Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Professor

Leuven, B-3000

Belgium

  • Catholic University of Leuven (KUL) - Department of Economics

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    • Tel: +32 0 16 32 7446
    • Fax: +32 0 16 32 3740
SCHOLARLY PAPERS

27

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39

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204

Scholarly Papers (27)

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1.

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 851 (49,825)
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2.

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
Jan Dhaene, Michel Denuit, Marc Goovaerts and Rob Kaas
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 686 (66,458)
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Asian option, dependency, comonotonic copula, cash-flow, annuity, convex order bounds

3.

Risk Measurement with Equivalent Utility Principles

Number of pages: 26 Posted: 02 Feb 2006
Michel Denuit, Jan Dhaene, Marc Goovaerts, Rob Kaas and Roger J. A. Laeven
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 447 (112,739)
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Risk measures, Theories for decision under uncertainty, Axiomatic characterization, Equivalent utility, Risk aversion

4.

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
Jan Dhaene, Michel Denuit, Marc Goovaerts, Rob Kaas and David Vyncke
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 373 (138,758)
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5.

Self Exciting Threshold Interest Rates Models

International Journal of Theoretical and Applied Finance, Vol. 9, No. 7, pp. 1093-1122, 2006
Number of pages: 36 Posted: 07 Jan 2005 Last Revised: 15 Mar 2009
Marc Decamps, Marc Goovaerts and Wim Schoutens
Katholieke Universiteit Leuven (KUL), Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 337 (154,960)
Citation 3

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SETAR, State-price density, Skew Brownian motion, Eigenfunction expansions, Interest rates, Market models

6.

Actuarial Risk Measures for Financial Derivative Pricing

Number of pages: 15 Posted: 05 Mar 2006
Marc Goovaerts and Roger J. A. Laeven
Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 305 (172,257)
Citation 5

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Derivative pricing, Stochastic ordering, Esscher transform, Girsanov's Theorem, Comonotonicity, Equivalent martingale measure, Feynman-Kac integration

7.

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 247 (213,365)
Citation 3

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

8.

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
Jan Dhaene, Shaun Wang, V.R. Young and Marc Goovaerts
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 239 (220,308)
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9.

A Note on Some New Perpetuities

Scandinavian Actuarial Journal, Vol. 4, p. 261-270, 2005
Number of pages: 13 Posted: 06 Jan 2005 Last Revised: 07 Oct 2008
Marc Decamps, Ann De Schepper, Marc Goovaerts and Wim Schoutens
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and KU Leuven - Department of Mathematics
Downloads 204 (255,790)

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Skew Brownian motion, Bessel processes, local time, spectral theory, perpetuities

10.

Spectral Decomposition of Optimal Asset-Liability Management

Journal of Economic Dynamics and Control, Vol. 33, No. 3, pp. 710-724, 2009
Number of pages: 21 Posted: 06 Oct 2008 Last Revised: 16 Mar 2009
Ann De Schepper, Marc Goovaerts and Marc Decamps
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven (KUL)
Downloads 194 (267,614)

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asset-liability management, HJB principle, local time, spectral theory

11.

On the Distribution of Life Annuities with Stochastic Interest Rates

Number of pages: 36 Posted: 12 Jan 2006
Tom Hoedemakers, Grzegorz Darkiewicz and Marc Goovaerts
KU Leuven - Faculty of Business and Economics (FEB), KU Leuven - Faculty of Business and Economics (FEB) and Catholic University of Leuven (KUL) - Department of Economics
Downloads 165 (308,258)
Citation 3

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Life annuities, Stochastic interest rates, Comonotonicity, Stop-loss premiums

12.

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
Rob Kaas, Jan Dhaene, David Vyncke, Marc Goovaerts and Michel Denuit
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 160 (316,442)

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13.

On the Interplay between Distortion, Mean Value and Haezendonck-Goovaerts Risk Measures

Insurance: Mathematics and Economics, Vol. 51, No. 1, pp. 10-18
Number of pages: 21 Posted: 25 Jul 2011 Last Revised: 20 Mar 2012
Marc Goovaerts, Daniël Linders, Koen Van Weert and Fatih Tank
Catholic University of Leuven (KUL) - Department of Economics, University of Illinois, Catholic University of Leuven (KUL). Faculty of Business and Economics and Ankara University - Department of Statistics
Downloads 107 (431,132)
Citation 1

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14.

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
Ann De Schepper, Marc Goovaerts, Jan Dhaene, David Vyncke and Rob Kaas
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 91 (480,849)

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15.

The Hurdle-Race Problem.

Insurance: Mathematics and Economics, Vol. 33, No. 2, pp. 405-413, 2003
Number of pages: 16 Posted: 02 Mar 2006
Steven Vanduffel, Jan Dhaene, Marc Goovaerts and Rob Kaas
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 89 (487,451)
Citation 1

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16.

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
David Vyncke, Marc Goovaerts, Ann De Schepper, Rob Kaas and Jan Dhaene
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 88 (490,911)

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17.

Closed Form Approximations for Diffusion Densities: A Path Integral Approach

Journal of Computational and Applied Mathematics, Vols. 164-165, pp. 337-364, March 2004
Number of pages: 39 Posted: 06 Oct 2008
Ann De Schepper, Marc Goovaerts and Marc Decamps
University of Antwerp - Faculty of Applied Economics, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven (KUL)
Downloads 82 (512,512)
Citation 3

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diffusion processes, transition probability, path integral, comonoticity

18.

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
Tom Hoedemakers, Jan Beirlant, Marc Goovaerts and Jan Dhaene
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 81 (516,219)

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IBNR, confidence bound, comonotonicity, simulation

19.

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 73 (548,064)
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Consistent risk measures, Haezendonck risk measure, Monotone convergence theorem, Yaari's dual theory of choice under risks

20.

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
Ann De Schepper, Marc Goovaerts, Jan Dhaene, Rob Kaas and David Vyncke
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 73 (548,064)

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21.

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 73 (548,064)

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22.

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
Marc Goovaerts, Jan Dhaene and Ann De Schepper
Catholic University of Leuven (KUL) - Department of Economics, Katholieke Universiteit Leuven and University of Antwerp - Faculty of Applied Economics
Downloads 72 (552,328)

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23.

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
Marc Goovaerts, Ann De Schepper, David Vyncke, Jan Dhaene and Rob Kaas
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 69 (565,089)

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

24.

Risk and Savings Contracts

Transactions of the 27th International Congress of Actuaries, March 17-22, 2002
Number of pages: 42 Posted: 02 Mar 2006
Jan Dhaene, H. Wolthuis, Michel Denuit and Marc Goovaerts
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 55 (632,855)

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25.

A Path Integral Approach to Asset-Liability Management

Physica A: Statistical Mechanics and its Applications, Vol. 363, No. 2, pp.404-416, 2006
Posted: 14 Mar 2009
Marc Decamps, Ann De Schepper and Marc Goovaerts
Katholieke Universiteit Leuven (KUL), University of Antwerp - Faculty of Applied Economics and Catholic University of Leuven (KUL) - Department of Economics

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Functional integral; ALM; Delta-Function perturbation; Local time; Spectral method

26.

The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance

Scandinavian Actuarial Journal, Vol. 6, pp. 446-461, 2005
Posted: 18 Dec 2005
Marc Goovaerts, Rob Kaas, Roger J. A. Laeven, Qihe Tang and Raluca Vernic
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE), University of Amsterdam - Amsterdam School of Economics (ASE) and Ovidius University of Constanta

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Asymptotics, (Log) elliptical distribution, (Log) normal variance-mean mixed distribution, Pareto-like distribution, Tail probability

27.

A Comonotonic Image of Independence for Additive Risk Measures

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A Comonotonic Image of Independence for Additive Risk Measures

Insurance: Mathematics and Economics, Vol. 35, No. 3, pp. 581-594, 2005
Posted: 27 Jan 2005
Marc Goovaerts, Rob Kaas, Roger J. A. Laeven and Qihe Tang
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity

A Comonotonic Image of Independence for Additive Risk Measures

Tinbergen Institute Discussion Paper No. 2004-030/4
Posted: 22 Mar 2004
Marc Goovaerts, Rob Kaas, Roger J. A. Laeven and Qihe Tang
Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE), University of Amsterdam - Department of Quantitative Economics (KE) and University of Amsterdam - Amsterdam School of Economics (ASE)

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Risk measures, additivity, exponential order, laplace transform order, esscher transform, comonotonicity