The actuarial group of Leuven is doing research on
Actuarial, financial and statistical aspects
of
dependencies in insurance and financial portfolios
References
GOA
Our results on comonotonicity are demonstrated on this website
by means of the Asian
Option Price Calculator and the Loss
Reserve Calculator.
You can perform a full text search on our publications:
or read them here:
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The Herd Behavior Index: a new measure for the
implied degree of co-movement in financial markets. [PDF
version]
J. Dhaene, D. Linders, W. Schoutens &
D. Vyncke (2012). Insurance:
Mathematics and Economics, 50 (3), 357-370. |
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On partial hedging and counter-monotonic sums.
[PDF version]
K. C. Cheung, J. Dhaene & Q. Tang (2011). Research report
AFI-1156, FEB, KULeuven.
A recursive approach to mortality-linked
derivative pricing. [PDF
version]
Z. Shang, M. Goovaerts & J. Dhaene (2011). Insurance:
Mathematics and Economics, 49(2), 240-248.
Comonotonic approximations for
a generalized provisioning problem with application to optimal portfolio
selection. [PDF
version]
K. Van Weert,
J. Dhaene & M. Goovaerts (2011). Journal of
Computational and Applied Mathematics, 235, 3245-3256.
Comonotonic approximations for the probability
of lifetime ruin. [PDF
version]
K. Van Weert, J. Dhaene & M. Goovaerts (2011).
Journal of Pension Economics and Finance, accepted for
publication.
Comonotonic modification of random vector in
its own probability space. [PDF
version]
J. Dhaene & A. Kukush (2011). Research report AFI-1151, FEB,
K.U.Leuven.
FIX - The fear index - Measuring market fear.
[PDF
version]
J. Dhaene, J. Dony, M. Forys, D. Linders & W. Schoutens (2011). Research report, FEB, KULeuven.
On the interplay between
distortion-, mean value- and Haezendonck risk measures. [PDF
version]
M. Goovaerts, D. Linders, K. Van Weert & F. Tank. (2011).
submitted.
Optimal capital allocation principles. [PDF
version]
J. Dhaene, A. Tsanakas, E. Valdez & S. Vanduffel (2011).
Journal of Risk and Insurance, 78.
Statistical concepts of a priori and a
posteriori risk classification in insurance. [PDF
version]
K. Antonio & E.A. Valdez (2011).
AStA Advances in Statistical Analysis, accepted for
publication.
Tail variance premiums for log-elliptical
distributions. [PDF version]
Z. Landsman, N. Pat & J. Dhaene (2011). Submitted.
Worst case risk measurement: back to the
future? [PDF
version]
R. Laeven, M. Goovaerts
& R. Kaas (2011). Insurance:
Mathematics and Economics, accepted for publication. |
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A justification of constant mix investment
strategies. [PDF
version]
K. Van Weert (2010). Submitted.
A note on additive risk measures in
rank-dependent utility. [PDF
version]
M. Goovaerts, R. Kaas &
R. Laeven (2010). Insurance:
Mathematics and Economics, 47(2), 187-198.
An overview of comonotonicity and its
applications in finance and insurance. [PDF
version]
Deelstra, G., Dhaene, J. & Vanmaele, M. (2010).
Advanced Mathematical Methods
for Finance (editors: Øksendal, B. and Nunno, G.).
Springer, Germany (Heidelberg).
Buy-and-hold strategies and comonotonic
approximations.
[PDF version]
J. Marin-Solano, O. Roch,
J. Dhaene, C. Ribas, M. Bosch-Princep, S. Vanduffel (2010).
Belgian Actuarial Bulletin, accepted.
Credibiliteit 2.0. [PDF version]
K. Antonio & D. Dannenburg (2010). De Actuaris,
Mei 2010, 32-35.
Convex order and comonotonic conditional mean
risk sharing. [PDF
version]
M. Denuit & J. Dhaene (2010).
Submitted.
Inequalities for the
De Pril approximation to the distribution of the number of
policies with claims. [PDF
version]
R. Vernic, J. Dhaene & B. Sundt (2010). Scandinavian
Actuarial Journal, vol. 2010, 4, 249-267.
Micro-level stochastic loss reserving for
general insurance.
[PDF
version]
K. Antonio & H.J. Plat (2010). Working
paper.
Multidimensional credibility: a Bayesian
analysis of policyholders holding multiple policies.
[PDF
version]
K. Antonio, M. Guillén & A.M. Perez-Marin (2010). Working
paper.
Decision principles derived from risk
measures. [PDF
version]
Goovaerts, M.J., Kaas, R. & Laeven, R.J.A.
(2010). Insurance: Mathematics and Economics, 47(3),
294-302.
Optimal portfolio selection for general
provisioning and terminal wealth problems. [PDF
version]
K. Van Weert, J. Dhaene & M. Goovaerts (2010). Insurance:
Mathematics and Economics, 47, 90-97.
The application of an accurate approximation
in the risk management of investment guarantees in life
insurance. [PDF
version]
K. Bekker & J. Dhaene (2010). Submitted.
Transform analysis and asset
pricing for diffusion processes: a recursive approach.
[PDF
version]
M. Goovaerts, R. Laeven and Z. Shang (2010).
Submitted. |
A multilevel analysis of intercompany claim
counts. [PDF
version]
K. Antonio, E.W. Frees & E.A. Valdez (2009). ASTIN
Bulletin, The Journal of the International Actuarial Association,
40(1), 151-177.
A robustification of the chain-ladder method. [PDF
version]
T. Verdonck, M. Van Wouwe & J. Dhaene (2009). North
American Actuarial Journal, 13(2), 280-298.
Bounds and approximations for sums of dependent
log-elliptical random variables. [PDF
version]
E. Valdez, J. Dhaene, M. Maj & S. Vanduffel (2009).
Insurance: Mathematics and Economics, 44, 385-397.
Correlation order, merging and
diversification. [PDF
version]
J. Dhaene, M. Denuit & S. Vanduffel (2009).
Insurance: Mathematics and Economics, 45, 325-332.
Spectral decomposition of
optimal asset-liability. [PDF
version]
M. Decamps, A. De Schepper & M. Goovaerts (2009).
Journal of Economic Dynamics and Control,
33, 710–724.
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Actuarial risk measures for financial
derivative
pricing. [PDF
version]
M. Goovaerts & R. Laeven (2008).
Insurance: Mathematics and Economics, 42(2), 540-547.
Analytic bounds and
approximations for annuities and Asian options. [PDF
version]
S. Vanduffel, Z. Shang, L. Henrard, J.
Dhaene & E. Valdez (2008). Insurance:
Mathematics and Economics,
42(3), 1109-1117.
Beyond correlations: the use
and abuse of copulas in economic capital calculations. [PDF
version]
A. Chernih, M. Maj & S. Vanduffel
(2008). Belgian Actuarial Bulletin,7(1), 19-23.
Bounds for right tails of
deterministic and stochastic sums of random variables. [PDF
version]
G. Darkiewicz, G. Deelstra, J. Dhaene, T. Hoedemakers &
M. Vanmaele (2008). Journal of
Risk and Insurance, 76(4), 847-866.
Can a coherent risk measure be too subadditive?
[PDF version]
J. Dhaene, R. Laeven, S. Vanduffel, G. Darkiewicz & M.
Goovaerts (2008). Journal of
Risk and Insurance, 75 (2), 365-386.
Comonotonicity. [PDF
version]
J. Dhaene, S. Vanduffel & M. Goovaerts (2008).
Encyclopedia of Quantitative Risk Analysis and Assessment, Melnick, E. and Everitt, B. (eds). John Wiley &
Sons Ltd, Chichester, UK,
274-279. .
Issues in claims reserving and credibility: a
semiparametric approach with mixed models. [PDF
version]
K. Antonio & J. Beirlant (2008). Journal of
Risk and Insurance,
75(3), 643-676.
Modern actuarial risk
theory: using R. [website]
R. Kaas, M.
Goovaerts, J. Dhaene, M.
Denuit (2008).
Springer, 381.
On the parameterization of the CreditRisk+
model for estimating credit portfolio risk.[PDF
version]
A. Vandendorpe, N. Ho, S. Vanduffel &
P. Van Dooren (2008). Insurance:
Mathematics and Economics,
42, 736–745.
Optimal approximations for
risk measures of sums of lognormals based on conditional
expectations. [PDF
version]
S. Vanduffel, X. Chen, J. Dhaene, M. Goovaerts,
L. Henrard & R. Kaas (2008). Journal of Computational and Applied
Mathematics, 221(1), 202-218.
Premium calculation and
insurance pricing. [PDF
version]
R. Laeven & M. Goovaerts (2008).
Encyclopedia of Quantitative Risk Analysis and Assessment, Melnick, E. and Everitt, B. (eds). John Wiley &
Sons Ltd, Chichester, UK,
1302-1314.
Risk classification in non-life insurance. [PDF
version]
K. Antonio & J. Beirlant (2008). Encyclopedia of
Quantitative Risk Analysis and Assessment, Melnick, E. and Everitt, B. (eds). John Wiley &
Sons Ltd, Chichester, UK,
Some comments on QIS3. [PDF
version]
J. Dhaene, M. Goovaerts & K.
Van Weert (2008). Zavarovalniski Horizonti, 3, 73-87.
Some results on the CTE based capital
allocation rule. [PDF
version]
J. Dhaene, L. Henrard, Z. Landsman, A. Vandendorpe & S.
Vanduffel(2008). Insurance:
Mathematics and Economics,
42, 855–863.
Static super-replicating strategies for a
class of exotic options. [PDF
version]
X. Chen, G. Deelstra, J. Dhaene & M. Vanmaele (2008). Insurance:
Mathematics and Economics,
42(3), 1067-1085.
Stress-testing the impact of group
dependence on credit portfolio risk. [PDF
version]
S. Vanduffel, B. Aver, A. Chernih, L.
Henrard & C. Ribas (2008). Stress-testing for Financial
Institutions (edited by Harald Scheule and Daniel Rösch),
RiskBooks, Incisive Media.
The use of a stochastic LGD in a credit
default economic capital framework. [PDF
version]
J. Dhaene, M. Goovaerts, S. Vanduffel, R. Koch, R. Olieslagers
& O. Romijn (2008). Journal of Actuarial Practice,
to be published. |
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Actuarial statistics with generalized
linear mixed models. [PDF
version]
K. Antonio & J. Beirlant (2007). Insurance:
Mathematics and Economics 40(1), 58-76.
An actuarial approach to short-run
monetary equilibrium. [PDF
version]
F. Mierzejewski (2007). Submitted.
Bounds for a sum of random
variables under a mixture of normals. [PDF
version]
A. Kukush & M. Pupashenko(2007). Theory of Stochastic
Processes, 2007, 13 (29), N4, 82-97.
Comonotonic bounds on
the survival probabilities in the Lee-Carter model for mortality
projection. [PDF
version]
M. Denuit, J. Dhaene (2007).
Journal of Computational and Applied Mathematics,
203, 169-176.
Comonotonicity (long version). [PDF
version]
J. Dhaene, S. Vanduffel & M. Goovaerts (2007). Het
tijdschrift voor economie en management, Vol. LII, 2.
The money-demand with random output and
limited access to debt. [PDF
version]
F. Mierzejewski (2007). Submitted. |
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A path integral approach
to asset-liability management. [PDF
version]
M. Decamps, A. De Schepper & M. Goovaerts (2006).
Physica A: Statistical Mechanics and its Applications, 363(2),
404-416.
Actuarial
statistics and mixed models: applications and opportunities. [PDF
version]
K. Antonio & J. Beirlant (2006). Proceedings of the
Actuarial and Financial Mathematics Day, Brussels,2006.
Asset correlations:
shifting tides. [PDF
version]
A. Chernih, S. Vanduffel
& L. Henrard (2006).
Submitted.
Asymmetric skew Bessel processes and their
applications to finance. [PDF
version]
M. Decamps, M. Goovaerts & W. Schoutens (2006).
Journal of Computational and Applied Mathematics,
186(1), 130-147.
Bounds for the price of a European-style
Asian option in a binary tree model. [PDF
version]
H. Reynaerts, M. Vanmaele, J. Dhaene & G. Deelstra (2006).
European Journal of Operational Research 168(2), 322-332.
Bounds for the price of discrete arithmetic
Asian options. [PDF version]
M. Vanmaele, G. Deelstra, J. Liinev, J. Dhaene & M.J.
Goovaerts (2006). Journal of Computational and Applied
Mathematics, vol. 185(1), 51-90.
Computation of convex bounds for present
value functions of random payments. [PDF
version]
A. Ahcan, G. Darkiewicz, M. Goovaerts & T. Hoedemakers
(2006). Journal of Computational and Applied Mathematics,
vol. 186, no.1, 23-42.
Consistent assumptions for
modeling credit loss correlations. [PDF
version]
J. Dhaene, M. Goovaerts, S. Vanduffel, R. Koch, R. Olieslagers
& O. Romijn (2006). Journal of Actuarial Practice,
vol. 13, 173-182.
Economic capital allocation under
liquidity constraints. [PDF
version]
F. Mierzejewski (2006).
Submitted.
Lognormal mixed models for reported claim reserves.
[PDF version]
K. Antonio, J. Beirlant, T. Hoedemakers & R. Verlaak (2006).
North American Actuarial Journal,
10(1), 30-48.
On the structure of premium principles under pointwise
comonotonicity.[PDF
version]
J. Dhaene,
A. Kukush, M.
Pupashenko
(2006).
Theory of Stochastic
Processes, vol. 12 (28), N3-4, 27-45.
Optimal capital allocation confronting bankruptcy and agency
Costs.[PDF
version]
F. Mierzejewski
(2006).
Bank- en
Financiewezen, 2 (March), 2006.
Recursions for the individual risk model.[PDF
version]
J. Dhaene,C. Ribas,
R. Vernic (2006). Acta Mathematica
Applicatae Sinica, English Series, vol. 22(4), 543-564.
Risk measurement
with equivalent utility principles.
[PDF version]
M. Denuit, J. Dhaene,
M. Goovaerts, R. Kaas & R.
Laeven (2006). Statistics &
Decisions,Vol.24(1),
1-25 .
Risk measures and
comonotonicity: a review. [PDF
version]
J. Dhaene, S. Vanduffel, Q.Tang, M. Goovaerts, R. Kaas
& D. Vyncke (2006).
Stochastic Models, 22, 573-606.
Self exciting threshold interest rates
models. [PDF version]
M. Decamps, M. Goovaerts & W. Schoutens (2006).
International Journal of Theoretical and Applied Finance,
9(7), 1093-1122.
Semiparametric regression
models for claims reserving and
credibility: the mixed
model approach. [PDF
version]
K. Antonio & J. Beirlant (2006). Submitted.
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A note on some new perpetuities. [PDF
version]
M. Decamps, A. De Schepper, M. Goovaerts & W. Schoutens
(2005). Scandinavian Actuarial Journal, 4, 261-270.
Actuarial
theory for dependent
risks: measures,
orders and models.
M. Denuit, J. Dhaene,
M. Goovaerts, R. Kaas (2005).
Wiley, pp. 440.
Aggregating economic
capital. [PDF
version]
J. Dhaene, M. Goovaerts, M. Lundin
& S. Vanduffel (2005). Belgian Actuarial Bulletin,
5, 14-25.
A liability driven approach to asset
allocation. [PDF
version]
X. Chen, J. Dhaene,
M. Goovaerts, S. Vanduffel (2005).
Belgian Actuarial Bulletin, 5, 52-56.
Approximations
for life annuity contracts in a stochastic financial environment.
[PDF version]
T. Hoedemakers, G. Darkiewicz & M. Goovaerts (2005).
Insurance: Mathematics and Economics, 37(2), 239-269.
Basel II: capital requirements for equity
investment portfolios. [PDF
version]
F. Suarez, J. Dhaene, L. Henrard & S. Vanduffel (2005).
Belgian Actuarial Bulletin, 5, 37-45.
Comonotonic approximations for optimal
portfolio selection problems. [PDF
version]
J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas & D. Vyncke
(2005). Journal of Risk and Insurance 72(2), 253-301.
Comparing approximations for risk measures
of sums of non-independent lognormal random variables.
[PDF version]
S. Vanduffel, T. Hoedemakers & J. Dhaene (2005). North
American Actuarial Journal,
vol. 9(4), 71-82.
Discussion of 'a Bayesian generalized linear
model for the Bornhuetter-Ferguson method of claims reserving'.
[PDF version]
K. Antonio, J. Beirlant & T. Hoedemakers (2005). North
American Actuarial Journal 9(3), 143-145.
Managing economic and virtual economic
capital within financial conglomerates. [PDF
version]
M. Goovaerts, E. van den Borre & R. Laeven (2005).
North American Actuarial Journal, 9(3), 77-89.
On the distribution of discounted loss
reserves using generalized linear models. [PDF
version]
T. Hoedemakers, J. Beirlant, M. Goovaerts & J. Dhaene
(2005). Scandinavian Actuarial Journal 2005(1), 25-45.
On the evaluation of 'saving-consumption'
plans. [PDF version]
S. Vanduffel, J. Dhaene & M. Goovaerts (2005). Journal
of Pension Economics and Finance 4(1), 17-30.
On the use of copulas for calculating the
present value of a general cash flow. [PDF
version]
M. Goovaerts, A. De Schepper, Y. Hua, G. Darkiewicz &
D. Vyncke (2005). Tijdschrift voor Economie en Management,
L(1), 69-93.
Optimal portfolio selection for cash-flows
with bounded Capital at Risk. [PDF
version]
D. Vyncke, M. Goovaerts, J. Dhaene & S. Vanduffel (2005).
Tijdschrift voor Economie en Management, L(1), 103-114.
Risk measures and dependencies of risks.
[PDF version]
G. Darkiewicz, J. Dhaene & M. Goovaerts (2005).
Brazilian Journal of Probability and Statistics, 19,
155-178.
Static hedging of Asian options under Lévy
models: the comonotonicity approach. [PDF
version]
H. Albrecher, J. Dhaene, M. Goovaerts & W. Schoutens (2005).
The Journal of Derivatives 12(3), 63-72.
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A comonotonic image of
independence for additive risk measures. [PDF
version]
M. Goovaerts, R. Kaas, R. Laeven & Q. Tang (2004). Insurance:
Mathematics and Economics 35(3), 581-594.
A global framework for insurer solvency
assessement. [PDF
version]
The Insurer Solvency Assessment
Working Party (2004). Research
Report, International Association of Actuaries.
An accurate analytical approximation for
the price of a European-style arithmetic Asian option.
[PDF version]
D. Vyncke, M. Goovaerts & J. Dhaene (2004). Finance
25, 121-139.
Applications of delta-function perturbation
to the pricing of derivative securities. [PDF
version]
M. Decamps, A. De Schepper & M. Goovaerts (2004). Physica
A, 342(3-4), 677-692
Capital requirements, risk measures and
comonotonicity. [PDF version]
J. Dhaene, S. Vanduffel, Q.H. Tang, M. Goovaerts, R. Kaas
& D. Vyncke (2004). Belgian Actuarial Bulletin
4, 53-61.
Closed form approximations for diffusion
densities: a path integral approach. [PDF
version]
M. Goovaerts, A. De Schepper & M. Decamps (2004).
Journal of Computational and Applied Mathematics, 164-165,
337-364.
Comonotonicity. [PDF
version]
D. Vyncke (2004). Encyclopedia of Actuarial Science, Wiley,
Vol. I , 302-305.
Distortion risk measures for sums of random
variables. [PDF version]
G. Darkiewicz, J. Dhaene & M. Goovaerts (2004). Blaetter
der DGVFM XXVI (4), 631-641.
General linear mixed models for loss reserving.
[PDF version]
K. Antonio, J. Beirlant, T. Hoedemakers & R. Verlaak (2004).
Proceedings of the 8th international congrecc on
Insurance: Mathematics and Economics.
How the co-integration analysis can help
in mortality forecasting. [PDF
version]
G. Darkiewicz & T. Hoedemakers (2004). Submitted.
On the distribution of discounted loss
reserves. [PDF version]
K. Antonio, M. Goovaerts & T. Hoedemakers (2004). Medium
Econometrische Toepassingen 12(3), 12-16.
Pricing exotic options under local volatility.
[PDF version]
M. Decamps, A. De Schepper & M. Goovaerts (2004). Proceedings
of the second International Workshop on Applied Probability
(IWAP), Athens.
Proceedings of the
second actuarial and financial mathematics day (februari 6,
2004).
M. Vanmaele, A.
De Schepper, J. Dhaene, H. Reynaerts,
W. Schoutens, P. Van Goethem
(2004).Koninklijke Vlaamse Academie van België voor
Wetenschappen en Kunsten, Brussels.
Reinsurance forms. [PDF
version]
M. Goovaerts & D. Vyncke (2004). Encyclopedia of Actuarial
Science, Wiley, Vol. III , 1403-1404.
Risk measures and optimal portfolio selection
(with applications to elliptical distributions). [PDF
version]
J. Dhaene, E. Valdez, T. Hoedemakers (2004). Lecture Notes
of the Third conference in Actuarial Science and Finance,
Samos, Sep 6-8.
Some new classes of consistent risk measures.
[PDF version]
M. Goovaerts, R. Kaas, J. Dhaene & Q. Tang (2004). Insurance:
Mathematics and Economics 34(3), 505-516.
Some useful
counterexamples regarding comonotonicity.
[PDF version]
R. Kaas,
M. Goovaerts & Q. Tang (2004). Belgian Actuarial Bulletin
4, 1-4.
The individual risk model. [PDF
version]
J. Dhaene & D. Vyncke (2004). Encyclopedia of Actuarial
Science, Wiley, Vol. II, 871-875.
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A unified approach to generate
risk measures. [PDF version]
M.J. Goovaerts, R. Kaas, J. Dhaene & Q. Tang (2003). ASTIN
Bulletin 33(2), 173-192.
Coherent distortion risk measures - a pitfall.
[PDF version]
G. Darkiewicz, J. Dhaene & M. Goovaerts (2003). Proceedings
of the Seventh International Congress on Insurance: Mathematics
and Economics, Lyon.
Comonotonicity: the perfect dependence.
[PDF version]
D. Vyncke (2003). PhD thesis, K.U. Leuven , Dept. of Mathematics.
Confidence bounds for discounted loss reserves.
[PDF version]
T. Hoedemakers, J. Beirlant, M. Goovaerts & J. Dhaene
(2003). Insurance: Mathematics and Economics 33(2),
297-316.
Economic capital allocation derived from
risk measures. [PDF version]
J. Dhaene, M.J. Goovaerts & R. Kaas (2003). North American
Actuarial Journal 7(2), 44-59.
Modelling dependence through copulas.
[PDF version]
Y. Goegebeur & O. Purcaru (2003). Lecture Notes of
the First Brazilian Conference on Statistical Modelling in
Insurance and Finance, Ubatuba, Sep 1-6.
On the computation of the capital multiplier
in the fortis credit economic capital model. [PDF
version]
J. Dhaene, S. Vanduffel, M. Goovaerts, R. Olieslagers &
R. Koch (2003). Belgian Actuarial Bulletin 3, 50-57.
On the distribution of cash-flows using
Esscher transforms. [PDF version]
D. Vyncke, M. Goovaerts, A. De Schepper, R. Kaas & J.
Dhaene (2003). Journal of Risk and Insurance 70(3),
563-575.
Proceedings of the first
Brazilian conference on statistical modelling in insurance and
finance.
J. Dhaene, N,
Kolev, P. Morettin (editors)
(2003). Institute of Mathematics and Statistics, University of
Sao Paulo.
Simple characterizations of comonotonicity
and countermonotonicity by extremal correlations. [PDF
version]
M. Denuit & J. Dhaene (2003). Belgian Actuarial Bulletin
3, 22-27.
Stable laws and the present value of cash-flows.
[PDF version]
M. Goovaerts, A. De Schepper, D. Vyncke, J. Dhaene & R.
Kaas (2003). North American Actuarial Journal 7(4),
32-43.
The hurdle-race problem. [PDF
version]
S. Vanduffel, J. Dhaene, M.J. Goovaerts & R. Kaas (2003).
Insurance: Mathematics and Economics 33(2), 405-413.
The valuation of cash-flows in the presence
of dividend barriers. [PDF
version]
A. De Schepper, M. Goovaerts, J. Dhaene, D. Vyncke & R.
Kaas (2003). Medium Econometrische Toepassingen 11(2),
18-25 (also in Proceedings Astin Colloquium, Washington,
pp. 30, 2001).
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A simple geometric proof
that comonotonic risks have the convex-largest sum. [PDF
version]
R. Kaas, J. Dhaene, D. Vyncke, M. Goovaerts & M. Denuit
(2002). ASTIN Bulletin 32(1), 71-80.
Bounds for present value functions with
stochastic interest rates and stochastic volatility. [PDF
version]
A. De Schepper, M. Goovaerts, J. Dhaene, R. Kaas & D.
Vyncke (2002). Insurance: Mathematics and Economics
31(1), 87-103.
Risk and savings contracts. [PDF
version]
J. Dhaene, H. Wolthuis, M. Denuit & M. Goovaerts (2002).
Transactions of the 27th International Congress of Actuaries,
Cancun, Mexico, March 17-22.
The concept of comonotonicity in actuarial
science and finance: theory. [PDF
version]
J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke
(2002). Insurance: Mathematics & Economics 31(1),
3-33.
The concept of comonotonicity in actuarial
science and finance: applications. [PDF
version]
J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke
(2002). Insurance: Mathematics & Economics
31(2), 133-161.
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Bonus-malus scales using
exponential loss functions. [PDF
version]
M. Denuit & J. Dhaene (2001). Blätter der Deutshce
Gesellschaft für Versicherungsmathematik 25, 13-27.
Convex upper and lower bounds for present
value functions. [PDF version]
D. Vyncke, M. Goovaerts & J. Dhaene (2001). Applied
Stochastic Models in Business and Industry 17, 149-164.
Does positive dependence between individual
risks increase stop-loss premiums? [PDF
version]
M. Denuit, J. Dhaene & C. Ribas (2001). Insurance:
Mathematics & Economics 28(3), 305-308.
Exponential bonus-malus systems integrating
a priori risk classification. [PDF
version]
L. Bermúdez, M. Denuit & J. Dhaene (2001). Journal
of Actuarial Practice 9, 84-112.
Measuring the impact of a dependence among
insured lifelengths. [PDF
version]
M. Denuit, J. Dhaene, C. Le Bailly de Tilleghem & S. Teghem
(2001). Belgian Actuarial Bulletin 1(1), 18-39.
Modern actuarial risk
theory.
R. Kaas, M.
Goovaerts, J. Dhaene, M.
Denuit (2001). Kluwer
Academic Publishers.
Some remarks on IBNR evaluation techniques.
M. J. Goovaerts, J. Dhaene,
E.
Vanden Borre and R. Redant (2001). Belgian Actuarial
Bulletin,1,
58-60;
Tijdschrift voor Economie en
Management,
XLVI, 525-532.
Stochastic approximations of present value
functions. [PDF version]
H. Cossette, M. Denuit, J. Dhaene & E. Marceau (2001).
Bulletin of the Swiss Association of Actuaries 2001(1),
15-28.
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An easy computable upper bound
for the price of an arithmetic Asian option. [PDF
version]
S. Simon, M. Goovaerts & J. Dhaene (2000). Insurance:
Mathematics & Economics 26(2-3), 175-184. A
note on dependencies in multiple life statuses. [PDF
version]
J. Dhaene, M. Vanneste & H. Wolthuis (2000). Bulletin
of the Swiss Association of Actuaries 2000(1), 19-34.
Comonotonicity and maximal stop-loss premiums.
[PDF version]
J. Dhaene, S. Wang, V.R. Young & M. Goovaerts (2000).
Bulletin of the Swiss Association of Actuaries 2000(2),
99-113.
Stochastic upper bounds for present value
functions. [PDF version]
M. Goovaerts, J. Dhaene & A. De Schepper (2000). The
Journal of Risk and Insurance 67(1), 1-14.
Upper and lower bounds for sums of random variables. [PDF version]
R. Kaas, J. Dhaene & M. Goovaerts (2000). Insurance:
Mathematics & Economics 27(2), 151-168.
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Recursions for distribution
functions and stop-loss premiums. [PDF
version]
J. Dhaene, G.E. Willmot & B. Sundt (1999). Scandinavian
Actuarial Journal 1999(1), 52-65.
Some positive dependence
notions, with applications in actuarial sciences. [PDF
version]
M. Denuit, J. Dhaene &
C. Ribas (1999).
Research report 9942, department ETEW KULeuven.
Supermodular ordering and stochastic annuities.
[PDF version]
M. Goovaerts & J. Dhaene (1999). Insurance: Mathematics
& Economics 24(3), 281-290.
The safest dependence structure among risks.
[PDF version]
J. Dhaene & M. Denuit (1999). Insurance: Mathematics
& Economics 25, 11-21.
The economics of insurance: a review and
some recent developments. [PDF
version]
M. Denuit, J. Dhaene & M. Van Wouwe (1999). Mitteilungen
der Schweiz. Aktuarvereinigung 1999(2), 137-175.
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A note on the stop-loss
preserving property of Wang’s premium principle.
[PDF version]
C. Ribas, M. Goovaerts & J. Dhaene (1998). Bulletin
of the Swiss Association of Actuaries 1998(2), 237-241.
Comonotonicity, correlation order and premium
principles. [PDF version]
S. Wang & J. Dhaene (1998). Insurance: Mathematics
& Economics 22(3), 235-242.
On the characterization of Wang's class
of premium principles. [PDF
version]
M. Goovaerts & J. Dhaene (1998). Transactions of the
26th International Congress of Actuaries 4, 121-134.
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Exact credibility for weighted
observations. [PDF version]
R. Kaas, D. Dannenburg & M. Goovaerts (1997). ASTIN
Bulletin 27(2), 287-295.
On error bounds for approximations to aggregate
claims distributions. [PDF
version]
J. Dhaene & B. Sundt (1997). ASTIN Bulletin 27(2),
243-262.
On the dependency of risks in the individual
life model. [PDF version]
J. Dhaene & M. Goovaerts (1997). Insurance: Mathematics
& Economics 19(3), 243-253.
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Dependency of risks and stop-loss
order. [PDF version]
J. Dhaene & M. Goovaerts (1996). ASTIN Bulletin
26(2), 201-212.
On bounds for the difference between the
stop loss transforms of two compound distributions. [PDF
version]
B. Sundt & J. Dhaene (1996). ASTIN Bulletin 26(2),
225-231.
Some moment relations for the Hipp approximation.
[PDF version]
J. Dhaene, B. Sundt & N. De Pril (1996). ASTIN Bulletin
26(1), 117-121.
The compound Poisson approximation for
a portfolio of dependent risks. [PDF
version]
M. Goovaerts & J. Dhaene (1996). Insurance: Mathematics
& Economics 18(1), 81-85.
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Recursions for the individual model.
[PDF version]
J. Dhaene & M. Vandebroek (1995). Insurance: Mathematics
& Economics 16, 31-38.
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Error bounds for compound
Poisson approximations of the individual risk model. [PDF
version]
N. De Pril & J. Dhaene (1992). ASTIN
Bulletin 22(2), 135-148.
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Distributions in life insurance.
[PDF version]
J. Dhaene (1990). ASTIN Bulletin
20(1), 81-92.
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Stochastic interest rates
and autoregressive integrated moving average processes.
[PDF version]
J. Dhaene (1989). ASTIN Bulletin
19(2), 131-138.
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