Jan Dhaene : Citation Profile

Are you Jan Dhaene?

KU Leuven

21

H index

32

i10 index

1669

Citations

RESEARCH PRODUCTION:

88

Articles

27

Papers

1

Books

RESEARCH ACTIVITY:

   34 years (1989 - 2023). See details.
   Cites by year: 49
   Journals where Jan Dhaene has often published
   Relations with other researchers
   Recent citing documents: 111.    Total self citations: 52 (3.02 %)

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   Permalink: http://citec.repec.org/pdh2
   Updated: 2024-11-04    RAS profile: 2024-01-04    
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Relations with other researchers

Works with:

Laeven, Roger (2)

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 (39)

Chateauneuf, Alain (28)

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)

Wu, Xianyi (9)

Cites to:

Vanduffel, Steven (27)

Laeven, Roger (15)

Pelsser, Antoon (12)

Milevsky, Moshe (9)

Müller, Alfred (9)

Blake, David (8)

De Schepper, Ann (6)

Valdez, Emiliano (6)

Stadje, Mitja (5)

Sandmann, Klaus (4)

Puccetti, Giovanni (4)

Main data

Where Jan Dhaene has published?

Journals with more than one article published# docs
Insurance: Mathematics and Economics39
ASTIN Bulletin12
Scandinavian Actuarial Journal10
Review of Business and Economic Literature8
Journal of Risk & Insurance5
North American Actuarial Journal5
Journal of Pension Economics and Finance2

Working Papers Series with more than one paper published# docs
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)9
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)8
Tinbergen Institute Discussion Papers / Tinbergen Institute5
Papers / arXiv.org2

Recent works citing Jan Dhaene (2024 and 2023)

YearTitle of citing document
2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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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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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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2024Joint mixability and negative orthant dependence. (2022). Wang, Ruodu ; Lin, Liyuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2204.11438.

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2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2024Optimal 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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2024The 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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2023Mean-field Libor market model and valuation of long term guarantees. (2023). Schachinger, Gabriel ; Kienbacher, Eva ; Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2310.09022.

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2024A new characterization of second-order stochastic dominance. (2024). Wang, Ruodu ; Huang, Muqiao ; Guan, Yuanying. In: Papers. RePEc:arx:papers:2402.13355.

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2024Improved model-free bounds for multi-asset options using option-implied information and deep learning. (2024). Papapantoleon, Antonis ; Liu, Shuaiqiang ; Dragazi, Evangelia. In: Papers. RePEc:arx:papers:2404.02343.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Allocation Mechanisms in Decentralized Exchange Markets with Frictions. (2024). Principi, Giulio ; Ghossoub, Mario ; Wang, Ruodu. In: Papers. RePEc:arx:papers:2404.10900.

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2024Value-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.

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2024On Joint Marginal Expected Shortfall and Associated Contribution Risk Measures. (2024). Zhang, Yiying ; Pu, Tong. In: Papers. RePEc:arx:papers:2405.07549.

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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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2023The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices. (2023). Kleinow, Torsten ; Uur, Omur ; Arik, Aye. In: ASTIN Bulletin. RePEc:cup:astinb:v:53:y:2023:i:2:p:392-417_10.

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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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2023Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857.

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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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2024A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324.

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2024Designing 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.

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2024Monotonicity 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.

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2023A new view of risk contagion by decomposition of dependence structure: Empirical analysis of Sino-US stock markets. (2023). Lu, Xin ; Luan, Xin ; Zheng, Yanting ; Liu, Jiaming. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004362.

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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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2023Valuation of general GMWB annuities in a low interest rate environment. (2023). Rotondi, Francesco ; Fontana, Claudio. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:142-167.

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2023Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model. (2023). Robert, Christian Y ; Denuit, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:23-32.

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2023Optimal risk sharing and dividend strategies under default contagion: A semi-analytical approach. (2023). Li, Shuanming ; Jin, Zhuo ; Qiu, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:1-23.

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2023Intergenerational sharing of unhedgeable inflation risk. (2023). Beetsma, Roel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:140-160.

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2023Diversification quotients based on VaR and ES. (2023). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:185-197.

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2023Multi-constrained optimal reinsurance model from the duality perspectives. (2023). Wang, HE ; He, Wanting ; Cheung, Ka Chun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:199-214.

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2024Probability equivalent level for CoVaR and VaR. (2024). Suarez-Llorens, Alfonso ; Sordo, Miguel A ; Pellerey, Franco ; Ortega-Jimenez, Patricia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35.

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2024Pooling functional disability and mortality in long-term care insurance and care annuities: A matrix approach for multi-state pools. (2024). Ziveyi, Jonathan ; Villegas, Andres M ; Sherris, Michael ; Kabuche, Doreen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:165-188.

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2024Tail mean-variance portfolio selection with estimation risk. (2024). Weng, Chengguo ; Wei, Pengyu ; Huang, Zhenzhen. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:218-234.

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2024Random distortion risk measures. (2024). Yang, Jingping ; Xia, Chenxi ; Jiang, Fan ; Zang, Xin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:51-73.

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2023Understanding the role of social media sentiment in identifying irrational herding behavior in the stock market. (2023). Yu, Yongtian ; Liu, Wei ; Chen, Hui. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:163-179.

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2024Selling 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.

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2024A note on the induction of comonotonic additive risk measures from acceptance sets. (2024). Horta, Eduardo ; Righi, Marcelo B ; Moresco, Marlon R ; Santos, Samuel S. In: Statistics & Probability Letters. RePEc:eee:stapro:v:208:y:2024:i:c:s0167715224000130.

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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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2023Cyber Insurance Premium Setting for Multi-Site Companies under Risk Correlation. (2023). Naldi, Maurizio ; Mazzoccoli, Alessandro ; Mastroeni, Loretta. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:10:p:167-:d:1245787.

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2023Valuation of Equity-Linked Death Benefits on Two Lives with Dependence. (2023). Adekambi, Franck ; Essiomle, Kokou. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:1:p:21-:d:1034151.

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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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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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2024Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul. (2016). Hassani, Bertrand ; Guegan, Dominique. In: Post-Print. RePEc:hal:journl:halshs-01391103.

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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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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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2023A transform-based method for pricing Asian options under general two-dimensional models. (2023). Zeng, Pingping ; Zhang, Weinan. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:11:p:1677-1697.

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2023Distributionally robust views on queues and related stochastic models. (2023). van Eekelen, Wouter. In: Other publications TiSEM. RePEc:tiu:tiutis:9b99fc05-9d68-48eb-ae8c-9e7988ae4243.

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2024Aggregation in einem Risikoportfolio mit Abhängigkeitsstruktur. (2024). Knobloch, Ralf. In: Forschung am ivwKöln. RePEc:zbw:thkivw:284399.

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Works by Jan Dhaene:

YearTitleTypeCited
2010Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper49
2012Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA.
[Citation analysis]
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2012Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 49		article
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts In: LIDAM Discussion Papers ISBA.
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2014Reserve-dependent benefits and costs in life and health insurance contracts.(2014) In: LIDAM Reprints ISBA.
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This paper has nother version. Agregated cites: 6		paper
2014Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts.(2014) In: Tinbergen Institute Discussion Papers.
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2014The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper5
2015The minimal entropy martingale measure in a market of traded financial and actuarial risks.(2015) In: LIDAM Reprints ISBA.
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2014The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has nother version. Agregated cites: 5		paper
2015Tail mutual exclusivity and Tail-VaR lower bounds In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper3
2017Tail mutual exclusivity and Tail-VaR lower bounds.(2017) In: LIDAM Reprints ISBA.
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.() In: .
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2015Tail Mutual Exclusivity and Tail-Var Lower Bounds.(2015) In: Tinbergen Institute Discussion Papers.
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2015On the transferability of reserves in lifelong health insurance contracts In: LIDAM Discussion Papers ISBA.
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2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system In: LIDAM Discussion Papers ISBA.
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2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: LIDAM Reprints ISBA.
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2019Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system.(2019) In: Health Policy.
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2021Risk-sharing rules and their properties, with applications to peer-to-peer insurance In: LIDAM Discussion Papers ISBA.
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2023Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance In: LIDAM Discussion Papers ISBA.
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2023An axiomatic theory for comonotonicity-based risk sharing In: LIDAM Discussion Papers ISBA.
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2017Updating mechanism for lifelong insurance contracts subject to medical inflation In: LIDAM Reprints ISBA.
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2017Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation In: LIDAM Reprints ISBA.
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2017LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION.(2017) In: ASTIN Bulletin.
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2019A dynamic equivalence principle for systematic longevity risk management In: LIDAM Reprints ISBA.
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2019A dynamic equivalence principle for systematic longevity risk management.(2019) In: Insurance: Mathematics and Economics.
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2001Bounds for present value functions with stochastic interest rates and stochastic volatility In: Working Papers.
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2002Bounds for present value functions with stochastic interest rates and stochastic volatility.(2002) In: Insurance: Mathematics and Economics.
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2019Systemic Risk: Conditional Distortion Risk Measures In: Papers.
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2022Systemic risk: Conditional distortion risk measures.(2022) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 15		article
2023On the causality-preservation capabilities of generative modelling In: Papers.
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2009Buy-and-Hold Strategies and Comonotonic Approximations In: Working Papers in Economics.
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