Jan Dhaene : Citation Profile

Are you Jan Dhaene?

KU Leuven

21

H index

30

i10 index

1612

Citations

RESEARCH PRODUCTION:

75

Articles

23

Papers

1

Books

RESEARCH ACTIVITY:

   32 years (1989 - 2021). See details.
   Cites by year: 50
   Journals where Jan Dhaene has often published
   Relations with other researchers
   Recent citing documents: 101.    Total self citations: 47 (2.83 %)

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   Permalink: http://citec.repec.org/pdh2
   Updated: 2023-11-04    RAS profile: 2021-12-27    
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Relations with other researchers

Works with:

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

Is cited by:

Laeven, Roger (42)

Chateauneuf, Alain (26)

Vanduffel, Steven (26)

Guillen, Montserrat (24)

mostoufi, mina (19)

Mierzejewski, Fernando (16)

Ferretti, Paola (13)

De Waegenaere, Anja (12)

De Schepper, Ann (11)

Rulliere, Didier (10)

Chi, Yichun (9)

Cites to:

Vanduffel, Steven (26)

Laeven, Roger (15)

Pelsser, Antoon (12)

Milevsky, Moshe (9)

Müller, Alfred (8)

De Schepper, Ann (6)

Valdez, Emiliano (6)

Stadje, Mitja (5)

Scholes, Myron (4)

Sandmann, Klaus (4)

Blake, David (3)

Main data

Where Jan Dhaene has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics37
ASTIN Bulletin12
Review of Business and Economic Literature8
North American Actuarial Journal5
Journal of Risk & Insurance5
Journal of Pension Economics and Finance2

Working Papers Series with more than one paper published# docs
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)8
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)6
Tinbergen Institute Discussion Papers / Tinbergen Institute5

Recent works citing Jan Dhaene (2023 and 2022)

YearTitle of citing document
2022Dynamic 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.

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2023Comonotonicity 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.

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2023Endowment contingency funds for mutual aid and public financing. (2023). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023009.

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2023Conditional 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.

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2022Model-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.

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2022Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

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2022Collaborative Insurance Sustainability and Network Structure. (2021). Vermet, Franck ; Ratz, Philipp ; Lowe, Matthias ; Kouakou, Lariosse ; Charpentier, Arthur. In: Papers. RePEc:arx:papers:2107.02764.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796.

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2022Probability 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.

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2023Cyber 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.

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2023On the impact of outliers in loss reserving. (2022). Avanzi, Benjamin ; Wong, Bernard ; Taylor, Greg ; Lavender, Mark. In: Papers. RePEc:arx:papers:2203.00184.

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2023A reverse Expected Shortfall optimization formula. (2022). Guan, Yuanying ; Wang, Ruodu ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2203.02599.

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2023Detection 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.

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2023Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438.

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2022A Unified Bayesian Framework for Pricing Catastrophe Bond Derivatives. (2022). Dixon, Matthew ; Chatterjee, Arpita ; Domfeh, Dixon. In: Papers. RePEc:arx:papers:2205.04520.

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2023Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2022Optimal 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.

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2023An axiomatic theory for anonymized risk sharing. (2022). Wang, Ruodu ; Liu, Yang ; Jiao, Zhanyi. In: Papers. RePEc:arx:papers:2208.07533.

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2023Distortion risk measures in random environments: construction and axiomatic characterization. (2022). Wei, Linxiao ; Hu, Yijun ; Gong, Shuo. In: Papers. RePEc:arx:papers:2211.00520.

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2022Robust asymptotic insurance-finance arbitrage. (2022). Schmidt, Thorsten ; Ritter, Moritz ; Oberpriller, Katharina. In: Papers. RePEc:arx:papers:2212.04713.

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2022The 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.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2301.03517.

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2023Pairwise counter-monotonicity. (2023). Wang, Ruodu ; Lin, Liyuan ; Lauzier, Jean-Gabriel. In: Papers. RePEc:arx:papers:2302.11701.

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2023A fixed point approach for computing actuarially fair Pareto optimal risk-sharing rules. (2023). Niakh, Fallou. In: Papers. RePEc:arx:papers:2303.05421.

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2023Multivariate 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.

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2023A cohort-based Partial Internal Model for demographic risk. (2023). Savelli, Nino ; Clemente, Gian Paolo ; della Corte, Francesco. In: Papers. RePEc:arx:papers:2307.03090.

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2023Antimonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity. (2023). Wang, Ruodu ; Wakker, Peter P ; Principi, Giulio. In: Papers. RePEc:arx:papers:2307.08542.

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2023New general dependence measures: construction, estimation and application to high-frequency stock returns. (2023). Leeuwenkamp, Aleksy ; Hu, Wentao. In: Papers. RePEc:arx:papers:2309.00025.

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2022Risk?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.

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2023.

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2023Capital 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.

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2023Le 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.

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2022Asymptotic 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.

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2023A 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.

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2022An 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.

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2022Tight 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.

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2023Empirical 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.

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2023Extended 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.

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2023Structural 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.

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2023Optimal 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.

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2023Reinsurance 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.

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2022Systemic 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.

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2022Asymptotic 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.

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2022Risk 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.

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2022Risk 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.

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2022Valuing 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.

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2022Risk 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.

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2022Multivariate 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.

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2022Inference 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.

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2022Dependence 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.

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2022Irreversible 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.

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2022Bilateral 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.

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2022Frequency-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.

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2022Asymptotic 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.

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2023Probability 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.

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2023Inf-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.

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2023From 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.

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2022The 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.

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2022Multivariate 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.

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2022Closed-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.

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2023Blockchain 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.

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2022.

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2022.

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2022.

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2023.

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2023.

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2022Coherent 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.

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2022Unit-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.

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2022Bivariate 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.

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2023A 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.

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2022Long-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.

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2022Actuarial-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.

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2023Testing 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.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710.

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2022Expectile-based capital allocation. (2022). Khalil, Said. In: Working Papers. RePEc:hal:wpaper:hal-03816525.

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2023Model-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.

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2022INSURANCE-FINANCE ARBITRAGE. (2022). Schmidt, Thorsten ; Eisele, Karl-Theodor ; Artzner, Philippe. In: Working Papers of LaRGE Research Center. RePEc:lar:wpaper:2022-09.

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2023Cyber 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.

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2023Earthquake 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.

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2023Peer-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.

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2022A 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.

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2022Herding 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.

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2022Polynomial 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.

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2022On 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.

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2022On 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.

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2022Conditional 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.

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2022Hessian 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.

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2022Iterated 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.

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Works by Jan Dhaene:

YearTitleTypeCited
2010Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper45
2012Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA.
[Citation analysis]
This paper has another version. Agregated cites: 45		paper
2012Convex 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
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper5
2014Reserve-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
2014Reserve-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
2014The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper3
2015The 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
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