Jan Dhaene

Katholieke Universiteit Leuven

Prof. Dr.

Naamsestraat 69

Leuven, 3000

Belgium

SCHOLARLY PAPERS

75

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13,475

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Top 2,868

in Total Papers Citations

199

CROSSREF CITATIONS

428

Scholarly Papers (75)

1.

Optimal Capital Allocation Principles

The final version of this article appeared as: Dhaene J., Tsanakas, A. , Valdez, E. A. , Vanduffel, S. (2012), 'Optimal Capital Allocation Principles', Journal of Risk and Insurance, 79(1), p.1-28.
Number of pages: 23 Posted: 26 Jan 2009 Last Revised: 03 Jan 2014
Katholieke Universiteit Leuven, Bayes Business School (formerly Cass), City, University of London, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 1,328 (28,620)
Citation 8

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Capital allocation, risk measure, comonotonicity, Euler allocation, default option, Lloyd's of London

The Herd Behavior Index: A New Measure for the Implied Degree of Co-Movement in Stock Markets

Insurance: Mathematics and Economics, Vol. 50, No. 3, 2012
Number of pages: 31 Posted: 12 Sep 2011 Last Revised: 22 Feb 2012
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 690 (70,206)
Citation 8

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Comonotonicity, herd behavior, systemic risk, correlation, VIX volatility index

The Herd Behavior Index: A New Measure for Systemic Risk in Financial Markets

Number of pages: 32 Posted: 01 Dec 2011 Last Revised: 18 Jan 2015
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 323 (173,796)
Citation 1

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Comonotonicity, systemic risk, correlation, VIX volatility index

3.

Economic Capital Allocation Derived from Risk Measures

North American Actuarial Journal, Vol. 7, No. 2, pp. 44-59, 2003
Number of pages: 16 Posted: 01 Mar 2006
Jan Dhaene, Marc Goovaerts and Rob Kaas
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 865 (52,740)
Citation 4

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4.

The Concept of Comonotonicity in Actuarial Science and Finance: Theory

Insurance: Mathematics & Economics, Vol. 31, No. 1, pp. 3-33, 2002
Number of pages: 50 Posted: 26 Aug 2003 Last Revised: 18 Jan 2015
Katholieke Universiteit Leuven, Catholic University of Louvain, Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 713 (68,377)
Citation 1

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Asian option, dependency, comonotonic copula, cash-flow, annuity, convex order bounds

5.

Basel Ii: Capital Requirements for Equity Investment Portfolios

Belgian Actuarial Bulletin, Vol. 5, pp. 37-45
Number of pages: 9 Posted: 01 Jun 2006 Last Revised: 24 Nov 2013
BNP Paribas, Katholieke Universiteit Leuven, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 497 (107,406)
Citation 1

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Capital allocation, Research, Requirements, Investment, Investment portfolio, Portfolio, Agreements, Regulation, Stability, International, Framework, Methods, Consumption, Models, Model

6.
Downloads 462 (117,128)
Citation 7

FIX - The Fear Index: Measuring Market Fear

Number of pages: 17 Posted: 18 Jul 2011 Last Revised: 18 Jan 2015
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, University of Illinois and KU Leuven - Department of Mathematics
Downloads 368 (150,793)
Citation 7

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FIX - The Fear Index: Measuring Market Fear

Number of pages: 18 Posted: 01 Dec 2011
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Department of Mathematics, University of Illinois and KU Leuven - Department of Mathematics
Downloads 94 (514,382)
Citation 4

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7.

Risk Measurement with Equivalent Utility Principles

Number of pages: 26 Posted: 02 Feb 2006
Catholic University of Louvain, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 459 (117,955)
Citation 3

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Risk measures, Theories for decision under uncertainty, Axiomatic characterization, Equivalent utility, Risk aversion

8.

The Concept of Comonotonicity in Actuarial Science and Finance: Applications

Insurance: Mathematics & Economics, Vol. 31, No. 2, pp. 133-161, 2002
Number of pages: 44 Posted: 01 Mar 2006
Katholieke Universiteit Leuven, Catholic University of Louvain, Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 388 (143,294)
Citation 5

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9.

Risk Measures and Comonotonicity: A Review

Stochastic Models, Vol. 22, pp. 573-606, 2006
Number of pages: 34 Posted: 11 Mar 2009 Last Revised: 17 Mar 2009
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB), University of Amsterdam - Amsterdam School of Economics (ASE), affiliation not provided to SSRN, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 348 (161,628)
Citation 7

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risk measures, coherency, CTE

10.

Aggregating Economic Capital

Belgian Actuarial Bulletin, Vol. 5, pp. 52-56, 2005
Number of pages: 30 Posted: 19 May 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, affiliation not provided to SSRN and Vrije Universiteit Brussel (VUB)
Downloads 295 (192,574)
Citation 1

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economic capital, aggregation, Solvency II, Basel II, VaR

11.

Simple Characterizations of Comonotonicity and Countermonotonicity by Extremal Correlations

Belgian Actuarial Bulletin, Vol. 3, pp. 22-27, 2003
Number of pages: 14 Posted: 02 Mar 2006
Michel Denuit and Jan Dhaene
Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 283 (201,006)
Citation 1

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Comonotonicity, Countermonotonicity, Frechet spaces, Frechet bounds, measures of association.

12.

Upper and Lower Bounds for Sums of Random Variables.

Insurance: Mathematics & Economics, Vol, 27, No. 2, pp. 151-168, 2000
Number of pages: 18 Posted: 21 Feb 2006
Rob Kaas, Jan Dhaene and Marc Goovaerts
University of Amsterdam - Faculty of Economics & Econometrics (FEE), Katholieke Universiteit Leuven and Catholic University of Leuven (KUL) - Department of Economics
Downloads 266 (213,993)
Citation 3

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Dependent risks, Comonotonicity, Convex order, Cash-flows, Present values, Stochastic annuities

13.

Comonotonicity and Maximal Stop-Loss Premiums

Bulletin of the Swiss Association of Actuaries, Vol. 2, pp. 99-113, 2000
Number of pages: 14 Posted: 16 May 2010
Katholieke Universiteit Leuven, Georgia State University's Robinson College of Business, University of Michigan at Ann Arbor - Department of Mathematics and Catholic University of Leuven (KUL) - Department of Economics
Downloads 243 (233,964)
Citation 1

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14.

A Note on Dependencies in Multiple Life Statuses

Bulletin of the Swiss Association of Actuaries, Vol. 1, pp. 19-34, 2000
Number of pages: 22 Posted: 01 Mar 2006
Jan Dhaene, Marleen Vanneste and H. Wolthuis
Katholieke Universiteit Leuven, KU Leuven - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 218 (259,557)

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correlation order, joint-life statuses, last-survivor statuses,

15.

Comparing Approximations for Risk Measures of Sums of Non-Independent Lognormal Random Variables

North American Actuarial Journal, Vol. 9, No. 4, pp. 71-82, 2009
Number of pages: 16 Posted: 18 Mar 2009
Vrije Universiteit Brussel (VUB), Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 208 (271,164)
Citation 1

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Lognormal, Sum of random variables, Reciprocal Gamma, Annuities, Value-at-Risk

16.

Some Results on the Cte Based Capital Allocation Rule

Insurance: Mathematics and Economics, Vol. 42, pp. 855-863, 2008
Number of pages: 10 Posted: 01 Jun 2006 Last Revised: 14 Mar 2009
Jan Dhaene and Steven Vanduffel
Katholieke Universiteit Leuven and Vrije Universiteit Brussel (VUB)
Downloads 208 (271,164)
Citation 2

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Capital allocation, CTE, risk measure, coherent allocation, elliptical

17.

Optimal Approximations for Risk Measures of Sums of Lognormals Based on Conditional Expectations

Journal of Computational and Applied Mathematics, Vol. 221, No. 1, pp. 202-218
Number of pages: 22 Posted: 01 Jun 2006 Last Revised: 21 Apr 2009
Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB), Katholieke Universiteit Leuven, affiliation not provided to SSRN, BNP Paribas and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 202 (278,546)
Citation 3

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Lognormal, random sum, Asian options, conditional expectation, Lower bound, Annuities,

18.

Bonus-Malus Scales Using Exponential Loss Functions

Blätter der Deutshce Gesellschaft für Versicherungsmathematik, Vol. 25, pp. 13-27, 2001
Number of pages: 19 Posted: 01 Mar 2006
Michel Denuit and Jan Dhaene
Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 193 (290,330)

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Bonus-Malus system, Markov chains, exponential loss functions

19.

The Individual Risk Model

ENCYCLOPEDIA OF ACTUARIAL SCIENCE, Vol. 2, pp. 871-875, Wiley, 2010
Number of pages: 7 Posted: 16 May 2010
Jan Dhaene and David Vyncke
Katholieke Universiteit Leuven and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 179 (310,429)

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aggregate claims, total claims, convolution, transform, approximation, recursion

20.

Exponential Bonus-Malus Systems Integrating a Priori Risk Classification

Journal of Actuarial Practice, Vol. 9, pp. 84-112, 2001
Number of pages: 25 Posted: 02 Mar 2006
University of Barcelona - Department of Actuarial, Financial and Economic Mathematics, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 179 (310,429)
Citation 1

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Bonus-Malus system, quadratic loss function, exponential loss function,credibility estimation, explanatory variables, experience rating, risk classification

21.

A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum

ASTIN Bulletin, Vol. 32, No. 1, pp. 71-80, 2002
Number of pages: 12 Posted: 02 Mar 2006
University of Amsterdam - Faculty of Economics & Econometrics (FEE), Katholieke Universiteit Leuven, Ghent University - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Catholic University of Louvain
Downloads 176 (315,080)

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22.

Analytic Bounds and Approximations for Annuities and Asian Options

Insurance: Mathematics and Economics, Vol. 42, No. 3, 2008
Number of pages: 18 Posted: 12 Jan 2006 Last Revised: 22 Apr 2009
Vrije Universiteit Brussel (VUB), BNP Paribas, Katholieke Universiteit Leuven, University of New South Wales (UNSW) - School of Actuarial Studies and KU Leuven
Downloads 168 (328,077)
Citation 2

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Asian option, closed- form, analytical, annuity, fast approximation, lognormal, maximal variance, conditional expectation

23.
Downloads 158 (345,670)
Citation 5

Index Options: A Model-Free Approach

Number of pages: 55 Posted: 28 Mar 2012 Last Revised: 03 Apr 2012
University of Illinois, Katholieke Universiteit Leuven, Université d'Abomey-Calavi (UAC) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 92 (521,584)
Citation 5

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index call and put options, comonotonicity, model-free approach, static super-replicating strategies

Index Options: A Model-Free Approach

Number of pages: 57 Posted: 18 Feb 2012
University of Illinois, Katholieke Universiteit Leuven, Université d'Abomey-Calavi (UAC) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 66 (636,457)
Citation 6

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index call and put options, comonotonicity, model-free approach, static super-replicating strategies

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 16 Posted: 19 Jan 2014
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 89 (532,904)
Citation 3

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comonotonic copula, independence, aggregate distribution, concordance order, positive quadrant dependence

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 14 Posted: 22 Aug 2013
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 61 (663,614)

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comonotonic copula, independence, aggregate distribution, concordance order, positive

25.

The Intermediate Model for the Solvency of a Financial Institution

Number of pages: 12 Posted: 04 Sep 2014 Last Revised: 13 Jun 2015
Jan Dhaene and Yaniv Zaks
Katholieke Universiteit Leuven and Zaks Finance
Downloads 145 (370,960)

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Solvency II, Basel II, IRB, Risk Management

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Number of pages: 32 Posted: 21 Dec 2014
Daniël Linders, Jan Dhaene and Wim Schoutens
University of Illinois, Katholieke Universiteit Leuven and KU Leuven - Department of Mathematics
Downloads 82 (561,288)

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comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX.

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Number of pages: 34 Posted: 15 Mar 2015
Daniël Linders, Jan Dhaene and Wim Schoutens
University of Illinois, Katholieke Universiteit Leuven and KU Leuven - Department of Mathematics
Downloads 61 (663,614)
Citation 3

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comonotonicity, herd behavior, HIX, index options, market fear, model-free measures, VIX

27.

Consistent Assumptions for Modeling Credit Loss Correlations

Journal of Actuarial Practice, Vol. 13, pp. 173-182, 2006
Number of pages: 10 Posted: 19 May 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and Vrije Universiteit Brussel (VUB)
Downloads 140 (381,317)

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default correlation, loss correlation, comonotonicity, credit risk, LGD, Solvency II, Basel II

28.

Comonotonicity

ENCYCLOPEDIA OF QUANTITATIVE RISK ASSESSMENT AND ANALYSIS, Melnick, E., Everitt, B., eds., pp. 274-279, John Wiley & Sons Ltd, Chichester, UK
Number of pages: 13 Posted: 14 May 2009
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB) and affiliation not provided to SSRN
Downloads 134 (394,639)

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comontonicity, dependence, copula, correlation, sums of random variables

29.

Bounds for Stop-Loss Premiums of Stochastic Sums (with Applications to Life Contingencies)

Number of pages: 27 Posted: 12 Jan 2006
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 128 (408,928)

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Stop-loss premium, Life annuity, Comonotonicity, Stochastic time horizon

30.

Fair Dynamic Valuation of Insurance Liabilities via Convex Hedging

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 30 Posted: 12 Apr 2019 Last Revised: 15 Nov 2022
Renmin University of China - School of Finance, Tsinghua University - School of Economics & Management, Katholieke Universiteit Leuven and Shanghai University of Finance and Economics
Downloads 126 (413,777)
Citation 3

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fair dynamic valuation, convex hedging, time-consistency, market-consistent valuation, model-consistent valuation

31.

Fair Valuation of Insurance Liability Cash-Flow Streams in Continuous Time: Theory

Number of pages: 62 Posted: 27 Nov 2018
Lukasz Delong, Jan Dhaene and Karim Barigou
University of Warsaw, Faculty of Economic Sciences, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 126 (413,777)
Citation 4

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Optimal Quadratic Hedging, Actuarial Valuation, Market-Consistent Valuation, Fair Valuation, Partial Differential Equation, Best Estimate, Risk Margin, Net Asset Value

32.

Can a Coherent Riskmeasure be Too Subadditive?

Journal of Risk and Insurance, Vol. 75, No. 2, pp. 365-386
Number of pages: 28 Posted: 18 Mar 2009
Katholieke Universiteit Leuven, affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB), KU Leuven - Faculty of Business and Economics (FEB) and affiliation not provided to SSRN
Downloads 122 (423,814)

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risk measure, coherency, solvency, value-at-risk, subadditive

33.

Bounds and Approximations for Sums of Dependent Log-Elliptical Random Variables

Insurance: Mathematics and Economics, Vol. 44, pp. 385-397
Number of pages: 25 Posted: 14 Jul 2009 Last Revised: 27 Feb 2011
University of Connecticut - Department of Mathematics, Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 117 (437,430)
Citation 2

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34.

Correlation Order, Merging and Diversification

Final version in Insurance: Mathematics and Economics, Vol. 45, 325-332
Number of pages: 24 Posted: 01 May 2009 Last Revised: 12 May 2010
Katholieke Universiteit Leuven, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 115 (443,002)

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35.

The Multivariate Black & Scholes Market: Conditions for Completeness and No-Arbitrage

Theory of Probability and Mathematical Statistics, vol 88, pages 1-14, 2013
Number of pages: 13 Posted: 09 Dec 2012 Last Revised: 06 Nov 2013
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 114 (445,924)
Citation 2

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Black & Scholes, multivariate asset price models, arbitrage-free, completeness, Brownian motion, risk-neutral probability measure

36.

Remarks on Quantiles and Distortion Risk Measures

European Actuarial Journal, 2(2), 319-328
Number of pages: 12 Posted: 20 Oct 2012 Last Revised: 07 Dec 2012
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL), University of Illinois and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 113 (448,913)
Citation 14

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comonotonicity, distorted expectation, distortion risk measure, TVaR, quantile

37.

Comonotonic Approximations for Optimal Portfolio Selection Problems

Journal of Risk and Insurance, Vol. 72, No. 2, pp. 253-301, 2005
Number of pages: 45 Posted: 19 May 2009
Katholieke Universiteit Leuven, Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 108 (463,945)
Citation 3

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Optimal Portfolio selection, Comonotonicity, asset allocation, Merton, constant mix

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 May 2013
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 55 (698,576)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

Explicit Solutions for a General Class of Optimal Allocation Problems

Number of pages: 20 Posted: 18 Jan 2014 Last Revised: 10 Feb 2022
The University of Hong Kong, Katholieke Universiteit Leuven, The University of Hong Kong, Hong Kong, China. Department of Statistics & Actuarial Science and The Chinese University of Hong Kong. Department of Statistics
Downloads 45 (765,028)

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Optimal allocation, Comonotonicity, Convex function, Stop-loss

39.

The Hurdle-Race Problem.

Insurance: Mathematics and Economics, Vol. 33, No. 2, pp. 405-413, 2003
Number of pages: 16 Posted: 02 Mar 2006
Vrije Universiteit Brussel (VUB), Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 97 (499,773)
Citation 1

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40.

Fair Dynamic Valuation of Insurance Liabilities: Merging Actuarial Judgement With Market- and Time-Consistency

Insurance: Mathematics and Economics, 2019, 88: 19-29.
Number of pages: 27 Posted: 19 Dec 2018 Last Revised: 27 Jul 2020
Karim Barigou, Ze Chen and Jan Dhaene
KU Leuven - Faculty of Business and Economics (FEB), Renmin University of China - School of Finance and Katholieke Universiteit Leuven
Downloads 96 (503,136)
Citation 7

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fair dynamic valuation, time-consistency, solvency II, market-consistent valuation, actuarial valuation

41.

Comonotonicity and Pareto Optimality, with Application to Collaborative Insurance

Number of pages: 41 Posted: 30 Jan 2023
Catholic University of Louvain (UCL), Katholieke Universiteit Leuven, University of Waterloo and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 94 (510,040)

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Risk Sharing, Comonotonicity, Pareto Optimality, Convex Order, Convex Order Improvement, Peer-to-Peer Insurance

42.

The Valuation of Cash-Flows in the Presence of Dividend Barriers

Medium Econometrische Toepassingen, Vol. 11, No. 2, pp. 18-25, 2003 , Proceedings Astin Colloquium, pp. 30, 2001
Number of pages: 20 Posted: 02 Mar 2006
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven, Ghent University - Department of Applied Mathematics and Computer Science and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 94 (510,040)

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43.

On the Distribution of Cash-Flows Using Esscher Transforms

Journal of Risk and Insurance, Vol. 70, No. 3, pp. 563-575, 2003
Number of pages: 15 Posted: 02 Mar 2006
Ghent University - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics, University of Antwerp - Faculty of Applied Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Katholieke Universiteit Leuven
Downloads 93 (513,553)

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44.

Fair Valuation of Insurance Liabilities Via Mean-variance Hedging in a Multi-period Setting

Number of pages: 30 Posted: 09 Mar 2018
Karim Barigou and Jan Dhaene
KU Leuven - Faculty of Business and Economics (FEB) and Katholieke Universiteit Leuven
Downloads 92 (517,002)
Citation 9

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Market-consistent valuation, actuarial valuation, fair valuation of insurance liabilities, Solvency II, mean-variance hedging

45.
Downloads 91 (520,563)
Citation 4

Ordered Random Vectors and Equality in Distribution

Number of pages: 23 Posted: 12 Jan 2013
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 65 (641,746)
Citation 1

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supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

Ordered Random Vectors and Equality in Distribution

KU Leuven - Faculty of Economics and Business Working Paper No. AFI_1377
Number of pages: 25 Posted: 18 May 2013
The University of Hong Kong, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 26 (924,782)
Citation 4

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supermodular order, concordance order, expected utility, distorted expectation, comonotonicity

46.

Does Positive Dependence between Individual Risks Increase Stop-Loss Premiums?

Insurance: Mathematics & Economics, Vol. 28, No. 3, pp. 305-308, 2001
Number of pages: 7 Posted: 01 Mar 2006
Michel Denuit, Jan Dhaene and Carme Ribas
Catholic University of Louvain, Katholieke Universiteit Leuven and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
Downloads 91 (520,563)
Citation 3

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dependence, risk theory, convex order

47.

On the Evaluation of Saving-Consumption Plans

Journal of Pension Economics and Finance, Vol. 4, No. 1, pp. 17-30, 2008
Number of pages: 18 Posted: 22 Mar 2009
Vrije Universiteit Brussel (VUB), Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 89 (527,898)
Citation 1

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48.

Confidence Bounds for Discounted Loss Reserves

Insurance: Mathematics and Economics, Vol. 33, No. 2, pp. 297-316, 2003
Number of pages: 25 Posted: 01 Mar 2006
KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Leuven (KUL), Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven
Downloads 85 (543,003)

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IBNR, confidence bound, comonotonicity, simulation

49.

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

Number of pages: 34 Posted: 31 Aug 2014
Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Louvain and University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 82 (554,969)
Citation 1

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Minimal entropy martingale measure, relative entropy, financial risks, actuarial risks, independence, incomplete markets.

50.

Convex Upper and Lower Bounds for Present Value Functions

Applied Stochastic Models in Business and Industry, Vol. 17, pp. 149-164, 2001
Number of pages: 17 Posted: 01 Mar 2006
David Vyncke, Marc Goovaerts and Jan Dhaene
Ghent University - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven
Downloads 82 (554,969)

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51.

On Partial Hedging and Counter-Monotonic Sums

Number of pages: 14 Posted: 01 Dec 2011
Ka Chun Cheung, Jan Dhaene and Qihe Tang
The University of Hong Kong, Katholieke Universiteit Leuven and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 81 (559,069)
Citation 2

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hedging, comonotonicity, counter-monotonicity, convex order, Tail Value-at-Risk

52.

Some New Classes of Consistent Risk Measures

Insurance: Mathematics and Economics, Vol. 34, No. 3, pp. 505-516, 2004
Number of pages: 15 Posted: 16 May 2010
Marc Goovaerts, Rob Kaas, Jan Dhaene and Qihe Tang
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), Katholieke Universiteit Leuven and University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads 80 (563,208)
Citation 2

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Consistent risk measures, Haezendonck risk measure, Monotone convergence theorem, Yaari's dual theory of choice under risks

53.

Fair Valuation of Insurance Liability Cash-Flow Streams in Continuous Time: Applications

Number of pages: 52 Posted: 27 Nov 2018
Lukasz Delong, Jan Dhaene and Karim Barigou
University of Warsaw, Faculty of Economic Sciences, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 78 (571,447)
Citation 5

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Optimal Quadratic Hedging, Actuarial Valuation, Market-Consistent Valuation, Partial Differential Equation, Best Estimate, Risk Margin, Net Asset Value

54.

Stochastic Upper Bounds for Present Value Functions

Journal of Risk and Insurance, Vol. 67, No. 1, pp. 1-14, 2000
Number of pages: 16 Posted: 24 Feb 2006
Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven and University of Antwerp - Faculty of Applied Economics
Downloads 78 (571,447)

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55.

Bounds for Present Value Functions with Stochastic Interest Rates And Stochastic Volatility

Insurance: Mathematics and Economics, Vol. 31, No. 1, pp. 87-103, 2002
Number of pages: 24 Posted: 02 Mar 2006
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 76 (580,147)

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56.

Stable Laws and the Present Value of Fixed Cash-Flows

North American Actuarial Journal, Vol. 7, No. 4, pp. 32-43, 2003
Number of pages: 20 Posted: 02 Mar 2006
Catholic University of Leuven (KUL) - Department of Economics, University of Antwerp - Faculty of Applied Economics, Ghent University - Department of Applied Mathematics and Computer Science, Katholieke Universiteit Leuven and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 72 (597,801)

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cash flow, stochastic interest rates, stable laws, distribution,convex order

57.

Tail Mutual Exclusivity and Tail-VaR Lower Bounds

Number of pages: 22 Posted: 03 Mar 2015
Ka Chun Cheung, Michel Denuit and Jan Dhaene
The University of Hong Kong, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 70 (607,046)

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Mutual exclusivity, stop-loss transform, tail convex order, risk measures

58.

On the (In-)Dependence between Financial and Actuarial Risks

Insurance: Mathematics and Economics, Vol. 52, No. 3, 2013
Number of pages: 23 Posted: 04 Sep 2014
Katholieke Universiteit Leuven, Taras Shevchenko National University of Kyiv, University of Turin - Department of Statistics and Applied Mathematics, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 69 (611,729)
Citation 3

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Independence, real-world probability measure, risk-neutral probability measure, financial risks, actuarial risks, insurance securitization

59.

Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts

Number of pages: 14 Posted: 05 Mar 2014
Heriot-Watt University, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 69 (611,729)
Citation 1

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life insurance, multistate models, Markov process, surrender value, Cantelli theorem

60.

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Number of pages: 33 Posted: 15 Mar 2015
Runhuan Feng, Xiaochen Jing and Jan Dhaene
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign - Department of Mathematics and Katholieke Universiteit Leuven
Downloads 66 (626,146)
Citation 2

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Variable annuity guaranteed benefit, risk measures, value at risk, conditional tail expectation, geometric Brownian motion, comonotonicity, dynamic policyholder behavior

61.

On an Optimization Problem Related to Static Super-Replicating Strategies

Number of pages: 42 Posted: 13 May 2014 Last Revised: 18 Jan 2015
KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven, University of Illinois and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 65 (631,136)
Citation 6

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Asian options, basket options, comonotonicity

62.

Stochastic Approximations of Present Value Functions

Bulletin of the Swiss Association of Actuaries, Vol. 1, pp. 15-28, 2001
Number of pages: 14 Posted: 16 May 2010
affiliation not provided to SSRN, Catholic University of Louvain, Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 64 (636,245)

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Dependence, Stochastic Dominance, Stochastic Annuities

63.

Lifelong Health Insurance Covers with Surrender Values: Updating Mechanisms in the Presence of Medical Inflation

Number of pages: 30 Posted: 28 Apr 2015 Last Revised: 17 May 2017
Katholieke Universiteit Leuven, KU Leuven - Department of Applied Economics, KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 61 (651,715)
Citation 1

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medical expense insurance, lifelong contract, medical inflation index, withdrawal, surrender value

64.

Fair Dynamic Valuation of Insurance Liabilities: A Loss Averse Convex Hedging Approach

Scandinavian Actuarial Journal, https://doi.org/10.1080/03461238.2020.1750469
Number of pages: 32 Posted: 04 Feb 2020 Last Revised: 15 May 2020
Ze Chen, Bingzheng Chen and Jan Dhaene
Renmin University of China - School of Finance, Tsinghua University - School of Economics & Management and Katholieke Universiteit Leuven
Downloads 60 (657,086)
Citation 3

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Fair valuation, loss aversion, convex hedging, market-consistent valuation, safety margins

65.

Optimal Allocation of Policy Deductibles for Exchangeable Risks

Number of pages: 16 Posted: 23 Jul 2015
Razi University - Department Of Statistics, Razi University - Department Of Statistics and Katholieke Universiteit Leuven
Downloads 59 (662,415)

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Hazard rate order, increasing convex order, likelihood ratio order, log-concave density function, majorization, Schur-concave function, stochastic dominance.

66.

Risk and Savings Contracts

Transactions of the 27th International Congress of Actuaries, March 17-22, 2002
Number of pages: 42 Posted: 02 Mar 2006
Katholieke Universiteit Leuven, University of Amsterdam - Department of Quantitative Economics (KE), Catholic University of Louvain and Catholic University of Leuven (KUL) - Department of Economics
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67.

Comonotonic Asset Prices in Arbitrage-Free Markets

Number of pages: 22 Posted: 15 Mar 2018
Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) and University of Illinois
Downloads 53 (696,211)
Citation 6

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Comonotonicity, arbitrage-free markets, Black & Scholes

68.

Optimal Portfolio Selection for General Provisioning and Terminal Wealth Problems

Number of pages: 21 Posted: 08 Dec 2009
Catholic University of Leuven (KUL). Faculty of Business and Economics, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 53 (696,211)
Citation 1

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69.

Updating Mechanism for Lifelong Insurance Contracts Subject to Medical Inflation

Number of pages: 32 Posted: 17 Nov 2016
Catholic University of Louvain, Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Louvain (UCL) and Université Libre de Bruxelles (ULB)
Downloads 51 (708,472)
Citation 1

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health insurance, reserving, inflation, premium update, solvency evaluation

70.

Inequalities for the De Pril Approximation to the Distribution of the Number of Policies with Claims

Number of pages: 26 Posted: 23 Apr 2009
Raluca Vernic, Jan Dhaene and Bjorn Sundt
Ovidius University of Constanta, Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 51 (708,472)

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71.

Risk-Sharing Rules and Their Properties, With Applications to Peer-to-Peer Insurance

Denuit M., Dhaene J., Robert C. (2022). Journal of Risk and Insurance, vol. 89(3), 615-667?
Number of pages: 54 Posted: 30 Aug 2022
M. Denuit, Jan Dhaene and Christian Robert
Catholic University of Louvain (UCL), Katholieke Universiteit Leuven and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 50 (714,701)
Citation 4

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pooling, peer-to-peer (P2P) insurance, crowdsurance, conditional means risk-sharing rule, quantile risk-sharing rule, comonotonicity

72.

Comonotonic Modification of Random Vector in Its Own Probability Space

Number of pages: 7 Posted: 31 Jan 2011
Jan Dhaene and Alexander Kukush
Katholieke Universiteit Leuven and Catholic University of Leuven (KUL)
Downloads 39 (789,572)
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Comonotonic random vector, comonotonic modi…cation, non-atomic probability space

73.

Comonotic Approximations for a Generalized Provisioning Problem with Application to Optimal Portfolio Selection

Number of pages: 20 Posted: 17 Jan 2010
Catholic University of Leuven (KUL). Faculty of Business and Economics, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 36 (812,279)

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74.

'Egalitarian Pooling and Sharing of Longevity Risk'A.K.A.'The Many Ways to Skin a Tontine Cat'

Number of pages: 40 Posted: 02 Feb 2024
Jan Dhaene and Moshe A. Milevsky
Katholieke Universiteit Leuven and York University - Schulich School of Business
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Risk pooling, longevity, tontine, decentralized risk sharing

75.

An Easy Computable Upper Bound for the Price of an Arithmetic Asian Option

Insurance: Mathematics and Economics, Vol. 26, No. 2-3, 2000
Posted: 16 May 2010
KU Leuven - Faculty of Business and Economics (FEB), affiliation not provided to SSRN and Katholieke Universiteit Leuven

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Asian options, stop loss order, comonotonicity