Sass, Jorn. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:1-16. Full description at Econpapers || Download paper |
2025 | Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving. (2025). Siu, Tak Kuen. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:180-208. Full description at Econpapers || Download paper |
2024 | A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324. Full description at Econpapers || Download paper |
2024 | Designing risk-free service for renewable wind and solar resources. (2024). Palepu, Sai ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:2:p:715-728. Full description at Econpapers || Download paper |
2024 | Monotonicity of equilibria in nonatomic congestion games. (2024). Scarsini, Marco ; Dose, Valerio ; Cominetti, Roberto. In: European Journal of Operational Research. RePEc:eee:ejores:v:316:y:2024:i:2:p:754-766. Full description at Econpapers || Download paper |
2024 | A theory of multivariate stress testing. (2024). Wang, Ruodu ; Millossovich, Pietro ; Tsanakas, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:3:p:851-866. Full description at Econpapers || Download paper |
2025 | Optimal reinsurance with multivariate risks and dependence uncertainty. (2025). Xia, YI ; Liu, Peng ; Hu, Junlei ; Fadina, Tolulope. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:1:p:231-242. Full description at Econpapers || Download paper |
2024 | How green screening influences risk transmission among stock-bond indices: Insight into the dependence structure. (2024). Pan, Zhijie ; Zheng, Yanting ; Xu, Dandan ; Wang, Ting. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011759. Full description at Econpapers || Download paper |
2024 | Probability equivalent level for CoVaR and VaR. (2024). Ortega-Jimenez, Patricia ; Sordo, Miguel A ; Pellerey, Franco ; Suarez-Llorens, Alfonso. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35. Full description at Econpapers || Download paper |
2024 | Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools. (2024). Sherris, Michael ; Ziveyi, Jonathan ; Kabuche, Doreen ; Villegas, Andres M. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:165-188. Full description at Econpapers || Download paper |
2024 | Tail mean-variance portfolio selection with estimation risk. (2024). Huang, Zhenzhen ; Wei, Pengyu ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234. Full description at Econpapers || Download paper |
2024 | Random distortion risk measures. (2024). Zang, Xin ; Yang, Jingping ; Jiang, Fan ; Xia, Chenxi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:51-73. Full description at Econpapers || Download paper |
2024 | Coping with longevity via hedging: Fair dynamic valuation of variable annuities. (2024). Chen, ZE ; Yang, Tianyu ; Feng, Runhuan ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:154-169. Full description at Econpapers || Download paper |
2024 | Star-shaped acceptability indexes. (2024). Righi, Marcelo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181. Full description at Econpapers || Download paper |
2024 | Stochastic orders and distortion risk contribution ratio measures. (2024). Zhang, Yiying. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:104-122. Full description at Econpapers || Download paper |
2024 | Effective experience rating for large insurance portfolios via surrogate modeling. (2024). Lin, Sheldon X ; Vanegas, Sebastian Calcetero ; Badescu, Andrei L. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:118:y:2024:i:c:p:25-43. Full description at Econpapers || Download paper |
2024 | A unified theory of decentralized insurance. (2024). Zhang, Ning ; Liu, Ming ; Feng, Runhuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:157-178. Full description at Econpapers || Download paper |
2024 | Bivariate Tail Conditional Co-Expectation for elliptical distributions. (2024). Palestini, Arsen ; Cerqueti, Roy. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:251-260. Full description at Econpapers || Download paper |
2024 | A new characterization of second-order stochastic dominance. (2024). Huang, Muqiao ; Guan, Yuanying ; Wang, Ruodu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:261-267. Full description at Econpapers || Download paper |
2024 | Optimal premium pricing in a competitive stochastic insurance market with incomplete information: A Bayesian game-theoretic approach. (2024). Boonen, Tim J ; Mourdoukoutas, Fotios ; Pantelous, Athanasios A ; Koo, Bonsoo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:119:y:2024:i:c:p:32-47. Full description at Econpapers || Download paper |
2025 | Mean-variance longevity risk-sharing for annuity contracts. (2025). Hanbali, Hamza. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:207-235. Full description at Econpapers || Download paper |
2025 | Target benefit pension with longevity risk and stochastic interest rate valuation. (2025). Rong, Ximin ; Tao, Cheng ; Zhao, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:285-301. Full description at Econpapers || Download paper |
2025 | Innovative combo product design embedding variable annuity and long-term care insurance contracts. (2025). Shen, Yang ; Sherris, Michael ; Wang, Yawei ; Ziveyi, Jonathan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:79-99. Full description at Econpapers || Download paper |
2025 | Tree-structured Markov random fields with Poisson marginal distributions. (2025). Marceau, Etienne ; Cossette, Hlne ; Ct, Benjamin. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:207:y:2025:i:c:s0047259x25000132. Full description at Econpapers || Download paper |
2024 | Selling options to beat the market: Further empirical evidence. (2024). Serna, Gregorio ; Balbas, Alejandro. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s0275531923002453. Full description at Econpapers || Download paper |
2024 | A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Santos, Samuel S ; Moresco, Marlon R ; Righi, Marcelo B ; Horta, Eduardo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130. Full description at Econpapers || Download paper |
2024 | The Random Effect Transformation for Three Regularity Classes. (2024). Iaulys, Jonas ; Leipus, Remigijus ; Lewkiewicz, Sylwia. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:24:p:3932-:d:1543435. Full description at Econpapers || Download paper |
2025 | Borel–Cantelli Lemma for Capacities. (2025). Zong, Gaofeng ; Kao, Chunyu. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:5:p:728-:d:1598314. Full description at Econpapers || Download paper |
2025 | Capital Allocation Rules and Generalized Collapse to the Mean: Theory and Practice. (2025). Centrone, Francesca ; Gianin, Emanuela Rosazza. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:6:p:964-:d:1612548. Full description at Econpapers || Download paper |
2025 | Conditional Coherent and Convex Risk Measures Under Uncertainty. (2025). Hu, Yijun ; Gong, Shuo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1403-:d:1642231. Full description at Econpapers || Download paper |
2024 | Reliability and Unreliability Aspects of Travel Time Analysis on the Stochastic Network Using the Target-Oriented Perspective. (2024). Ji, Xiangfeng ; Cao, Jifeng ; Chen, Gonghang. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:12:p:5148-:d:1416501. Full description at Econpapers || Download paper |
2024 | Sustainable Energy Safety Management Utilizing an Industry-Relative Assessment of Enterprise Equipment Technical Condition. (2024). Koval, Viktor ; Palii, Svitlana ; Prokopenko, Olha ; Shmygol, Nadiia ; Cioca, Lucian-Ionel ; Filipishyna, Liliya ; Hrinchenko, Hanna. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:2:p:771-:d:1320156. Full description at Econpapers || Download paper |
2024 | Reputation risk mitigation in investment strategies. (2024). Oliveira, Carlos ; Moura, Alexandra. In: Working Papers REM. RePEc:ise:remwps:wp03092024. Full description at Econpapers || Download paper |
2024 | Option pricing in the Heston model with physics inspired neural networks. (2024). Casas, Alex ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:3:d:10.1007_s10436-024-00452-7. Full description at Econpapers || Download paper |
2025 | The Riccati tontine: how to satisfy regulators on average. (2025). Salisbury, Thomas S ; Milevsky, Moshe A. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:50:y:2025:i:1:d:10.1057_s10713-024-00105-9. Full description at Econpapers || Download paper |
2024 | Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks. (2024). Dacorogna, Michel ; Albrecher, Hansjrg. In: MPRA Paper. RePEc:pra:mprapa:122323. Full description at Econpapers || Download paper |
2024 | Dynamic capital allocation rules via BSDEs: an axiomatic approach. (2024). Mastrogiacomo, Elisa ; Gianin, Emanuela Rosazza. In: Annals of Operations Research. RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04917-8. Full description at Econpapers || Download paper |
2024 | Catastrophic risk: indication, quantitative assessment and management of rare extreme events using a non-expected utility framework. (2024). Geiger, Gebhard. In: Annals of Operations Research. RePEc:spr:annopr:v:343:y:2024:i:1:d:10.1007_s10479-024-06259-z. Full description at Econpapers || Download paper |
2024 | The Distributions of the Mean of Random Vectors with Fixed Marginal Distribution. (2024). Labuschagne, Jacques ; Komisarski, Andrzej. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:37:y:2024:i:3:d:10.1007_s10959-023-01277-2. Full description at Econpapers || Download paper |
2024 | Conditional Mean Risk Sharing of Independent Discrete Losses in Large Pools. (2024). Denuit, Michel ; Robert, Christian Y. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10106-w. Full description at Econpapers || Download paper |
2024 | On the Tail Behavior for Randomly Weighted Sums of Dependent Random Variables with its Applications to Risk Measures. (2024). Cheng, Dongya. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:26:y:2024:i:4:d:10.1007_s11009-024-10118-6. Full description at Econpapers || Download paper |
2025 | Mean-Field Libor Market Model and Valuation of Long Term Guarantees. (2025). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10146-w. Full description at Econpapers || Download paper |
2025 | Spatiotemporal clustering of streamflow extremes and relevance to flood insurance claims: a stochastic investigation for the contiguous USA. (2025). Koutsoyiannis, Demetris ; Tsaknias, Dimosthenis ; Dimitriadis, Panayiotis ; Iliopoulou, Theano ; Papoulakos, Konstantinos. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:121:y:2025:i:1:d:10.1007_s11069-024-06766-z. Full description at Econpapers || Download paper |
2025 | ESG-driven optimal portfolio selection for separated environmental, social, and governance preferences. (2025). Shushi, Tomer. In: Operational Research. RePEc:spr:operea:v:25:y:2025:i:2:d:10.1007_s12351-025-00907-3. Full description at Econpapers || Download paper |
2024 | Hessian and increasing-Hessian orderings of multivariate skew-elliptical random vectors with applications in actuarial science. (2024). Yang, Yang ; Yao, Jing ; Yin, Chuancun. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-024-01580-y. Full description at Econpapers || Download paper |
2024 | Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur. (2024). Knobloch, Ralf. In: Forschung am ivwKöln. RePEc:zbw:thkivw:284399. 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 | 53 |
2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2012 | Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | article | |
2014 | Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 7 |
2014 | Reserve-dependent benefits and costs in life and health insurance contracts.(2014) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 7 | 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 nother version. Agregated cites: 7 | paper | |
2014 | The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 5 |
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 nother version. Agregated cites: 5 | 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 nother version. Agregated cites: 5 | paper | |
2015 | Tail mutual exclusivity and Tail-VaR lower bounds In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 3 |
2017 | Tail mutual exclusivity and Tail-VaR lower bounds.(2017) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2017 | Tail mutual exclusivity and Tail-VaR lower bounds.(2017) In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
2015 | Tail Mutual Exclusivity and Tail-Var Lower Bounds.(2015) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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 | 1 |
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 nother version. Agregated cites: 1 | 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 nother version. Agregated cites: 1 | article | |
2021 | Risk-sharing rules and their properties, with applications to peer-to-peer insurance In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 17 |
2022 | Risk-sharing rules and their properties, with applications to peerâ€toâ€peer insurance.(2022) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2022 | Riskâ€sharing rules and their properties, with applications to peerâ€toâ€peer insurance.(2022) In: Journal of Risk & Insurance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
2023 | Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 8 |
2025 | Comonotonicity and Pareto optimality, with application to collaborative insurance.(2025) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2023 | An axiomatic theory for comonotonicity-based risk sharing In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 1 |
2017 | Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA. [Citation analysis] | paper | 1 |
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 nother version. Agregated cites: 0 | article | |
2019 | A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA. [Citation analysis] | paper | 4 |
2019 | A dynamic equivalence principle for systematic longevity risk management.(2019) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | 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 nother version. Agregated cites: 1 | article | |
2019 | Systemic Risk: Conditional Distortion Risk Measures In: Papers. [Full Text][Citation analysis] | paper | 20 |
2022 | Systemic risk: Conditional distortion risk measures.(2022) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2023 | On the causality-preservation capabilities of generative modelling In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Axiomatic characterizations of some simple risk-sharing rules In: Papers. [Full Text][Citation analysis] | paper | 0 |
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 | 5 |
2005 | Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 22 |
2008 | Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 28 |
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 | 106 |
2009 | Optimal capital allocation principles.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 106 | paper | |
2006 | Risk measurement with equivalent utility principles In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 41 |
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 nother 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 | 20 |
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 | 15 |
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 |
2022 | Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
2024 | Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat? In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
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 | 7 |
1998 | Comonotonicity, correlation order and premium principles In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 71 |
1999 | Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 9 |
1999 | The safest dependence structure among risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 47 |
2000 | An easy computable upper bound for the price of an arithmetic Asian option In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 30 |
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 | 245 |
2002 | The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 199 |
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 | 53 |
2008 | Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 32 |
2008 | Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 28 |
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 | 8 |
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 | 21 |
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 | 4 |
2013 | On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 16 |
2014 | Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 17 |
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 | 30 |
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 | 7 |
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 | 18 |
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 | 4 |
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 | 3 |
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 | 117 |
2022 | Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages In: Communications in Statistics - Theory and Methods. [Full Text][Citation analysis] | article | 0 |
1998 | On approximating distributions by approximating their De Pril transforms In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
1998 | Some results on moments and cumulants In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
1999 | Recursions for Distribution Functions and Stop-Loss Transforms In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2007 | Corrigendum In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2010 | Inequalities for the De Pril approximation to the distribution of the number of policies with claims In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2015 | Ordered random vectors and equality in distribution In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
2019 | Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 5 |
2020 | Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 3 |
2023 | Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables In: Scandinavian Actuarial Journal. [Full Text][Citation analysis] | article | 1 |
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 | 68 |
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 nother 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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