Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying Systemic risk: conditional distortion risk measures. (English) Zbl 07487250 Insur. Math. Econ. 102, 126-145 (2022). MSC: 91G45 91G70 62H05 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 102, 126--145 (2022; Zbl 07487250) Full Text: DOI arXiv OpenURL
Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien A dynamic equivalence principle for systematic longevity risk management. (English) Zbl 1411.91283 Insur. Math. Econ. 86, 158-167 (2019). MSC: 91B30 PDF BibTeX XML Cite \textit{H. Hanbali} et al., Insur. Math. Econ. 86, 158--167 (2019; Zbl 1411.91283) Full Text: DOI Link OpenURL
Zhou, Ming; Dhaene, Jan; Yao, Jing An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (English) Zbl 1401.91218 Insur. Math. Econ. 79, 92-100 (2018). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{M. Zhou} et al., Insur. Math. Econ. 79, 92--100 (2018; Zbl 1401.91218) Full Text: DOI OpenURL
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. (English) Zbl 1354.91066 J. Comput. Appl. Math. 311, 272-292 (2017). MSC: 91B30 60E15 65C50 PDF BibTeX XML Cite \textit{R. Feng} et al., J. Comput. Appl. Math. 311, 272--292 (2017; Zbl 1354.91066) Full Text: DOI OpenURL
Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle On an optimization problem related to static super-replicating strategies. (English) Zbl 1299.91140 J. Comput. Appl. Math. 278, 213-230 (2015). MSC: 91G20 PDF BibTeX XML Cite \textit{X. Chen} et al., J. Comput. Appl. Math. 278, 213--230 (2015; Zbl 1299.91140) Full Text: DOI OpenURL
Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan Reserve-dependent benefits and costs in life and health insurance contracts. (English) Zbl 1304.91096 Insur. Math. Econ. 57, 132-137 (2014). MSC: 91B30 60J28 PDF BibTeX XML Cite \textit{M. C. Christiansen} et al., Insur. Math. Econ. 57, 132--137 (2014; Zbl 1304.91096) Full Text: DOI Link OpenURL
Dhaene, J.; Kukush, A.; Linders, D. The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. (English. Ukrainian original) Zbl 1304.91215 Theory Probab. Math. Stat. 88, 85-98 (2014); translation from Teor. Jmovirn. Mat. Stat. 88, 76-89 (2013). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60H10 60J60 91B24 60J65 91B25 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Theory Probab. Math. Stat. 88, 85--98 (2014; Zbl 1304.91215); translation from Teor. Jmovirn. Mat. Stat. 88, 76--89 (2013) Full Text: DOI OpenURL
Landsman, Zinoviy; Pat, Nika; Dhaene, Jan Tail variance premiums for log-elliptical distributions. (English) Zbl 1284.91247 Insur. Math. Econ. 52, No. 3, 441-447 (2013). MSC: 91B30 PDF BibTeX XML Cite \textit{Z. Landsman} et al., Insur. Math. Econ. 52, No. 3, 441--447 (2013; Zbl 1284.91247) Full Text: DOI OpenURL
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan A recursive approach to mortality-linked derivative pricing. (English) Zbl 1218.91156 Insur. Math. Econ. 49, No. 2, 240-248 (2011). MSC: 91G20 65R10 44A10 91B30 60J70 60H30 PDF BibTeX XML Cite \textit{Z. Shang} et al., Insur. Math. Econ. 49, No. 2, 240--248 (2011; Zbl 1218.91156) Full Text: DOI OpenURL
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. (English) Zbl 1211.91228 J. Comput. Appl. Math. 235, No. 10, 3245-3256 (2011). MSC: 91G10 PDF BibTeX XML Cite \textit{K. Van Weert} et al., J. Comput. Appl. Math. 235, No. 10, 3245--3256 (2011; Zbl 1211.91228) Full Text: DOI OpenURL
van Weert, Koen; Dhaene, Jan; Goovaerts, Marc Optimal portfolio selection for general provisioning and terminal wealth problems. (English) Zbl 1231.91422 Insur. Math. Econ. 47, No. 1, 90-97 (2010). MSC: 91G10 PDF BibTeX XML Cite \textit{K. van Weert} et al., Insur. Math. Econ. 47, No. 1, 90--97 (2010; Zbl 1231.91422) Full Text: DOI OpenURL
Dhaene, Jan; Denuit, Michel; Vanduffel, Steven Correlation order, merging and diversification. (English) Zbl 1231.91175 Insur. Math. Econ. 45, No. 3, 325-332 (2009). MSC: 91B30 62H20 60E15 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 45, No. 3, 325--332 (2009; Zbl 1231.91175) Full Text: DOI OpenURL
Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven Bounds and approximations for sums of dependent log-elliptical random variables. (English) Zbl 1162.91440 Insur. Math. Econ. 44, No. 3, 385-397 (2009). MSC: 91B30 91B28 62P05 PDF BibTeX XML Cite \textit{E. A. Valdez} et al., Insur. Math. Econ. 44, No. 3, 385--397 (2009; Zbl 1162.91440) Full Text: DOI OpenURL
Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S. Some results on the CTE-based capital allocation rule. (English) Zbl 1152.91577 Insur. Math. Econ. 42, No. 2, 855-863 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Insur. Math. Econ. 42, No. 2, 855--863 (2008; Zbl 1152.91577) Full Text: DOI OpenURL
Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R. Optimal approximations for risk measures of sums of lognormals based on conditional expectations. (English) Zbl 1154.91021 J. Comput. Appl. Math. 221, No. 1, 202-218 (2008). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B26 91B30 60Exx PDF BibTeX XML Cite \textit{S. Vanduffel} et al., J. Comput. Appl. Math. 221, No. 1, 202--218 (2008; Zbl 1154.91021) Full Text: DOI OpenURL
Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A. Analytic bounds and approximations for annuities and Asian options. (English) Zbl 1141.91550 Insur. Math. Econ. 42, No. 3, 1109-1117 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{S. Vanduffel} et al., Insur. Math. Econ. 42, No. 3, 1109--1117 (2008; Zbl 1141.91550) Full Text: DOI Link OpenURL
Denuit, Michel; Dhaene, Jan Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. (English) Zbl 1110.62140 J. Comput. Appl. Math. 203, No. 1, 169-176 (2007). MSC: 62N99 60E15 62P05 PDF BibTeX XML Cite \textit{M. Denuit} and \textit{J. Dhaene}, J. Comput. Appl. Math. 203, No. 1, 169--176 (2007; Zbl 1110.62140) Full Text: DOI OpenURL
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. Risk measures and comonotonicity: a review. (English) Zbl 1159.91403 Stoch. Models 22, No. 4, 573-606 (2006). MSC: 91B30 PDF BibTeX XML Cite \textit{J. Dhaene} et al., Stoch. Models 22, No. 4, 573--606 (2006; Zbl 1159.91403) Full Text: DOI OpenURL
Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan Comparing approximations for risk measures of sums of nonindependent lognormal random variables. (English) Zbl 1215.91038 N. Am. Actuar. J. 9, No. 4, 71-82 (2005). MSC: 91B30 62E17 62E10 PDF BibTeX XML Cite \textit{S. Vanduffel} et al., N. Am. Actuar. J. 9, No. 4, 71--82 (2005; Zbl 1215.91038) Full Text: DOI OpenURL
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe Some new classes of consistent risk measures. (English) Zbl 1188.91087 Insur. Math. Econ. 34, No. 3, 505-516 (2004). MSC: 91B30 60E05 60E15 62E10 62P05 91B82 PDF BibTeX XML Cite \textit{M. J. Goovaerts} et al., Insur. Math. Econ. 34, No. 3, 505--516 (2004; Zbl 1188.91087) Full Text: DOI Link OpenURL
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob Economic capital allocation derived from risk measures. (English) Zbl 1084.91515 N. Am. Actuar. J. 7, No. 2, 44-59 (2003). MSC: 91B30 62P05 PDF BibTeX XML Cite \textit{J. Dhaene} et al., N. Am. Actuar. J. 7, No. 2, 44--59 (2003; Zbl 1084.91515) Full Text: DOI Link OpenURL
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe A unified approach to generate risk measures. (English) Zbl 1098.91539 Astin Bull. 33, No. 2, 173-191 (2003). MSC: 91B30 91B28 62P05 62E10 62P20 PDF BibTeX XML Cite \textit{M. J. Goovaerts} et al., ASTIN Bull. 33, No. 2, 173--191 (2003; Zbl 1098.91539) Full Text: DOI OpenURL