Jan Dhaene : Citation Profile

Are you Jan Dhaene?

KU Leuven

21

H index

32

i10 index

1678

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: 121.    Total self citations: 52 (3.01 %)

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   Permalink: http://citec.repec.org/pdh2
   Updated: 2024-12-03    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)

Chi, Yichun (9)

Cites to:

Vanduffel, Steven (27)

Laeven, Roger (15)

Pelsser, Antoon (12)

Müller, Alfred (9)

Milevsky, Moshe (9)

Blake, David (8)

De Schepper, Ann (6)

Valdez, Emiliano (6)

Stadje, Mitja (5)

Sandmann, Klaus (4)

Cohen, Michèle (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 / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)9
LIDAM Reprints ISBA / Universit 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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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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2023Determining Hurdle Rate and Capital Allocation in Credit Portfolio Management. (2016). Ozdemir, Bogie ; Giesinger, Michael ; Cubukgil, Evren ; Miu, Peter . In: Journal of Financial Services Research. RePEc:kap:jfsres:v:50:y:2016:i:2:d:10.1007_s10693-015-0221-2.

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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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More than 100 citations found, this list is not complete...

Works by Jan Dhaene:

YearTitleTypeCited
2010Convex order and comonotonic conditional mean risk sharing In: LIDAM Discussion Papers ISBA.
[Citation analysis]		paper50
2012Convex order and comonotonic conditional mean risk sharing.(2012) In: LIDAM Reprints ISBA.
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2012Convex order and comonotonic conditional mean risk sharing.(2012) In: Insurance: Mathematics and Economics.
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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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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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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.
[Citation analysis]		paper0
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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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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2017IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS In: Journal of Economic Surveys.
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2005Comonotonic Approximations for Optimal Portfolio Selection Problems In: Journal of Risk & Insurance.
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2008Can a Coherent Risk Measure Be Too Subadditive? In: Journal of Risk & Insurance.
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2009Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables In: Journal of Risk & Insurance.
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2012Optimal Capital Allocation Principles In: Journal of Risk & Insurance.
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2009Optimal capital allocation principles.(2009) In: MPRA Paper.
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1992Error Bounds for Compound Poisson Approximations of the Individual Risk Model In: ASTIN Bulletin.
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1996Dependency of Risks and Stop-Loss Order1 In: ASTIN Bulletin.
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1996On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions In: ASTIN Bulletin.
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1997On Error Bounds for Approximations to Aggregate Claims Distributions In: ASTIN Bulletin.
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2002A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum In: ASTIN Bulletin.
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2003A Unified Approach to Generate Risk Measures In: ASTIN Bulletin.
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2019FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS In: ASTIN Bulletin.
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2012Comonotonic approximations for the probability of lifetime ruin* In: Journal of Pension Economics and Finance.
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2006Bounds for the price of a European-style Asian option in a binary tree model In: European Journal of Operational Research.
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2022Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables In: Insurance: Mathematics and Economics.
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1994On a class of approximative computation methods in the individual risk model In: Insurance: Mathematics and Economics.
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1995Recursions for the individual model In: Insurance: Mathematics and Economics.
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1996The compound Poisson approximation for a portfolio of dependent risks In: Insurance: Mathematics and Economics.
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1997On the dependency of risks in the individual life model In: Insurance: Mathematics and Economics.
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1997A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate In: Insurance: Mathematics and Economics.
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1998Comonotonicity, correlation order and premium principles In: Insurance: Mathematics and Economics.
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1999Supermodular ordering and stochastic annuities In: Insurance: Mathematics and Economics.
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1999The safest dependence structure among risks In: Insurance: Mathematics and Economics.
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2000An easy computable upper bound for the price of an arithmetic Asian option In: Insurance: Mathematics and Economics.
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2000Upper and lower bounds for sums of random variables In: Insurance: Mathematics and Economics.
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2001Does positive dependence between individual risks increase stop-loss premiums? In: Insurance: Mathematics and Economics.
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2002The concept of comonotonicity in actuarial science and finance: theory In: Insurance: Mathematics and Economics.
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2002The concept of comonotonicity in actuarial science and finance: applications In: Insurance: Mathematics and Economics.
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2003Confidence bounds for discounted loss reserves In: Insurance: Mathematics and Economics.
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2003The hurdle-race problem In: Insurance: Mathematics and Economics.
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2004Some new classes of consistent risk measures In: Insurance: Mathematics and Economics.
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2008Some results on the CTE-based capital allocation rule In: Insurance: Mathematics and Economics.
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2008Static super-replicating strategies for a class of exotic options In: Insurance: Mathematics and Economics.
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2008Analytic bounds and approximations for annuities and Asian options In: Insurance: Mathematics and Economics.
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2009Bounds and approximations for sums of dependent log-elliptical random variables In: Insurance: Mathematics and Economics.
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2009Correlation order, merging and diversification In: Insurance: Mathematics and Economics.
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2010Optimal portfolio selection for general provisioning and terminal wealth problems In: Insurance: Mathematics and Economics.
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2011A recursive approach to mortality-linked derivative pricing In: Insurance: Mathematics and Economics.
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2012The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets In: Insurance: Mathematics and Economics.
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2012Convex order approximations in the case of cash flows of mixed signs In: Insurance: Mathematics and Economics.
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2013Tail Variance premiums for log-elliptical distributions In: Insurance: Mathematics and Economics.
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2013On the (in-)dependence between financial and actuarial risks In: Insurance: Mathematics and Economics.
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2014Reducing risk by merging counter-monotonic risks In: Insurance: Mathematics and Economics.
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2016Optimal allocation of policy deductibles for exchangeable risks In: Insurance: Mathematics and Economics.
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2017Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency In: Insurance: Mathematics and Economics.
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2018An approximation method for risk aggregations and capital allocation rules based on additive risk factor models In: Insurance: Mathematics and Economics.
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2019Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency In: Insurance: Mathematics and Economics.
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2019Fair valuation of insurance liability cash-flow streams in continuous time: Theory In: Insurance: Mathematics and Economics.
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2001Some Remarks on IBNR Evaluation Techniques In: Review of Business and Economic Literature.
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2001How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities In: Review of Business and Economic Literature.
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2001Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation In: Review of Business and Economic Literature.
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2005Het Actuariaat in Leuven: 2001-2003 en de toekomst In: Review of Business and Economic Literature.
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2005Managing Uncertainty: Financial, Actuarial and Statistical Modeling In: Review of Business and Economic Literature.
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2005Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk In: Review of Business and Economic Literature.
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2007Comonotonicity In: Review of Business and Economic Literature.
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2009A Robustification of the Chain-Ladder Method In: North American Actuarial Journal.
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2000“Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000 In: North American Actuarial Journal.
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2003Economic Capital Allocation Derived from Risk Measures In: North American Actuarial Journal.
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2003Stable Laws and the Present Value of Fixed Cash Flows In: North American Actuarial Journal.
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2005Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables In: North American Actuarial Journal.
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2015Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets In: Tinbergen Institute Discussion Papers.
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2015Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior In: Tinbergen Institute Discussion Papers.
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