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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205

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 793 (30,403)
Citation 2

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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 572 (47,151)
Citation 16

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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 376 (78,860)
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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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 330 (91,590)
Citation 1

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5.

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 279 (109,922)
Citation 4

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

6.

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 277 (110,798)
Citation 3

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

7.

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 184 (165,261)

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

8.

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 178 (170,277)

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

9.

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 176 (171,968)
Citation 3

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

10.

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 161 (185,710)
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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 129 (222,593)
Citation 3

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

12.

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 78 (312,349)

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13.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 75 (319,569)

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14.

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 68 (337,280)
Citation 1

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15.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Catholic University of Louvain
Downloads 66 (342,642)

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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-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 65 (345,385)

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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 58 (365,709)
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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 58 (365,709)

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IBNR, confidence bound, comonotonicity, simulation

19.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science, Katholieke Universiteit Leuven and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 53 (381,640)

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

20.

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 51 (388,259)

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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-Universiteit Gent - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Katholieke Universiteit Leuven
Downloads 50 (391,661)

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22.

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-Universiteit Gent - Department of Applied Mathematics and Computer Science
Downloads 49 (395,133)

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23.

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 46 (405,509)

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

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 40 (427,924)

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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