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Vellekoop, Michel H.

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Author ID: vellekoop.michel-h Recent zbMATH articles by "Vellekoop, Michel H."
Published as: Vellekoop, M. H.; Vellekoop, Michel; Vellekoop, Michel H.
Documents Indexed: 29 Publications since 1994
Co-Authors: 35 Co-Authors with 26 Joint Publications
438 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

23 Publications have been cited 179 times in 168 Documents Cited by Year
On intervals, transitivity = chaos. Zbl 0886.58033
Vellekoop, Michel; Berglund, Raoul
71
1994
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
18
2016
Modeling non-monotone risk aversion using SAHARA utility functions. Zbl 1255.91106
Chen, An; Pelsser, Antoon; Vellekoop, Michel
16
2011
A tree-based method to price American options in the Heston model. Zbl 1178.91204
Vellekoop, Michel; Nieuwenhuis, Hans
15
2009
Efficient pricing of derivatives on assets with discrete dividends. Zbl 1142.91569
Vellekoop, M. H.; Nieuwenhuis, J. W.
8
2006
On option pricing models in the presence of heavy tails. Zbl 1151.91550
Vellekoop, Michel; Nieuwenhuis, Hans
7
2007
A unifying framework for chaos and stochastic stability in discrete population models. Zbl 0907.92021
Vellekoop, M. H.; Högnäs, G.
6
1997
Optimal investment and consumption when allowing terminal debt. Zbl 1380.91144
Chen, An; Vellekoop, Michel
5
2017
Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. Zbl 1405.91245
Antonio, Katrien; Devriendt, Sander; de Boer, Wouter; de Vries, Robert; De Waegenaere, Anja; Kan, Hok-Kwan; Kromme, Egbert; Ouburg, Wilbert; Schulteis, Tim; Slagter, Erica; van der Winden, Marco; van Iersel, Corné; Vellekoop, Michel
4
2017
Symmetries in jump-diffusion models with applications in option pricing and credit risk. Zbl 1079.91032
Hoogland, J. K.; Neumann, C. D. D.; Vellekoop, M. H.
3
2003
An integral equation for American put options on assets with general dividend processes. Zbl 1229.91378
Vellekoop, M. H.; Nieuwenhuis, J. W.
3
2011
The early exercise premium for the American put under discrete dividends. Zbl 1232.91727
Göttsche, O. E.; Vellekoop, M. H.
3
2011
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
Existence of optimal consumption strategies in markets with longevity risk. Zbl 1394.91246
de Kort, J.; Vellekoop, M. H.
2
2017
Permanent health insurance: A case study in piecewise-deterministic Markov modelling. Zbl 0843.62101
Davis, Mark H. A.; Vellekoop, Michel H.
2
1995
Weak convergence of tree methods to price options on defaultable assets. Zbl 1105.91306
Nieuwenhuis, J. W.; Vellekoop, M. H.
2
2004
Optimal speed of detection in generalized Wiener disorder problems. Zbl 1059.60055
Vellekoop, M. H.; Clark, J. M. C.
2
2001
A Bayesian joint model for population and portfolio-specific mortality. Zbl 1390.91223
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
2
2017
Term structure extrapolation and asymptotic forward rates. Zbl 1348.91289
de Kort, J.; Vellekoop, M. H.
2
2016
Regularity of the exercise boundary for American put options on assets with discrete dividends. Zbl 1247.91186
Jourdain, B.; Vellekoop, M. H.
2
2011
Pricing and hedging guaranteed returns on mix funds. Zbl 1168.91403
Vellekoop, M. H.; Vd Kamp, A. A.; Post, B. A.
1
2006
A risk reserve model for hedging in incomplete markets. Zbl 1230.91179
Minina, Vera; Vellekoop, Michel
1
2010
He wanted to expand the useful working group as much as possible. (Hij wenschte er den nuttigen werkkring zooveel mogelijk van uit te breiden.) Zbl 1173.01329
Vellekoop, Michel
1
2000
Optimal investment and consumption when allowing terminal debt. Zbl 1380.91144
Chen, An; Vellekoop, Michel
5
2017
Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. Zbl 1405.91245
Antonio, Katrien; Devriendt, Sander; de Boer, Wouter; de Vries, Robert; De Waegenaere, Anja; Kan, Hok-Kwan; Kromme, Egbert; Ouburg, Wilbert; Schulteis, Tim; Slagter, Erica; van der Winden, Marco; van Iersel, Corné; Vellekoop, Michel
4
2017
Existence of optimal consumption strategies in markets with longevity risk. Zbl 1394.91246
de Kort, J.; Vellekoop, M. H.
2
2017
A Bayesian joint model for population and portfolio-specific mortality. Zbl 1390.91223
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
2
2017
The impact of multiple structural changes on mortality predictions. Zbl 1401.91221
van Berkum, Frank; Antonio, Katrien; Vellekoop, Michel
18
2016
Term structure extrapolation and asymptotic forward rates. Zbl 1348.91289
de Kort, J.; Vellekoop, M. H.
2
2016
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
Modeling non-monotone risk aversion using SAHARA utility functions. Zbl 1255.91106
Chen, An; Pelsser, Antoon; Vellekoop, Michel
16
2011
An integral equation for American put options on assets with general dividend processes. Zbl 1229.91378
Vellekoop, M. H.; Nieuwenhuis, J. W.
3
2011
The early exercise premium for the American put under discrete dividends. Zbl 1232.91727
Göttsche, O. E.; Vellekoop, M. H.
3
2011
Regularity of the exercise boundary for American put options on assets with discrete dividends. Zbl 1247.91186
Jourdain, B.; Vellekoop, M. H.
2
2011
A risk reserve model for hedging in incomplete markets. Zbl 1230.91179
Minina, Vera; Vellekoop, Michel
1
2010
A tree-based method to price American options in the Heston model. Zbl 1178.91204
Vellekoop, Michel; Nieuwenhuis, Hans
15
2009
On option pricing models in the presence of heavy tails. Zbl 1151.91550
Vellekoop, Michel; Nieuwenhuis, Hans
7
2007
Efficient pricing of derivatives on assets with discrete dividends. Zbl 1142.91569
Vellekoop, M. H.; Nieuwenhuis, J. W.
8
2006
Pricing and hedging guaranteed returns on mix funds. Zbl 1168.91403
Vellekoop, M. H.; Vd Kamp, A. A.; Post, B. A.
1
2006
Weak convergence of tree methods to price options on defaultable assets. Zbl 1105.91306
Nieuwenhuis, J. W.; Vellekoop, M. H.
2
2004
Symmetries in jump-diffusion models with applications in option pricing and credit risk. Zbl 1079.91032
Hoogland, J. K.; Neumann, C. D. D.; Vellekoop, M. H.
3
2003
Optimal speed of detection in generalized Wiener disorder problems. Zbl 1059.60055
Vellekoop, M. H.; Clark, J. M. C.
2
2001
He wanted to expand the useful working group as much as possible. (Hij wenschte er den nuttigen werkkring zooveel mogelijk van uit te breiden.) Zbl 1173.01329
Vellekoop, Michel
1
2000
A unifying framework for chaos and stochastic stability in discrete population models. Zbl 0907.92021
Vellekoop, M. H.; Högnäs, G.
6
1997
Permanent health insurance: A case study in piecewise-deterministic Markov modelling. Zbl 0843.62101
Davis, Mark H. A.; Vellekoop, Michel H.
2
1995
On intervals, transitivity = chaos. Zbl 0886.58033
Vellekoop, Michel; Berglund, Raoul
71
1994
all top 5

Cited by 305 Authors

7 Vellekoop, Michel H.
6 Chen, Guanrong
5 Blake, David
4 Román-Flores, Heriberto E.
4 Shi, Yuming
3 Andres, Jan
3 Antonio, Katrien
3 Cairns, Andrew J. G.
3 Chen, An
3 Lin, Wei
3 Lu, Tianxiu
3 Russo, Emilio
3 Yang, Xiaofang
2 Bernard, Carole L.
2 Börger, Matthias
2 Briani, Maya
2 Caramellino, Lucia
2 Cattaneo, Gianpiero
2 Chalco-Cano, Yurilev
2 Fedeli, Alessandro
2 Finelli, Michele
2 Gardini, Laura
2 Gaudenzi, Marcellino
2 Gu, Rongbao
2 Huang, Yu
2 Jin, Zhuo
2 Kallestrup-Lamb, Malene
2 Li, Johnny Siu-Hang
2 Li, Risong
2 Liao, Gongfu
2 Liu, Yanxin
2 Loranty, Anna
2 MacMinn, Richard D.
2 Margara, Luciano
2 Medio, Alfredo
2 Nieuwenhuis, J. W.
2 Ouburg, Wilbert
2 Pawlak, Ryszard Jerzy
2 Raines, Brian E.
2 Ruan, Jiong
2 Schreiber, Sebastian J.
2 Schupp, Johannes
2 Terenzi, Giulia
2 Tian, Chuanjun
2 Trivellato, Barbara
2 Wang, Lidong
2 Xu, Zhengjie
2 Zanette, Antonino
2 Zeng, Fanping
2 Zhang, Gengrong
2 Zhang, Xu
1 Abbar, Arafat
1 Abbasi, Neda
1 Abu-Saris, Raghib M.
1 Akgül, Ali
1 Al-Hami, Kifah Y.
1 Arnold, Séverine
1 Atangana, Abdon
1 Avrutin, Viktor
1 Bachem, Olivier
1 Baili, Hana
1 Baloush, Malouh
1 Balter, Anne G.
1 Bardoutsos, Anastasios G.
1 Barigou, Karim
1 Begun, Nikita Andreevich
1 Bhaumik, Indranil
1 Bhuruth, Muddun
1 Bodnar, Taras
1 Boender, C. Guus E.
1 Borland, Lisa
1 Bormetti, Giacomo
1 Brachetta, Matteo
1 Buchardt, Kristian
1 Cai, Jiacheng
1 Campbell, William H.
1 Cánovas, Jose S.
1 Carr, Peter Paul
1 Cazzaniga, Sofia
1 Chen, Yi-Chiuan
1 Chen, Ze
1 Chen, Zhijing
1 Chiu, Chun-Yuan
1 Choudhury, Binayak Samadder
1 Ciommi, Mariateresa
1 Cohen, Asaf
1 Coine, Clement
1 Collan, Mikael
1 Cosso, Andrea
1 Costabile, Massimo
1 Cui, Zhenyu
1 Dai, Tian-Shyr
1 Das, Ruchi
1 Das, Tarun Kumar
1 De Angelis, Paolo
1 de Boer, Wouter
1 De Gennaro Aquino, Luca
1 de Graaf, Cornelis S. L.
1 De Marchis, Roberto
1 de Melo, Eduardo Fraga L.
...and 205 more Authors
all top 5

Cited in 68 Serials

21 Chaos, Solitons and Fractals
13 Insurance Mathematics & Economics
11 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
8 Quantitative Finance
7 Scandinavian Actuarial Journal
6 ASTIN Bulletin
5 International Journal of Theoretical and Applied Finance
5 Decisions in Economics and Finance
5 North American Actuarial Journal
4 Journal of Computational and Applied Mathematics
4 European Journal of Operational Research
4 Journal of Difference Equations and Applications
3 Physica A
3 Proceedings of the American Mathematical Society
3 Topology and its Applications
3 Applied Mathematical Finance
3 Stochastics
3 European Actuarial Journal
2 Journal of Mathematical Physics
2 Journal of Economic Theory
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 International Journal of Computer Mathematics
2 Stochastic Processes and their Applications
2 Journal of Dynamics and Differential Equations
1 Journal of Mathematical Analysis and Applications
1 Nonlinearity
1 Physics Letters. A
1 International Journal of Mathematics and Mathematical Sciences
1 Integral Equations and Operator Theory
1 Journal of Differential Equations
1 Mathematics of Operations Research
1 Results in Mathematics
1 SIAM Journal on Numerical Analysis
1 Theoretical Computer Science
1 Theoretical Population Biology
1 Tokyo Journal of Mathematics
1 Statistics & Probability Letters
1 Acta Mathematica Hungarica
1 Physica D
1 Journal of Complexity
1 Journal of Economic Dynamics & Control
1 Applied Mathematics Letters
1 Science in China. Series A
1 Communications in Statistics. Theory and Methods
1 Journal of Nonlinear Science
1 Journal of Mathematical Sciences (New York)
1 Discrete and Continuous Dynamical Systems
1 Finance and Stochastics
1 Mathematical Finance
1 Abstract and Applied Analysis
1 Taiwanese Journal of Mathematics
1 Soft Computing
1 Chaos
1 Macroeconomic Dynamics
1 RAIRO. Theoretical Informatics and Applications
1 The ANZIAM Journal
1 Nonlinear Analysis. Real World Applications
1 Entropy
1 Analysis in Theory and Applications
1 Asia-Pacific Financial Markets
1 Review of Derivatives Research
1 Advances in Difference Equations
1 Journal of Biological Dynamics
1 Mathematics and Financial Economics
1 Nonlinear Analysis. Hybrid Systems
1 Asian-European Journal of Mathematics
1 SIAM Journal on Financial Mathematics
1 Journal of Applied Analysis and Computation

Citations by Year