Jan Dhaene

Katholieke Universiteit Leuven

Prof. Dr.

Naamsestraat 69

Leuven, 3000

Belgium

SCHOLARLY PAPERS

73

DOWNLOADS
Rank 3,982

SSRN RANKINGS

Top 3,982

in Total Papers Downloads

9,717

CITATIONS
Rank 2,939

SSRN RANKINGS

Top 2,939

in Total Papers Citations

171

Scholarly Papers (73)

1.
Downloads 1,161 ( 17,062)
Citation 25

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, City University London - Cass Business School, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 1,158 (16,799)

Abstract:

Loading...

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

Optimal Capital Allocation Principles

Journal of Risk and Insurance, Vol. 79, Issue 1, pp. 1-28, 2012
Number of pages: 28 Posted: 24 Feb 2012
Katholieke Universiteit Leuven, City University London - Cass Business School, University of Connecticut - Department of Mathematics and Vrije Universiteit Brussel (VUB)
Downloads 3 (650,106)
Citation 26
  • Add to Cart

Abstract:

Loading...

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 642 (38,965)
Citation 18

Abstract:

Loading...

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 175 (169,446)
Citation 1

Abstract:

Loading...

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 790 (29,864)
Citation 48

Abstract:

Loading...

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 566 (46,740)
Citation 69

Abstract:

Loading...

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 454 (61,689)

Abstract:

Loading...

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

6.
Downloads 381 ( 76,034)
Citation 6

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 321 (91,907)
Citation 4

Abstract:

Loading...

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 60 (357,308)
Citation 4

Abstract:

Loading...

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 373 (77,920)
Citation 13

Abstract:

Loading...

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 328 (90,336)
Citation 52

Abstract:

Loading...

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 276 (108,919)
Citation 45

Abstract:

Loading...

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 230 (131,294)
Citation 1

Abstract:

Loading...

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

11.

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 176 (168,493)
Citation 18

Abstract:

Loading...

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

12.

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 176 (168,493)
Citation 14

Abstract:

Loading...

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

13.

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 173 (171,110)
Citation 3

Abstract:

Loading...

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

14.

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 173 (171,110)
Citation 48

Abstract:

Loading...

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

15.

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 170 (173,739)
Citation 16

Abstract:

Loading...

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

16.

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 159 (183,982)
Citation 3

Abstract:

Loading...

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

17.

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 158 (184,967)
Citation 2

Abstract:

Loading...

Bonus-Malus system, Markov chains, exponential loss functions

18.

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 152 (191,083)
Citation 20

Abstract:

Loading...

19.

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 133 (212,884)
Citation 11

Abstract:

Loading...

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

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 123 (226,065)

Abstract:

Loading...

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

21.

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 118 (233,208)

Abstract:

Loading...

Solvency II, Basel II, IRB, Risk Management

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 70 (329,114)
Citation 7

Abstract:

Loading...

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 41 (423,956)

Abstract:

Loading...

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

23.

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 108 (248,497)

Abstract:

Loading...

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

24.
Downloads 103 (256,826)
Citation 8

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 and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 59 (360,329)
Citation 6

Abstract:

Loading...

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 and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 44 (412,193)
Citation 9

Abstract:

Loading...

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

25.

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 102 (258,526)

Abstract:

Loading...

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

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 60 (357,308)

Abstract:

Loading...

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 36 (445,338)
Citation 2

Abstract:

Loading...

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

27.

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 94 (272,711)

Abstract:

Loading...

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

28.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 93 (274,679)
Citation 6

Abstract:

Loading...

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

29.

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 89 (282,400)
Citation 3

Abstract:

Loading...

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

30.

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 88 (284,435)
Citation 14

Abstract:

Loading...

31.

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 81 (299,279)
Citation 4

Abstract:

Loading...

32.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 73 (317,979)
Citation 22

Abstract:

Loading...

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

33.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 73 (317,979)

Abstract:

Loading...

34.

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 70 (325,376)
Citation 37

Abstract:

Loading...

dependence, risk theory, convex order

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 65 (341,208)
Citation 7

Abstract:

Loading...

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

36.

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 65 (338,488)
Citation 6

Abstract:

Loading...

37.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Catholic University of Louvain
Downloads 64 (341,208)
Citation 10

Abstract:

Loading...

38.

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-Universiteit Gent - 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 63 (343,943)
Citation 1

Abstract:

Loading...

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 40 (428,046)
Citation 1

Abstract:

Loading...

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
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 21 (526,745)

Abstract:

Loading...

Optimal allocation, Comonotonicity, Convex function, Stop-loss

40.

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 60 (352,406)
Citation 7

Abstract:

Loading...

41.

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 56 (364,426)

Abstract:

Loading...

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

42.

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 56 (364,426)
Citation 2

Abstract:

Loading...

IBNR, confidence bound, comonotonicity, simulation

43.

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 54 (370,771)
Citation 18

Abstract:

Loading...

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

44.

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 52 (377,061)
Citation 2

Abstract:

Loading...

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

45.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science, Katholieke Universiteit Leuven and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 51 (380,314)

Abstract:

Loading...

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

46.

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 49 (386,945)
Citation 17

Abstract:

Loading...

47.

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, Collegio Carlo Alberto, KU Leuven - Department of Mathematics and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 47 (393,878)
Citation 7

Abstract:

Loading...

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

48.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 47 (393,878)

Abstract:

Loading...

49.

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 46 (397,350)
Citation 2

Abstract:

Loading...

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

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-Universiteit Gent - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven
Downloads 46 (397,350)
Citation 8

Abstract:

Loading...

51.

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 44 (404,434)
Citation 11

Abstract:

Loading...

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

52.

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
Warsaw School of Economics (SGH) - Institute of Econometrics, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 43 (408,184)
Citation 2

Abstract:

Loading...

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

53.

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 42 (411,812)
Citation 5

Abstract:

Loading...

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

54.
Downloads 39 (423,166)
Citation 6

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 37 (440,942)
Citation 1

Abstract:

Loading...

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 2 (661,313)
Citation 8

Abstract:

Loading...

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

55.

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
Downloads 38 (427,269)

Abstract:

Loading...

56.

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 37 (431,338)

Abstract:

Loading...

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

57.

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 37 (431,338)
Citation 2

Abstract:

Loading...

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

58.

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 37 (431,338)
Citation 2

Abstract:

Loading...

Dependence, Stochastic Dominance, Stochastic Annuities

59.

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 35 (439,540)
Citation 3

Abstract:

Loading...

60.

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 31 (457,014)

Abstract:

Loading...

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

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 31 (457,014)
Citation 12

Abstract:

Loading...

Asian options, basket options, comonotonicity

62.

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

Number of pages: 27 Posted: 19 Dec 2018
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 21 (509,703)
Citation 8

Abstract:

Loading...

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

63.

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 21 (509,703)

Abstract:

Loading...

64.

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 19 (521,212)
Citation 1

Abstract:

Loading...

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

65.

Fair Dynamic Valuation of Insurance Liabilities via Convex Hedging

Number of pages: 29 Posted: 12 Apr 2019 Last Revised: 12 Jun 2019
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 18 (527,027)

Abstract:

Loading...

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

66.

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 17 (532,825)
Citation 2

Abstract:

Loading...

67.

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
Warsaw School of Economics (SGH) - Institute of Econometrics, Katholieke Universiteit Leuven and KU Leuven - Faculty of Business and Economics (FEB)
Downloads 16 (538,472)
Citation 1

Abstract:

Loading...

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

68.

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 16 (538,472)
Citation 1

Abstract:

Loading...

Comonotonic random vector, comonotonic modi…cation, non-atomic probability space

69.

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 12 (562,373)
Citation 1

Abstract:

Loading...

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

70.

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 9 (580,876)
Citation 7

Abstract:

Loading...

Comonotonicity, arbitrage-free markets, Black & Scholes

71.

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

Journal of Risk and Insurance, Vol. 76, Issue 4, pp. 847-866, December 2009
Number of pages: 20 Posted: 09 Nov 2009
KU Leuven - Faculty of Business and Economics (FEB), Université Libre de Bruxelles (ULB), Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB) and Ghent University - Department of Applied Mathematics, Computer Science and Statistics
Downloads 3 (621,266)
Citation 3
  • Add to Cart

Abstract:

Loading...

72.

Is the Capital Structure Logic of Corporate Finance Applicable to Insurers? Review and Analysis

Journal of Economic Surveys, Vol. 31, Issue 1, pp. 169-189, 2017
Number of pages: 21 Posted: 29 Jan 2017
Katholieke Universiteit Leuven, KU Leuven - Department of Applied Economics, KU Leuven - University of Leuven, KU Leuven and KU Leuven - Department of Mathematics
Downloads 1 (643,830)
Citation 2
  • Add to Cart

Abstract:

Loading...

Capital structure, Insurance, Pecking order theory, Trade‐off theory

73.

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

Abstract:

Loading...

Asian options, stop loss order, comonotonicity