×
Compute Distance To:
Author ID: dhaene.jan Recent zbMATH articles by "Dhaene, Jan"
Published as: Dhaene, Jan; Dhaene, J.
External Links: MGP
Documents Indexed: 98 Publications since 1990, including 3 Books
Co-Authors: 78 Co-Authors with 98 Joint Publications
1,014 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

93 Publications have been cited 1,951 times in 1,021 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.
271
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.
159
2002
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
140
2006
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
102
2008
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
78
2000
Modern actuarial risk theory. Zbl 1086.91035
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
67
2003
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
54
1999
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
52
1998
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
49
1997
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
48
2003
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
48
2004
Remarks on quantiles and distortion risk measures. Zbl 1256.91027
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe
36
2012
Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099
Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J.
35
2000
Some results on the CTE-based capital allocation rule. Zbl 1152.91577
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S.
34
2008
An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021
Simon, S.; Goovaerts, M. J.; Dhaene, J.
31
2000
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
31
2006
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
An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006
Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle
28
2011
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
28
2006
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.
27
2002
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
27
2005
Does positive dependence between individual risks increase stop-loss premiums? Zbl 1055.91046
Denuit, Michel; Dhaene, Jan; Ribas, Carmen
25
2001
On a class of approximative computation methods in the individual risk model. Zbl 0805.62095
Dhaene, Jan; De Pril, Nelson
24
1994
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
Static super-replicating strategies for a class of exotic options. Zbl 1141.91427
Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M.
23
2008
Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. Zbl 1110.62140
Denuit, Michel; Dhaene, Jan
20
2007
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
18
2009
Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. Zbl 1395.91249
Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze
16
2017
On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226
Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben
16
2013
Convex order and comonotonic conditional mean risk sharing. Zbl 1284.60043
Denuit, Michel; Dhaene, Jan
16
2012
Supermodular ordering and stochastic annuities. Zbl 0942.60008
Goovaerts, M. J.; Dhaene, J.
15
1999
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
14
2009
The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079
Goovaerts, M. J.; Dhaene, J.
14
1996
Reducing risk by merging counter-monotonic risks. Zbl 1291.91098
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe
14
2014
Recursions for the individual model. Zbl 0837.62085
Dhaene, Jan; Vandebroek, Martina
13
1995
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
A multivariate dependence measure for aggregating risks. Zbl 1386.91172
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David
12
2014
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
11
2019
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
On approximating distributions by approximating their De Pril transforms. Zbl 1031.62500
Dhaene, Jan; Sundt, Bjørn
10
1998
Some results on moments and cumulants. Zbl 1031.62501
Sundt, Bjørn; Dhaene, Jan; De Pril, Nelson
10
1998
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
9
2019
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.
9
1997
Confidence bounds for discounted loss reserves. Zbl 1103.91367
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan
9
2003
A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan
9
2011
Optimal premium control in a non-life insurance business. Zbl 0728.62099
Vandebroek, Martina; Dhaene, Jan
9
1990
Reserve-dependent benefits and costs in life and health insurance contracts. Zbl 1304.91096
Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan
9
2014
The economics of insurance: a review and some recent developments. Zbl 1187.91096
Denuit, Michel; Dhaene, Jan; Van Wouve, Martine
9
1999
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan
8
2017
A note on dependencies in multiple life statuses. Zbl 1187.91098
Dhaene, Jan; Vanneste, Marleen; Wolthuis, Henk
8
2000
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
8
2019
Ordered random vectors and equality in distribution. Zbl 1398.91320
Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël
7
2015
Convex upper and lower bounds for present value functions. Zbl 0971.91030
Vyncke, D.; Goovaerts, M.; Dhaene, J.
7
2001
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
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
7
2004
Correlation order, merging and diversification. Zbl 1231.91175
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven
7
2009
Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422
van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
7
2010
FIX: the fear index – measuring market fear. Zbl 1296.91219
Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W.
7
2012
Bonus-malus scales using exponential loss functions. Zbl 1354.91059
Denuit, Michel; Dhaene, Jan
6
2001
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
6
2018
Tail variance premiums for log-elliptical distributions. Zbl 1284.91247
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan
6
2013
Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212
Barigou, Karim; Chen, Ze; Dhaene, Jan
6
2019
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
Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip
5
2018
On an optimization problem related to static super-replicating strategies. Zbl 1299.91140
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle
5
2015
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
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
5
2020
Recursion for distribution functions and stop-loss transforms. Zbl 0922.62110
Dhaene, Jan; Willmont, Gordon; Sundt, Bjørn
4
1999
Recursions for the individual risk model. Zbl 1104.62112
Dhaene, Jan; Ribas, Carmen; Vernic, Raluca
4
2006
Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Zbl 1357.62060
Denuit, Michel; Dhaene, Jan
4
2003
The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. Zbl 1304.91215
Dhaene, J.; Kukush, A.; Linders, D.
4
2014
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 allocation of policy deductibles for exchangeable risks. Zbl 1371.91104
Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan
3
2016
Risk measures and dependencies of risks. Zbl 1272.62066
Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc
3
2005
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
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
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
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
A dynamic equivalence principle for systematic longevity risk management. Zbl 1411.91283
Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien
2
2019
Actuarial applications of financial models. Zbl 0959.62097
Goovaerts, M. J.; Dhaene, J.
2
1997
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
Stochastic approximations of present value functions. Zbl 1187.91092
Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É.
2
2001
A robustification of the chain-ladder method. Zbl 1483.91210
Verdonck, Tim; van Wouwe, Martine; Dhaene, Jan
1
2009
Systemic risk: conditional distortion risk measures. Zbl 1484.91504
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying
1
2022
Comonotonic asset prices in arbitrage-free markets. Zbl 1430.91108
Dhaene, Jan; Kukush, Alexander; Linders, Daniël
1
2020
Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252
Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu
1
2021
Tail mutual exclusivity and Tail-VaR lower bounds. Zbl 1401.91111
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan
1
2017
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
Exponential bonus-malus systems integrating a priori risk classification. Zbl 1070.91505
Bermúdez, Lluís; Denuit, Michel; Dhaene, Jan
1
2001
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
1
2003
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
Aggregating economic capital. Zbl 1398.91680
Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S.
1
2005
Systemic risk: conditional distortion risk measures. Zbl 1484.91504
Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying
1
2022
Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252
Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu
1
2021
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174
Chen, Ze; Chen, Bingzheng; Dhaene, Jan
5
2020
Comonotonic asset prices in arbitrage-free markets. Zbl 1430.91108
Dhaene, Jan; Kukush, Alexander; Linders, Daniël
1
2020
Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
11
2019
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264
Barigou, Karim; Dhaene, Jan
9
2019
Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219
Delong, Łukasz; Dhaene, Jan; Barigou, Karim
8
2019
Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212
Barigou, Karim; Chen, Ze; Dhaene, Jan
6
2019
A dynamic equivalence principle for systematic longevity risk management. Zbl 1411.91283
Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien
2
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
6
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
5
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
16
2017
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan
8
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
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
Tail mutual exclusivity and Tail-VaR lower bounds. Zbl 1401.91111
Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan
1
2017
Optimal allocation of policy deductibles for exchangeable risks. Zbl 1371.91104
Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan
3
2016
Ordered random vectors and equality in distribution. Zbl 1398.91320
Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël
7
2015
On an optimization problem related to static super-replicating strategies. Zbl 1299.91140
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle
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
Reducing risk by merging counter-monotonic risks. Zbl 1291.91098
Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe
14
2014
A multivariate dependence measure for aggregating risks. Zbl 1386.91172
Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David
12
2014
Reserve-dependent benefits and costs in life and health insurance contracts. Zbl 1304.91096
Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan
9
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
16
2013
Tail variance premiums for log-elliptical distributions. Zbl 1284.91247
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan
6
2013
Remarks on quantiles and distortion risk measures. Zbl 1256.91027
Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe
36
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
16
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
28
2011
A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan
9
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
18
2009
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
14
2009
Correlation order, merging and diversification. Zbl 1231.91175
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven
7
2009
A robustification of the chain-ladder method. Zbl 1483.91210
Verdonck, Tim; van Wouwe, Martine; Dhaene, Jan
1
2009
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
102
2008
Some results on the CTE-based capital allocation rule. Zbl 1152.91577
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S.
34
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.
23
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.
140
2006
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
31
2006
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
28
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
4
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
Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan
27
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
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
48
2004
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
7
2004
Modern actuarial risk theory. Zbl 1086.91035
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
67
2003
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
48
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
Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Zbl 1357.62060
Denuit, Michel; Dhaene, Jan
4
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
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
1
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.
271
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.
159
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.
27
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
25
2001
Convex upper and lower bounds for present value functions. Zbl 0971.91030
Vyncke, D.; Goovaerts, M.; Dhaene, J.
7
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.
78
2000
Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099
Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J.
35
2000
An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021
Simon, S.; Goovaerts, M. J.; Dhaene, J.
31
2000
A note on dependencies in multiple life statuses. Zbl 1187.91098
Dhaene, Jan; Vanneste, Marleen; Wolthuis, Henk
8
2000
The safest dependence structure among risks. Zbl 1072.62651
Dhaene, Jan; Denuit, Michel
54
1999
Supermodular ordering and stochastic annuities. Zbl 0942.60008
Goovaerts, M. J.; Dhaene, J.
15
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
4
1999
Comonotonicity, correlation order and premium principles. Zbl 0909.62110
Wang, Shaun; Dhaene, Jan
52
1998
On approximating distributions by approximating their De Pril transforms. Zbl 1031.62500
Dhaene, Jan; Sundt, Bjørn
10
1998
Some results on moments and cumulants. Zbl 1031.62501
Sundt, Bjørn; Dhaene, Jan; De Pril, Nelson
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.
49
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.
9
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
24
1994
Optimal premium control in a non-life insurance business. Zbl 0728.62099
Vandebroek, Martina; Dhaene, Jan
9
1990
all top 5

Cited by 1,206 Authors

65 Dhaene, Jan
47 Denuit, Michel M.
38 Cheung, Ka Chun
36 Goovaerts, Marc J.
27 Wang, Ruodu
24 Vanduffel, Steven
18 Kaas, Rob
16 Landsman, Zinoviy M.
16 Linders, Daniël
16 Tang, Qihe
15 Marceau, Étienne
14 Deelstra, Griselda
14 Laeven, Roger J. A.
13 Vanmaele, Michèle
12 Furman, Edward
12 Hu, Taizhong
12 Yang, Jingping
11 Balbás, Alejandro
11 Li, Xiaohu
11 Mao, Tiantian
11 Tan, Ken Seng
11 Zitikis, Ričardas
10 Boonen, Tim J.
10 Chi, Yichun
10 Cossette, Hélène
10 Embrechts, Paul
10 Guillen, Montserrat
10 Lefèvre, Claude
10 Lo, Ambrose
10 Rüschendorf, Ludger
10 Schoutens, Wim
10 Sundt, Bjørn Rosted
10 Vernic, Raluca
9 Cai, Jun
9 Yam, Sheung Chi Phillip
9 Zhang, Yiying
8 Ahn, Jae Youn
8 Albrecher, Hansjörg
8 Balbás, Beatriz
8 Balbás, Raquel
8 Mesfioui, Mhamed
8 Puccetti, Giovanni
8 Robert, Christian Yann
8 Trufin, Julien
8 Tsanakas, Andreas
8 Valdez, Emiliano A.
8 Vyncke, David
7 Asimit, Alexandru V.
7 Barigou, Karim
7 Bernard, Carole L.
7 Blake, David
7 Hoedemakers, Tom
7 Hürlimann, Werner
7 Sordo, Miguel Ángel
7 Yang, Hailiang
7 Yao, Jing
7 Zähle, Henryk
6 Bäuerle, Nicole
6 De Schepper, Ann
6 Feng, Runhuan
6 Frostig, Esther
6 Genest, Christian
6 Haberman, Steven
6 Kim, Joseph Hyun Tae
6 Loisel, Stéphane
6 Milevsky, Moshe Arye
6 Su, Jianxi
6 Weng, Chengguo
6 Yang, Fan
6 You, Yinping
5 Artikis, Constantinos T.
5 Artikis, Panagiotis T.
5 Bellini, Fabio
5 Čekanavičius, Vydas
5 Chen, Ze
5 Hanbali, Hamza
5 Hu, Yijun
5 Hua, Lei
5 Kolev, Nikolai
5 Kukush, Oleksandr Georgiĭovych
5 Liu, Haiyan
5 Mamon, Rogemar S.
5 Ortega, Eva-María
5 Pantelous, Athanasios A.
5 Papapantoleon, Antonis
5 Peng, Liang
5 Rosazza Gianin, Emanuela
5 Santolino, Miguel
5 Sherris, Michael
5 Tank, Fatih
5 Wen, Limin
5 Wu, Xianyi
5 Yin, Chuancun
5 Zheng, Yanting
4 Alai, Daniel H.
4 Antonio, Katrien
4 Assa, Hirbod
4 Belles-Sampera, Jaume
4 De Waegenaere, Anja
4 Devolder, Pierre
...and 1,106 more Authors
all top 5

Cited in 149 Serials

371 Insurance Mathematics & Economics
52 Scandinavian Actuarial Journal
51 Journal of Computational and Applied Mathematics
51 ASTIN Bulletin
44 North American Actuarial Journal
26 Communications in Statistics. Theory and Methods
24 European Journal of Operational Research
21 European Actuarial Journal
19 Statistics & Probability Letters
19 Methodology and Computing in Applied Probability
18 Journal of Multivariate Analysis
18 Quantitative Finance
13 Finance and Stochastics
12 Journal of Applied Probability
9 Annals of Operations Research
9 International Journal of Theoretical and Applied Finance
8 Dependence Modeling
6 Acta Mathematicae Applicatae Sinica. English Series
6 Communications in Statistics. Simulation and Computation
6 Applied Mathematical Finance
6 Mathematical Problems in Engineering
5 Applied Mathematics and Computation
5 Mathematics of Operations Research
5 Scandinavian Actuarial Journal
5 Journal of Applied Statistics
5 Stochastic Models
4 Lithuanian Mathematical Journal
4 Metrika
4 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
4 Operations Research
4 International Journal of Approximate Reasoning
4 The Annals of Applied Probability
4 Bernoulli
4 Mathematical Finance
4 Mathematical Methods of Operations Research
4 Journal of Industrial and Management Optimization
4 Annals of Finance
3 Advances in Applied Probability
3 Journal of Information & Optimization Sciences
3 Decisions in Economics and Finance
3 Frontiers of Mathematics in China
3 Mathematics and Financial Economics
3 SIAM Journal on Financial Mathematics
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 Journal of Statistical Planning and Inference
2 SIAM Journal on Control and Optimization
2 Theory and Decision
2 Mathematical Social Sciences
2 Statistics
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 INFORMS Journal on Computing
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Journal of Inequalities and Applications
2 Journal of Interdisciplinary Mathematics
2 Extremes
2 Applied Stochastic Models in Business and Industry
2 Journal of Systems Science and Complexity
2 Advances in Difference Equations
2 Stochastics
2 Journal of the Korean Statistical Society
2 Electronic Journal of Statistics
2 Advances in Mathematical Physics
2 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
2 International Journal of Applied and Computational Mathematics
1 Computers & Mathematics with Applications
1 Physica A
1 Archiv der Mathematik
1 Information Sciences
1 International Journal of Mathematics and Mathematical Sciences
1 Journal of Economic Theory
1 Metron
1 Statistica Neerlandica
1 Theoretical Computer Science
1 Operations Research Letters
1 Stochastic Analysis and Applications
1 Statistical Science
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 Numerical Algorithms
1 Computational Statistics
1 Economic Quality Control
1 Applied Mathematical Modelling
1 International Journal of Computer Mathematics
1 Computational Statistics and Data Analysis
1 Cybernetics and Systems Analysis
1 Test
1 Journal of Computer and Systems Sciences International
1 SIAM Journal on Scientific Computing
1 Theory of Probability and Mathematical Statistics
...and 49 more Serials

Citations by Year