×

zbMATH — the first resource for mathematics

Dhaene, Jan

Compute Distance To:
Author ID: dhaene.jan Recent zbMATH articles by "Dhaene, Jan"
Published as: Dhaene, J.; Dhaene, Jan
External Links: MGP
Documents Indexed: 94 Publications since 1990, including 3 Books

Publications by Year

Citations contained in zbMATH Open

89 Publications have been cited 1,845 times in 943 Documents Cited by Year
The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
239
2002
Modern actuarial risk theory. Zbl 1086.91035
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
168
2003
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
150
2002
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
131
2006
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
81
2008
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
75
2000
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
54
1998
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
49
1999
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
46
1997
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
42
2004
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
42
2003
Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099
Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J.
31
2000
Some results on the CTE-based capital allocation rule. Zbl 1152.91577
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S.
30
2008
Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021
Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R.
30
2008
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
30
2006
An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021
Simon, S.; Goovaerts, M. J.; Dhaene, J.
30
2000
An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006
Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle
26
2011
A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511
Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M.
26
2002
Remarks on quantiles and distortion risk measures. Zbl 1256.91027
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe
25
2012
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
25
2006
The herd behavior index: a new measure for the implied degree of co-movement in stock markets. Zbl 1237.91237
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David
24
2012
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
24
2005
Does positive dependence between individual risks increase stop-loss premiums? Zbl 1055.91046
Denuit, Michel; Dhaene, Jan; Ribas, Carmen
23
2001
On a class of approximative computation methods in the individual risk model. Zbl 0805.62095
Dhaene, Jan; De Pril, Nelson
23
1994
Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. Zbl 1110.62140
Denuit, Michel; Dhaene, Jan
20
2007
Static super-replicating strategies for a class of exotic options. Zbl 1141.91427
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M.
19
2008
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
Bounds and approximations for sums of dependent log-elliptical random variables. Zbl 1162.91440
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven
17
2009
On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226
Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben
14
2013
Supermodular ordering and stochastic annuities. Zbl 0942.60008
Goovaerts, M. J.; Dhaene, J.
14
1999
The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079
Goovaerts, M. J.; Dhaene, J.
14
1996
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
13
2009
Analytic bounds and approximations for annuities and Asian options. Zbl 1141.91550
Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A.
13
2008
Recursions for the individual model. Zbl 0837.62085
Dhaene, Jan; Vandebroek, Martina
13
1995
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. Zbl 1395.91249
Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze
10
2017
A multivariate dependence measure for aggregating risks. Zbl 1386.91172
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David
10
2014
Reducing risk by merging counter-monotonic risks. Zbl 1291.91098
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe
10
2014
Convex order and comonotonic conditional mean risk sharing. Zbl 1284.60043
Denuit, Michel; Dhaene, Jan
10
2012
Some results on moments and cumulants. Zbl 1031.62501
Sundt, Bjørn; Dhaene, Jan; De Pril, Nelson
10
1998
On approximating distributions by approximating their De Pril transforms. Zbl 1031.62500
Dhaene, Jan; Sundt, Bjørn
10
1998
Confidence bounds for discounted loss reserves. Zbl 1103.91367
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan
9
2003
A note on dependencies in multiple life statuses. Zbl 1187.91098
Dhaene, Jan; Vanneste, Marleen; Wolthuis, Henk
9
2000
The economics of insurance: a review and some recent developments. Zbl 1187.91096
Denuit, Michel; Dhaene, Jan; Van Wouve, Martine
9
1999
A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan
8
2011
Convex upper and lower bounds for present value functions. Zbl 0971.91030
Vyncke, D.; Goovaerts, M.; Dhaene, J.
8
2001
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Zbl 0893.62105
Vanneste, M.; Goovaerts, M. J.; De Schepper, A.; Dhaene, J.
8
1997
Reserve-dependent benefits and costs in life and health insurance contracts. Zbl 1304.91096
Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan
7
2014
FIX: the fear index – measuring market fear. Zbl 1296.91219
Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W.
7
2012
Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422
van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
7
2010
Correlation order, merging and diversification. Zbl 1231.91175
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven
7
2009
Bounds for present value functions with stochastic interest rates and stochastic volatility. Zbl 1092.91527
De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; Vyncke, David
7
2002
Optimal premium control in a non-life insurance business. Zbl 0728.62099
Vandebroek, Martina; Dhaene, Jan
7
1990
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
6
2019
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
6
2004
Bonus-malus scales using exponential loss functions. Zbl 1354.91059
Denuit, Michel; Dhaene, Jan
6
2001
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan
5
2017
Ordered random vectors and equality in distribution. Zbl 1398.91320
Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël
5
2015
Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048
Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda
5
2006
On the distribution of discounted loss reserves using generalized linear models. Zbl 1145.91033
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan
5
2005
Recursion for distribution functions and stop-loss transforms. Zbl 0922.62110
Dhaene, Jan; Willmont, Gordon; Sundt, Bjørn
5
1999
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
4
2019
The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. Zbl 1304.91215
Dhaene, J.; Kukush, A.; Linders, D.
4
2014
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. Zbl 1401.91218
Zhou, Ming; Dhaene, Jan; Yao, Jing
3
2018
Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208
Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien
3
2017
The minimal entropy martingale measure in a market of traded financial and actuarial risks. Zbl 1310.91137
Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, Michel
3
2015
On an optimization problem related to static super-replicating strategies. Zbl 1299.91140
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle
3
2015
Convex order approximations in the case of cash flows of mixed signs. Zbl 1284.91517
Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen
3
2012
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
3
2011
Recursions for the individual risk model. Zbl 1104.62112
Dhaene, Jan; Ribas, Carmen; Vernic, Raluca
3
2006
Risk measures and dependencies of risks. Zbl 1272.62066
Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc
3
2005
Tail mutual exclusivity and Tail-VaR lower bounds. Zbl 1401.91111
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan
2
2017
Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. Zbl 1390.91176
Dhaene, Jan; Godecharle, Els; Antonio, Katrien; Denuit, Michel; Hanbali, Hamza
2
2017
Optimal allocation of policy deductibles for exchangeable risks. Zbl 1371.91104
Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan
2
2016
Tail variance premiums for log-elliptical distributions. Zbl 1284.91247
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan
2
2013
On the computation of the capital multiplier in the Fortis credit economic capital model. Zbl 1357.91049
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert
2
2003
Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Zbl 1357.62060
Denuit, Michel; Dhaene, Jan
2
2003
Stable laws and the present value of fixed cash flows. Zbl 1084.91508
Goovaerts, Marc J.; De Schepper, Ann; Vyncke, David; Dhaene, Jan; Kaas, Rob
2
2003
Stochastic approximations of present value functions. Zbl 1187.91092
Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É.
2
2001
Actuarial applications of financial models. Zbl 0959.62097
Goovaerts, M. J.; Dhaene, J.
2
1997
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
1
2019
Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212
Barigou, Karim; Chen, Ze; Dhaene, Jan
1
2019
Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip
1
2018
Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187
Dhaene, Jan; Goovaerts, Marc J.; Koch, Robert; Olieslagers, Ruben; Romijn, Olivier; Vanduffel, Steven
1
2006
On the characterization of premium principle with respect to pointwise comonotonicity. Zbl 1141.91026
Dhaene, Jan; Kukush, Alexander; Pupashenko, Myhailo
1
2006
Basel II: Capital requirements for equity investment portfolios. Zbl 1398.91549
Suarez, F.; Dhaene, J.; Henrard, L.; Vanduffel, S.
1
2005
Aggregating economic capital. Zbl 1398.91680
Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S.
1
2005
Exponential bonus-malus systems integrating a priori risk classification. Zbl 1070.91505
Bermúdez, Lluís; Denuit, Michel; Dhaene, Jan
1
2001
A note on the stop-loss preserving property of Wang’s premium principle. Zbl 1333.62258
Ribas, Carmen; Goovaerts, Marc J.; Dhaene, Jan
1
1998
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
6
2019
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
4
2019
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
1
2019
Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212
Barigou, Karim; Chen, Ze; Dhaene, Jan
1
2019
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. Zbl 1401.91218
Zhou, Ming; Dhaene, Jan; Yao, Jing
3
2018
Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip
1
2018
Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. Zbl 1395.91249
Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze
10
2017
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan
5
2017
Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208
Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien
3
2017
Tail mutual exclusivity and Tail-VaR lower bounds. Zbl 1401.91111
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan
2
2017
Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. Zbl 1390.91176
Dhaene, Jan; Godecharle, Els; Antonio, Katrien; Denuit, Michel; Hanbali, Hamza
2
2017
Optimal allocation of policy deductibles for exchangeable risks. Zbl 1371.91104
Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan
2
2016
Ordered random vectors and equality in distribution. Zbl 1398.91320
Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël
5
2015
The minimal entropy martingale measure in a market of traded financial and actuarial risks. Zbl 1310.91137
Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, Michel
3
2015
On an optimization problem related to static super-replicating strategies. Zbl 1299.91140
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle
3
2015
A multivariate dependence measure for aggregating risks. Zbl 1386.91172
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David
10
2014
Reducing risk by merging counter-monotonic risks. Zbl 1291.91098
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe
10
2014
Reserve-dependent benefits and costs in life and health insurance contracts. Zbl 1304.91096
Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan
7
2014
The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. Zbl 1304.91215
Dhaene, J.; Kukush, A.; Linders, D.
4
2014
On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226
Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben
14
2013
Tail variance premiums for log-elliptical distributions. Zbl 1284.91247
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan
2
2013
Remarks on quantiles and distortion risk measures. Zbl 1256.91027
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe
25
2012
The herd behavior index: a new measure for the implied degree of co-movement in stock markets. Zbl 1237.91237
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David
24
2012
Convex order and comonotonic conditional mean risk sharing. Zbl 1284.60043
Denuit, Michel; Dhaene, Jan
10
2012
FIX: the fear index – measuring market fear. Zbl 1296.91219
Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W.
7
2012
Convex order approximations in the case of cash flows of mixed signs. Zbl 1284.91517
Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen
3
2012
An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006
Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle
26
2011
A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan
8
2011
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
3
2011
Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422
van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
7
2010
Bounds and approximations for sums of dependent log-elliptical random variables. Zbl 1162.91440
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven
17
2009
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
13
2009
Correlation order, merging and diversification. Zbl 1231.91175
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven
7
2009
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
81
2008
Some results on the CTE-based capital allocation rule. Zbl 1152.91577
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S.
30
2008
Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021
Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R.
30
2008
Static super-replicating strategies for a class of exotic options. Zbl 1141.91427
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M.
19
2008
Analytic bounds and approximations for annuities and Asian options. Zbl 1141.91550
Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A.
13
2008
Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. Zbl 1110.62140
Denuit, Michel; Dhaene, Jan
20
2007
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
131
2006
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
30
2006
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
25
2006
Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048
Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda
5
2006
Recursions for the individual risk model. Zbl 1104.62112
Dhaene, Jan; Ribas, Carmen; Vernic, Raluca
3
2006
Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187
Dhaene, Jan; Goovaerts, Marc J.; Koch, Robert; Olieslagers, Ruben; Romijn, Olivier; Vanduffel, Steven
1
2006
On the characterization of premium principle with respect to pointwise comonotonicity. Zbl 1141.91026
Dhaene, Jan; Kukush, Alexander; Pupashenko, Myhailo
1
2006
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
24
2005
On the distribution of discounted loss reserves using generalized linear models. Zbl 1145.91033
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan
5
2005
Risk measures and dependencies of risks. Zbl 1272.62066
Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc
3
2005
Basel II: Capital requirements for equity investment portfolios. Zbl 1398.91549
Suarez, F.; Dhaene, J.; Henrard, L.; Vanduffel, S.
1
2005
Aggregating economic capital. Zbl 1398.91680
Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S.
1
2005
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
42
2004
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
6
2004
Modern actuarial risk theory. Zbl 1086.91035
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
168
2003
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
42
2003
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
Confidence bounds for discounted loss reserves. Zbl 1103.91367
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan
9
2003
On the computation of the capital multiplier in the Fortis credit economic capital model. Zbl 1357.91049
Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert
2
2003
Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Zbl 1357.62060
Denuit, Michel; Dhaene, Jan
2
2003
Stable laws and the present value of fixed cash flows. Zbl 1084.91508
Goovaerts, Marc J.; De Schepper, Ann; Vyncke, David; Dhaene, Jan; Kaas, Rob
2
2003
The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
239
2002
The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107
Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D.
150
2002
A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511
Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M.
26
2002
Bounds for present value functions with stochastic interest rates and stochastic volatility. Zbl 1092.91527
De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; Vyncke, David
7
2002
Does positive dependence between individual risks increase stop-loss premiums? Zbl 1055.91046
Denuit, Michel; Dhaene, Jan; Ribas, Carmen
23
2001
Convex upper and lower bounds for present value functions. Zbl 0971.91030
Vyncke, D.; Goovaerts, M.; Dhaene, J.
8
2001
Bonus-malus scales using exponential loss functions. Zbl 1354.91059
Denuit, Michel; Dhaene, Jan
6
2001
Stochastic approximations of present value functions. Zbl 1187.91092
Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É.
2
2001
Exponential bonus-malus systems integrating a priori risk classification. Zbl 1070.91505
Bermúdez, Lluís; Denuit, Michel; Dhaene, Jan
1
2001
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
75
2000
Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099
Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J.
31
2000
An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021
Simon, S.; Goovaerts, M. J.; Dhaene, J.
30
2000
A note on dependencies in multiple life statuses. Zbl 1187.91098
Dhaene, Jan; Vanneste, Marleen; Wolthuis, Henk
9
2000
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
49
1999
Supermodular ordering and stochastic annuities. Zbl 0942.60008
Goovaerts, M. J.; Dhaene, J.
14
1999
The economics of insurance: a review and some recent developments. Zbl 1187.91096
Denuit, Michel; Dhaene, Jan; Van Wouve, Martine
9
1999
Recursion for distribution functions and stop-loss transforms. Zbl 0922.62110
Dhaene, Jan; Willmont, Gordon; Sundt, Bjørn
5
1999
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
54
1998
Some results on moments and cumulants. Zbl 1031.62501
Sundt, Bjørn; Dhaene, Jan; De Pril, Nelson
10
1998
On approximating distributions by approximating their De Pril transforms. Zbl 1031.62500
Dhaene, Jan; Sundt, Bjørn
10
1998
A note on the stop-loss preserving property of Wang’s premium principle. Zbl 1333.62258
Ribas, Carmen; Goovaerts, Marc J.; Dhaene, Jan
1
1998
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
46
1997
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Zbl 0893.62105
Vanneste, M.; Goovaerts, M. J.; De Schepper, A.; Dhaene, J.
8
1997
Actuarial applications of financial models. Zbl 0959.62097
Goovaerts, M. J.; Dhaene, J.
2
1997
The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079
Goovaerts, M. J.; Dhaene, J.
14
1996
Recursions for the individual model. Zbl 0837.62085
Dhaene, Jan; Vandebroek, Martina
13
1995
On a class of approximative computation methods in the individual risk model. Zbl 0805.62095
Dhaene, Jan; De Pril, Nelson
23
1994
Optimal premium control in a non-life insurance business. Zbl 0728.62099
Vandebroek, Martina; Dhaene, Jan
7
1990
all top 5

Cited by 1,105 Authors

62 Dhaene, Jan
43 Denuit, Michel M.
38 Cheung, Ka Chun
36 Goovaerts, Marc J.
23 Vanduffel, Steven
23 Wang, Ruodu
18 Kaas, Rob
17 Li, Xiaohu
15 Marceau, Étienne
14 Deelstra, Griselda
14 Landsman, Zinoviy M.
14 Linders, Daniël
14 Tang, Qihe
13 Laeven, Roger J. A.
13 Vanmaele, Michèle
12 Sordo, Miguel A.
12 Yang, Jingping
11 Guillen, Montserrat
11 Hu, Taizhong
11 Lefèvre, Claude
11 Zitikis, Ričardas
10 Balbás, Alejandro
10 Chi, Yichun
10 Cossette, Hélène
10 Embrechts, Paul
10 Furman, Edward
10 Rüschendorf, Ludger
10 Schoutens, Wim
10 Sundt, Bjørn Rosted
10 Tan, Ken Seng
10 Vernic, Raluca
9 Cai, Jun
9 Lo, Ambrose
8 Ahn, Jae Youn
8 Mao, Tiantian
8 Valdez, Emiliano A.
8 Vyncke, David
8 Yam, Sheung Chi Phillip
8 You, Yinping
7 Albrecher, Hansjörg
7 Asimit, Alexandru V.
7 Balbás, Beatriz
7 Balbás, Raquel
7 Boonen, Tim J.
7 De Schepper, Ann
7 Frostig, Esther
7 Hoedemakers, Tom
7 Hürlimann, Werner
7 Loisel, Stéphane
7 Mesfioui, Mhamed
7 Puccetti, Giovanni
7 Trufin, Julien
7 Tsanakas, Andreas
7 Weng, Chengguo
6 Bernard, Carole
6 Blake, David
6 Genest, Christian
6 Haberman, Steven
6 Hua, Lei
6 Kim, Joseph Hyun Tae
6 Kolev, Nikolai
6 Milevsky, Moshe Arye
6 Wu, Xianyi
6 Yang, Hailiang
6 Yao, Jing
6 Zähle, Henryk
5 Artikis, Constantinos T.
5 Artikis, Panagiotis T.
5 Barigou, Karim
5 Čekanavičius, Vydas
5 Feng, Runhuan
5 Gebizlioglu, Omer L.
5 Kałuszka, Marek
5 Kukush, Oleksandr Georgiĭovych
5 Liu, Haiyan
5 Ortega, Eva-María
5 Pantelous, Athanasios A.
5 Peng, Liang
5 Robert, Christian Yann
5 Santolino, Miguel
5 Sarabia, José María
5 Sherris, Michael
5 Su, Jianxi
5 Suarez-Llorens, Alfonso
5 Tank, Fatih
5 Wen, Limin
5 Yang, Fan
5 Zhang, Yiying
4 Ahcan, Ales
4 Alai, Daniel H.
4 Belles-Sampera, Jaume
4 Belzunce, Félix
4 Cousin, Areski
4 De Waegenaere, Anja
4 Devolder, Pierre
4 Di Bernardino, Elena
4 Hanbali, Hamza
4 Henrard, Luc
4 Hobson, David G.
4 Ledwina, Teresa
...and 1,005 more Authors
all top 5

Cited in 130 Serials

383 Insurance Mathematics & Economics
51 Journal of Computational and Applied Mathematics
45 Scandinavian Actuarial Journal
41 ASTIN Bulletin
33 North American Actuarial Journal
23 European Journal of Operational Research
21 Journal of Multivariate Analysis
20 Statistics & Probability Letters
18 European Actuarial Journal
15 Quantitative Finance
14 Communications in Statistics. Theory and Methods
14 Methodology and Computing in Applied Probability
11 Finance and Stochastics
9 Journal of Applied Probability
8 International Journal of Theoretical and Applied Finance
7 Journal of Statistical Planning and Inference
7 Annals of Operations Research
7 Dependence Modeling
6 Acta Mathematicae Applicatae Sinica. English Series
6 Applied Mathematical Finance
6 Mathematical Problems in Engineering
5 Applied Mathematics and Computation
5 Scandinavian Actuarial Journal
5 Stochastic Models
4 Lithuanian Mathematical Journal
4 Metrika
4 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
4 The Annals of Applied Probability
4 Communications in Statistics. Simulation and Computation
4 Bernoulli
4 Mathematical Finance
4 Journal of Applied Statistics
3 Advances in Applied Probability
3 Mathematics of Operations Research
3 Operations Research
3 Journal of Information & Optimization Sciences
3 International Journal of Approximate Reasoning
3 Mathematical Methods of Operations Research
3 Decisions in Economics and Finance
3 Journal of the Korean Statistical Society
3 Frontiers of Mathematics in China
3 Mathematics and Financial Economics
3 SIAM Journal on Financial Mathematics
3 Annals of Finance
2 Journal of Mathematical Analysis and Applications
2 Theory of Probability and its Applications
2 Fuzzy Sets and Systems
2 Journal of Mathematical Economics
2 Journal of Optimization Theory and Applications
2 Theory and Decision
2 Mathematical Social Sciences
2 Journal of Economics
2 Journal of Economic Dynamics & Control
2 Aequationes Mathematicae
2 Stochastic Processes and their Applications
2 Applied Mathematics. Series B (English Edition)
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Journal of Interdisciplinary Mathematics
2 Extremes
2 Applied Stochastic Models in Business and Industry
2 Journal of Systems Science and Complexity
2 Stochastics
2 Electronic Journal of Statistics
2 International Journal of Applied and Computational Mathematics
1 Computers & Mathematics with Applications
1 Archiv der Mathematik
1 Information Sciences
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Economic Theory
1 Journal of Mathematical Psychology
1 Metron
1 SIAM Journal on Control and Optimization
1 Statistica Neerlandica
1 Theoretical Computer Science
1 Stochastic Analysis and Applications
1 Statistics
1 Asia-Pacific Journal of Operational Research
1 Journal of Theoretical Probability
1 Science in China. Series A
1 Economics Letters
1 Japan Journal of Industrial and Applied Mathematics
1 Computational Statistics
1 Economic Quality Control
1 Applied Mathematical Modelling
1 Computational Statistics and Data Analysis
1 Cybernetics and Systems Analysis
1 Test
1 Journal of Computer and Systems Sciences International
1 Theory of Probability and Mathematical Statistics
1 Mathematical Methods of Statistics
1 Top
1 Lifetime Data Analysis
1 Electronic Communications in Probability
1 Arab Journal of Mathematical Sciences
1 Abstract and Applied Analysis
1 Discrete Dynamics in Nature and Society
1 Stochastic Environmental Research and Risk Assessment
1 CEJOR. Central European Journal of Operations Research
1 Probability in the Engineering and Informational Sciences
1 Lobachevskii Journal of Mathematics
...and 30 more Serials

Citations by Year