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1

Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency

Dhaene, Jan, Stassen, Ben, Barigou, Karim, Linders, Daniël, Chen, Ze

Journal:

Insurance: Mathematics and Economics

Year:

2017

Language:

english

File:

PDF, 413 KB

english, 2017

2

Modern Actuarial Risk Theory ||

Kaas, Rob, Goovaerts, Marc, Dhaene, Jan, Denuit, Michel

Year:

2008

Language:

english

File:

PDF, 2.55 MB

english, 2008

3

Static Hedging of Asian Options under Lévy Models

Albrecher, Hansjörg, Dhaene, Jan, Goovaerts, Marc, Schoutens, Wim

Journal:

The Journal of Derivatives

Year:

2005

Language:

english

File:

PDF, 284 KB

english, 2005

4

Comonotonic asset prices in arbitrage-free markets

Dhaene, Jan, Kukush, Alexander, Linders, Daniël

Journal:

Journal of Computational and Applied Mathematics

Year:

2020

Language:

english

File:

PDF, 388 KB

english, 2020

5

Upper and lower bounds for sums of random variables

Rob Kaas, Jan Dhaene, Marc J. Goovaerts

Journal:

Insurance: Mathematics and Economics

Year:

2000

Language:

english

File:

PDF, 179 KB

english, 2000

6

Bounds for the price of a European-style Asian option in a binary tree model

Huguette Reynaerts, Michele Vanmaele, Jan Dhaene, Griselda Deelstra

Journal:

European Journal of Operational Research

Year:

2006

Language:

english

File:

PDF, 312 KB

english, 2006

7

Remarks on quantiles and distortion risk measures

Jan Dhaene, Alexander Kukush, Daniël Linders, Qihe Tang

Journal:

European Actuarial Journal

Year:

2012

Language:

english

File:

PDF, 287 KB

english, 2012

8

Economic Capital Allocation Derived from Risk Measures

Dhaene, Jan, Goovaerts, Mark J., Kaas, Rob

Journal:

North American Actuarial Journal

Year:

2003

Language:

english

File:

PDF, 171 KB

english, 2003

9

IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS

Dhaene, Jan, Van Hulle, Cynthia, Wuyts, Gunther, Schoubben, Frederiek, Schoutens, Wim

Journal:

Journal of Economic Surveys

Year:

2015

Language:

english

File:

PDF, 281 KB

english, 2015

10

Analytic bounds and approximations for annuities and Asian options

Steven Vanduffel, Zhaoning Shang, Luc Henrard, Jan Dhaene, Emiliano A. Valdez

Journal:

Insurance: Mathematics and Economics

Year:

2008

Language:

english

File:

PDF, 366 KB

english, 2008

11

Bounds for present value functions with stochastic interest rates and stochastic volatility

Ann De Schepper, Marc Goovaerts, Jan Dhaene, Rob Kaas, David Vyncke

Journal:

Insurance: Mathematics and Economics

Year:

2002

Language:

english

File:

PDF, 453 KB

english, 2002

12

Comonotonicity, correlation order and premium principles

Shaun Wang, Jan Dhaene

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 516 KB

english, 1998

13

Optimal Capital Allocation Principles

Jan Dhaene, Andreas Tsanakas, Emiliano A. Valdez, Steven Vanduffel

Journal:

Journal of Risk and Insurance

Year:

2012

Language:

english

File:

PDF, 635 KB

english, 2012

14

Tail Variance premiums for log-elliptical distributions

Landsman, Zinoviy, Pat, Nika, Dhaene, Jan

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 315 KB

english, 2013

15

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene, Tom Hoedemakers and Michèle Vanmaele

Journal:

Journal of Risk and Insurance

Year:

2009

Language:

english

File:

PDF, 1.54 MB

english, 2009

16

Stochastic Upper Bounds for Present Value Functions

Marc J. Goovaerts, Jan Dhaene and Ann de Schepper

Journal:

Journal of Risk and Insurance

Year:

2000

Language:

english

File:

PDF, 335 KB

english, 2000

17

Optimal Capital Allocation Principles

Jan Dhaene, Andreas Tsanakas, Emiliano A. Valdez and Steven Vanduffel

Journal:

Journal of Risk and Insurance

Year:

2012

Language:

english

File:

PDF, 1.79 MB

english, 2012

18

A Generative Modeling Framework for Statistical Link Analysis Based on Sparse Data

De Ridder, Simon, Manfredi, Paolo, De Geest, Jan, Deschrijver, Dirk, De Zutter, Daniel, Dhaene, Tom, Vande Ginste, Dries

Journal:

IEEE Transactions on Components Packaging and Manufacturing Technology

Year:

2018

Language:

english

File:

PDF, 9.20 MB

english, 2018

19

The Intermediate Model for the Solvency of a Financial Institution

Dhaene, Jan, Van Hulle, Karel, Zaks, Yaniv

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 285 KB

english, 2014

20

The Concept of Comonotonicity in Actuarial Science and Finance: Theory

Dhaene, Jan, Denuit, Michel, Goovaerts, Marc, Kaas, Rob

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 362 KB

english, 2003

21

FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS

Delong, Łukasz, Dhaene, Jan, Barigou, Karim

Journal:

Year:

2019

Language:

english

File:

PDF, 454 KB

english, 2019

22

Fair valuation of insurance liability cash-flow streams in continuous time: Theory

Delong, Łukasz, Dhaene, Jan, Barigou, Karim

Journal:

Insurance: Mathematics and Economics

Year:

2019

Language:

english

File:

PDF, 467 KB

english, 2019

23

Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages

Amiri, Masoud, Dhaene, Jan, Izadi, Muhyiddin, Khaledi, Baha-Eldin

Journal:

Communication in Statistics- Theory and Methods

Year:

2020

File:

PDF, 1.39 MB

2020

24

Expression profile of telomerase subunits in human pleural mesothelioma

Dhaene, Karl, Wauters, Jan, Weyn, Barbara, Timmermans, Jean-Pierre, van Marck, Eric

Journal:

The Journal of Pathology

Year:

2000

Language:

english

File:

PDF, 159 KB

english, 2000

25

Recursions for the individual model

Jan Dhaene, Martina Vandebroek

Journal:

Insurance: Mathematics and Economics

Year:

1995

Language:

english

File:

PDF, 534 KB

english, 1995

26

Self-organizing multivariate constrained meta-modeling technique for passive microwave and RF components

Tom Dhaene, Jan De Geest

Journal:

Future Generation Computer Systems

Year:

2005

Language:

english

File:

PDF, 258 KB

english, 2005

27

Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection

Michel Denuit, Jan Dhaene

Journal:

Journal of Computational and Applied Mathematics

Year:

2007

Language:

english

File:

PDF, 166 KB

english, 2007

28

Risk measures and solvency — Special Issue: Guest Editors’ Foreword

Omer L. Gebizlioglu, Jan Dhaene

Journal:

Journal of Computational and Applied Mathematics

Year:

2009

Language:

english

File:

PDF, 186 KB

english, 2009

29

Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection

Koen Van Weert, Jan Dhaene, Marc Goovaerts

Journal:

Journal of Computational and Applied Mathematics

Year:

2011

Language:

english

File:

PDF, 284 KB

english, 2011

30

Some new classes of consistent risk measures

Marc J. Goovaerts, Rob Kaas, Jan Dhaene, Qihe Tang

Journal:

Insurance: Mathematics and Economics

Year:

2004

Language:

english

File:

PDF, 122 KB

english, 2004

31

Bounds and approximations for sums of dependent log-elliptical random variables

Emiliano A. Valdez, Jan Dhaene, Mateusz Maj, Steven Vanduffel

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.80 MB

english, 2009

32

Correlation order, merging and diversification

Jan Dhaene, Michel Denuit, Steven Vanduffel

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.31 MB

english, 2009

33

Optimal portfolio selection for general provisioning and terminal wealth problems

Koen Van Weert, Jan Dhaene, Marc Goovaerts

Journal:

Insurance: Mathematics and Economics

Year:

2010

Language:

english

File:

PDF, 407 KB

english, 2010

34

Does positive dependence between individual risks increase stop-loss premiums?

Michel Denuit, Jan Dhaene, Carmen Ribas

Journal:

Insurance: Mathematics and Economics

Year:

2001

Language:

english

File:

PDF, 75 KB

english, 2001

35

Confidence bounds for discounted loss reserves

Tom Hoedemakers, Jan Beirlant, Marc J Goovaerts, Jan Dhaene

Journal:

Insurance: Mathematics and Economics

Year:

2003

Language:

english

File:

PDF, 217 KB

english, 2003

36

The safest dependence structure among risks

Jan Dhaene, Michel Denuit

Journal:

Insurance: Mathematics and Economics

Year:

1999

Language:

english

File:

PDF, 94 KB

english, 1999

37

Distortion risk measures for sums of random variables

Grzegorz Darkiewicz, Jan Dhaene, Marc Goovaerts

Journal:

Blätter der DGVFM

Year:

2004

Language:

english

File:

PDF, 418 KB

english, 2004

38

Bonus-Malus scales using exponential loss functions

Michel Denuit, Jan Dhaene

Journal:

Blätter der DGVFM

Year:

2001

Language:

english

File:

PDF, 772 KB

english, 2001

39

Recursions for the Individual Risk Model

Jan Dhaene*, Carmen Ribas, Raluca Vernic***

Journal:

Acta Mathematicae Applicatae Sinica, English Series

Year:

2006

Language:

english

File:

PDF, 250 KB

english, 2006

40

On a class of approximative computation methods in the individual risk model

Jan Dhaene, Nelson De Pril

Journal:

Insurance: Mathematics and Economics

Year:

1994

Language:

english

File:

PDF, 895 KB

english, 1994

41

A recursive approach to mortality-linked derivative pricing

Zhaoning Shang, Marc Goovaerts, Jan Dhaene

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 529 KB

english, 2011

42

Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables

Grzegorz Darkiewicz, Griselda Deelstra, Jan Dhaene, Tom Hoedemakers, Michèle Vanmaele

Journal:

Journal of Risk and Insurance

Year:

2009

Language:

english

File:

PDF, 173 KB

english, 2009

43

Inter-ethnic trust and reciprocity: results of an experiment with small businessmen

Jan Bouckaert, Geert Dhaene

Journal:

European Journal of Political Economy

Year:

2004

Language:

english

File:

PDF, 309 KB

english, 2004

44

Convex order approximations in the case of cash flows of mixed signs

Jan Dhaene, Marc Goovaerts, Michèle Vanmaele, Koen Van Weert

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 268 KB

english, 2012

45

The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets

Jan Dhaene, Daniël Linders, Wim Schoutens, David Vyncke

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 480 KB

english, 2012

46

Convex order and comonotonic conditional mean risk sharing

Michel Denuit, Jan Dhaene

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 234 KB

english, 2012

47

Sequential reciprocity in two-player, two-stage games: An experimental analysis

Geert Dhaene, Jan Bouckaert

Journal:

Games and Economic Behavior

Year:

2010

Language:

english

File:

PDF, 303 KB

english, 2010

48

Inequalities for the De Pril approximation to the distribution of the number of policies with claims

Vernic, Raluca, Dhaene, Jan, Sundt, Bjørn

Journal:

Scandinavian Actuarial Journal

Year:

2010

Language:

english

File:

PDF, 187 KB

english, 2010

49

Inverse modelling of an aneurysm’s stiffness using surrogate-based optimization and fluid-structure interaction simulations

Joris Degroote, Ivo Couckuyt, Jan Vierendeels, Patrick Segers, Tom Dhaene

Journal:

Structural and Multidisciplinary Optimization

Year:

2012

Language:

english

File:

PDF, 789 KB

english, 2012

50

On the (in-)dependence between financial and actuarial risks

Dhaene, Jan, Kukush, Alexander, Luciano, Elisa, Schoutens, Wim, Stassen, Ben

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 428 KB

english, 2013