Rob Kaas

University of Amsterdam - Faculty of Economics & Econometrics (FEE)

Professor

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

17

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3,446

SSRN CITATIONS
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Top 5,280

in Total Papers Citations

25

CROSSREF CITATIONS

227

Scholarly Papers (17)

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 828 (41,893)
Citation 4

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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
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 622 (60,999)
Citation 1

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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
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 423 (97,719)
Citation 3

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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
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 345 (122,989)
Citation 1

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5.

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 305 (140,194)
Citation 7

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risk measures, coherency, CTE

6.

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 197 (214,468)
Citation 3

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

7.

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 182 (229,839)
Citation 1

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

8.

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 85 (401,017)

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9.

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 83 (406,708)
Citation 3

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

10.

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 76 (430,939)

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11.

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 71 (443,891)

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12.

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 70 (447,277)
Citation 1

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13.

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
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 55 (503,182)
Citation 1

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

14.

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 54 (507,319)

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

15.

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 50 (524,703)

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16.

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
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

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
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
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