David Vyncke

Ghent University - Department of Applied Mathematics and Computer Science

Gent, 9000

Belgium

  • Ghent University - Department of Applied Mathematics and Computer Science

SCHOLARLY PAPERS

15

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3,089

SSRN CITATIONS
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Top 9,830

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48

CROSSREF CITATIONS

126

Scholarly Papers (15)

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1.

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

Downloads 1,038 (42,282)
Citation 12

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
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 691 (72,237)
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
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 347 (166,298)
Citation 1

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Comonotonicity, systemic risk, correlation, VIX volatility index

2.

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 389 (147,361)
Citation 5

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3.

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
Jan Dhaene, Steven Vanduffel, Qihe Tang, M. J. Goovaerts, Rob Kaas and David Vyncke
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 (166,584)
Citation 7

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risk measures, coherency, CTE

4.

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 190 (303,839)

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5.

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 183 (314,094)

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

6.

A Multivariate Dependence Measure for Aggregating Risks

Downloads 156 (360,915)
Citation 2

A Multivariate Dependence Measure for Aggregating Risks

Number of pages: 16 Posted: 19 Jan 2014
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 95 (528,255)
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
Jan Dhaene, Daniël Linders, Wim Schoutens and David Vyncke
Katholieke Universiteit Leuven, University of Illinois, KU Leuven - Department of Mathematics and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 61 (684,964)

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

7.

On the Calibration of the 3/2 Model

Number of pages: 35 Posted: 23 Sep 2017 Last Revised: 24 May 2018
Hilmar Gudmundsson and David Vyncke
Ghent University - Department of Applied Mathematics and Computer Science and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 128 (422,107)
Citation 1

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Characteristic Function Pricing, Stochastic Volatility, Nonlinear Least Squares, MCMC Estimation

8.

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
Jan Dhaene, Steven Vanduffel, M. J. Goovaerts, Rob Kaas and David Vyncke
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 111 (470,056)
Citation 3

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

9.

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 94 (527,144)

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10.

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 93 (530,771)

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11.

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 (573,543)

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12.

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 77 (594,631)

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13.

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 72 (617,200)

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

14.

Non-Affine Stochastic Volatility With Seasonal Trends

Number of pages: 24 Posted: 12 Jan 2019 Last Revised: 15 Jun 2020
Hilmar Gudmundsson and David Vyncke
Ghent University - Department of Applied Mathematics and Computer Science and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 71 (621,909)

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Option Pricing, 3/2 Model, Commodities Futures

15.

Decision-Theoretic Calibration of Option Pricing Models

Number of pages: 25 Posted: 23 Sep 2017
Hilmar Gudmundsson and David Vyncke
Ghent University - Department of Applied Mathematics and Computer Science and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 57 (694,005)

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Option Pricing, Weighted Monte Carlo, Decision Theory, Cumulative Prospect Theory