Edit Profile (opens in new tab) Dhaene, Jan Co-Author Distance Author ID: dhaene.jan Published as: Dhaene, Jan; Dhaene, J. External Links: MGP Documents Indexed: 101 Publications since 1990, including 3 Books Co-Authors: 80 Co-Authors with 101 Joint Publications 1,126 Co-Co-Authors all top 5 Co-Authors 0 single-authored 37 Goovaerts, Marc J. 22 Denuit, Michel M. 17 Kaas, Rob 13 Vanduffel, Steven 11 Linders, Daniël 10 Vyncke, David 6 Hanbali, Hamza 6 Kukush, Oleksandr Georgiĭovych 6 Vanmaele, Michèle 5 Barigou, Karim 5 Deelstra, Griselda 5 Tang, Qihe 4 Chen, Ze 4 Cheung, Ka Chun 4 Henrard, Luc 4 Schoutens, Wim 4 Sundt, Bjørn Rosted 3 Chen, Xinliang 3 De Schepper, Ann 3 Hoedemakers, Tom 3 Ribas, Carmen 3 Stassen, Ben 3 Van Weert, Koen 2 Beirlant, Jan 2 Chen, Bingzheng 2 De Pril, Nelson 2 Delong, Łukasz 2 Khaledi, Baha-Eldin 2 Koch, Robert A. 2 Laeven, Roger J. A. 2 Landsman, Zinoviy M. 2 Olieslagers, Ruben 2 Shang, Zhaoning 2 Trufin, Julien 2 Valdez, Emiliano A. 2 Vandebroek, Martina 2 Vanneste, Marleen 2 Vernic, Raluca 2 Wang, Shaun S. 1 Amiri, Masoud 1 Antonio, Katrien 1 Bermúdez, Lluís 1 Christiansen, Marcus Christian 1 Cossette, Hélène 1 Darkiewicz, Grzegorz 1 Devolder, Pierre 1 Dony, Julia 1 Feng, Runhuan 1 Forys, M. B. 1 Godecharle, Els 1 Izadi, Muhyiddin 1 Jing, Xiaochen 1 Liinev, Jan 1 Lo, Ambrose 1 Lucas, Nathalie 1 Luciano, Elisa 1 Maj, Mateusz 1 Major, John A. 1 Manesh, Sirous Fathi 1 Marceau, Étienne 1 Mildenhall, Stephen J. M. 1 Pat, Nika 1 Pupashenko, Mykhailo 1 Reynaerts, Huguette 1 Romijn, Olivier 1 Rong, Yian 1 Tang Qihe 1 Van Wouve, Martine 1 van Wouwe, Martine 1 Vandendorpe, Antoine 1 Vellekoop, Michel H. 1 Verdonck, Tim 1 Willmont, Gordon 1 Wolthuis, Henk 1 Yam, Sheung Chi Phillip 1 Yang, Tianyu 1 Yao, Jing 1 Young, Virginia R. 1 Zhang, Yiying 1 Zhou, Ming all top 5 Serials 40 Insurance Mathematics & Economics 10 Journal of Computational and Applied Mathematics 7 Scandinavian Actuarial Journal 5 Mitteilungen. Schweizerische Aktuarvereinigung (SAV) 5 Belgian Actuarial Bulletin 4 Scandinavian Actuarial Journal 4 ASTIN Bulletin 4 North American Actuarial Journal 4 European Actuarial Journal 2 Journal of Actuarial Practice 1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 1 Statistics & Decisions 1 Acta Mathematicae Applicatae Sinica. English Series 1 CWI Quarterly 1 Communications in Statistics. Theory and Methods 1 European Journal of Operational Research 1 Theory of Probability and Mathematical Statistics 1 Applied Stochastic Models in Business and Industry 1 Brazilian Journal of Probability and Statistics 1 Theory of Stochastic Processes 1 Stochastic Models all top 5 Fields 90 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 48 Statistics (62-XX) 23 Probability theory and stochastic processes (60-XX) 5 Numerical analysis (65-XX) 2 Operations research, mathematical programming (90-XX) 1 General and overarching topics; collections (00-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 95 Publications have been cited 2,150 times in 1,132 Documents Cited by ▼ Year ▼ The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107 Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 295 2002 The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107 Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 168 2002 Risk measures and comonotonicity: a review. Zbl 1159.91403 Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. 154 2006 Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 118 2008 Upper and lower bounds for sums of random variables. Zbl 0989.60019 Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. 86 2000 Modern actuarial risk theory. Zbl 1086.91035 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 75 2003 The safest dependence structure among risks. Zbl 1072.62651 Dhaene, Jan; Denuit, Michel 60 1999 Comonotonicity, correlation order and premium principles. Zbl 0909.62110 Wang, Shaun; Dhaene, Jan 58 1998 On the dependency of risks in the individual life model. Zbl 0931.62089 Dhaene, J.; Goovaerts, M. J. 51 1997 Economic capital allocation derived from risk measures. Zbl 1084.91515 Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 49 2003 Some new classes of consistent risk measures. Zbl 1188.91087 Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe 48 2004 Remarks on quantiles and distortion risk measures. Zbl 1256.91027 Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe 44 2012 Some results on the CTE-based capital allocation rule. Zbl 1152.91577 Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S. 39 2008 Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099 Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J. 38 2000 An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021 Simon, S.; Goovaerts, M. J.; Dhaene, J. 33 2000 Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027 Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J. 32 2006 Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021 Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R. 31 2008 An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006 Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle 29 2011 Risk measurement with equivalent utility principles. Zbl 1171.91326 Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger 28 2006 A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511 Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M. 28 2002 Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038 Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan 27 2005 Does positive dependence between individual risks increase stop-loss premiums? Zbl 1055.91046 Denuit, Michel; Dhaene, Jan; Ribas, Carmen 26 2001 Static super-replicating strategies for a class of exotic options. Zbl 1141.91427 Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M. 25 2008 The herd behavior index: a new measure for the implied degree of co-movement in stock markets. Zbl 1237.91237 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 25 2012 On a class of approximative computation methods in the individual risk model. Zbl 0805.62095 Dhaene, Jan; De Pril, Nelson 24 1994 Convex order and comonotonic conditional mean risk sharing. Zbl 1284.60043 Denuit, Michel; Dhaene, Jan 23 2012 Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. Zbl 1110.62140 Denuit, Michel; Dhaene, Jan 21 2007 Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. Zbl 1395.91249 Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze 21 2017 On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226 Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben 20 2013 Bounds and approximations for sums of dependent log-elliptical random variables. Zbl 1162.91440 Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven 18 2009 Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 18 2009 A unified approach to generate risk measures. Zbl 1098.91539 Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe 18 2003 Supermodular ordering and stochastic annuities. Zbl 0942.60008 Goovaerts, M. J.; Dhaene, J. 15 1999 Reducing risk by merging counter-monotonic risks. Zbl 1291.91098 Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe 15 2014 Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264 Barigou, Karim; Dhaene, Jan 15 2019 Analytic bounds and approximations for annuities and Asian options. Zbl 1141.91550 Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A. 14 2008 The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079 Goovaerts, M. J.; Dhaene, J. 14 1996 Recursions for the individual model. Zbl 0837.62085 Dhaene, Jan; Vandebroek, Martina 13 1995 Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262 Delong, Łukasz; Dhaene, Jan; Barigou, Karim 13 2019 Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212 Barigou, Karim; Chen, Ze; Dhaene, Jan 13 2019 Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219 Delong, Łukasz; Dhaene, Jan; Barigou, Karim 13 2019 A multivariate dependence measure for aggregating risks. Zbl 1386.91172 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 12 2014 The hurdle-race problem. Zbl 1103.91353 Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. 11 2003 Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066 Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan 11 2017 Reserve-dependent benefits and costs in life and health insurance contracts. Zbl 1304.91096 Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan 11 2014 On approximating distributions by approximating their De Pril transforms. Zbl 1031.62500 Dhaene, Jan; Sundt, Bjørn 10 1998 Some results on moments and cumulants. Zbl 1031.62501 Sundt, Bjørn; Dhaene, Jan; De Pril, Nelson 10 1998 A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156 Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan 9 2011 The economics of insurance: a review and some recent developments. Zbl 1187.91096 Denuit, Michel; Dhaene, Jan; Van Wouve, Martine 9 1999 Confidence bounds for discounted loss reserves. Zbl 1103.91367 Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 9 2003 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Zbl 0893.62105 Vanneste, M.; Goovaerts, M. J.; De Schepper, A.; Dhaene, J. 9 1997 Optimal premium control in a non-life insurance business. Zbl 0728.62099 Vandebroek, Martina; Dhaene, Jan 9 1990 A robustification of the chain-ladder method. Zbl 1483.91210 Verdonck, Tim; van Wouwe, Martine; Dhaene, Jan 9 2009 A note on dependencies in multiple life statuses. Zbl 1187.91098 Dhaene, Jan; Vanneste, Marleen; Wolthuis, Henk 8 2000 Correlation order, merging and diversification. Zbl 1231.91175 Dhaene, Jan; Denuit, Michel; Vanduffel, Steven 8 2009 Ordered random vectors and equality in distribution. Zbl 1398.91320 Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël 8 2015 Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422 van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 7 2010 Convex upper and lower bounds for present value functions. Zbl 0971.91030 Vyncke, D.; Goovaerts, M.; Dhaene, J. 7 2001 FIX: the fear index – measuring market fear. Zbl 1296.91219 Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W. 7 2012 Capital requirements, risk measures and comonotonicity. Zbl 1357.91018 Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David 7 2004 Bounds for present value functions with stochastic interest rates and stochastic volatility. Zbl 1092.91527 De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; Vyncke, David 7 2002 Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048 Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda 6 2006 Bonus-malus scales using exponential loss functions. Zbl 1354.91059 Denuit, Michel; Dhaene, Jan 6 2001 An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. Zbl 1401.91218 Zhou, Ming; Dhaene, Jan; Yao, Jing 6 2018 On an optimization problem related to static super-replicating strategies. Zbl 1299.91140 Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle 6 2015 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174 Chen, Ze; Chen, Bingzheng; Dhaene, Jan 6 2020 Tail variance premiums for log-elliptical distributions. Zbl 1284.91247 Landsman, Zinoviy; Pat, Nika; Dhaene, Jan 6 2013 Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058 Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip 5 2018 On the distribution of discounted loss reserves using generalized linear models. Zbl 1145.91033 Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 5 2005 Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Zbl 1357.62060 Denuit, Michel; Dhaene, Jan 5 2003 Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228 Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 4 2011 Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208 Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien 4 2017 Recursion for distribution functions and stop-loss transforms. Zbl 0922.62110 Dhaene, Jan; Willmont, Gordon; Sundt, Bjørn 4 1999 Recursions for the individual risk model. Zbl 1104.62112 Dhaene, Jan; Ribas, Carmen; Vernic, Raluca 4 2006 The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. Zbl 1304.91215 Dhaene, J.; Kukush, A.; Linders, D. 4 2014 Optimal allocation of policy deductibles for exchangeable risks. Zbl 1371.91104 Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan 4 2016 The minimal entropy martingale measure in a market of traded financial and actuarial risks. Zbl 1310.91137 Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, Michel 4 2015 Systemic risk: conditional distortion risk measures. Zbl 1484.91504 Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying 4 2022 Tail mutual exclusivity and Tail-VaR lower bounds. Zbl 1401.91111 Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan 4 2017 A dynamic equivalence principle for systematic longevity risk management. Zbl 1411.91283 Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien 3 2019 Risk measures and dependencies of risks. Zbl 1272.62066 Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc 3 2005 Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252 Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu 3 2021 Convex order approximations in the case of cash flows of mixed signs. Zbl 1284.91517 Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen 3 2012 Stochastic approximations of present value functions. Zbl 1187.91092 Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É. 2 2001 Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. Zbl 1390.91176 Dhaene, Jan; Godecharle, Els; Antonio, Katrien; Denuit, Michel; Hanbali, Hamza 2 2017 Actuarial applications of financial models. Zbl 0959.62097 Goovaerts, M. J.; Dhaene, J. 2 1997 On the computation of the capital multiplier in the Fortis credit economic capital model. Zbl 1357.91049 Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert 2 2003 Comonotonic asset prices in arbitrage-free markets. Zbl 1430.91108 Dhaene, Jan; Kukush, Alexander; Linders, Daniël 2 2020 Aggregating economic capital. Zbl 1398.91680 Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S. 2 2005 Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187 Dhaene, Jan; Goovaerts, Marc J.; Koch, Robert; Olieslagers, Ruben; Romijn, Olivier; Vanduffel, Steven 1 2006 Exponential bonus-malus systems integrating a priori risk classification. Zbl 1070.91505 Bermúdez, Lluís; Denuit, Michel; Dhaene, Jan 1 2001 Stable laws and the present value of fixed cash flows. Zbl 1084.91508 Goovaerts, Marc J.; De Schepper, Ann; Vyncke, David; Dhaene, Jan; Kaas, Rob 1 2003 A note on the stop-loss preserving property of Wang’s premium principle. Zbl 1333.62258 Ribas, Carmen; Goovaerts, Marc J.; Dhaene, Jan 1 1998 Basel II: Capital requirements for equity investment portfolios. Zbl 1398.91549 Suarez, F.; Dhaene, J.; Henrard, L.; Vanduffel, S. 1 2005 Measuring medical inflation for health insurance portfolios in Belgium. Zbl 1422.91338 Dhaene, Jan; Hanbali, Hamza 1 2019 Systemic risk: conditional distortion risk measures. Zbl 1484.91504 Dhaene, Jan; Laeven, Roger J. A.; Zhang, Yiying 4 2022 Fair dynamic valuation of insurance liabilities via convex hedging. Zbl 1466.91252 Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu 3 2021 Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach. Zbl 1454.91174 Chen, Ze; Chen, Bingzheng; Dhaene, Jan 6 2020 Comonotonic asset prices in arbitrage-free markets. Zbl 1430.91108 Dhaene, Jan; Kukush, Alexander; Linders, Daniël 2 2020 Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Zbl 1411.91264 Barigou, Karim; Dhaene, Jan 15 2019 Fair valuation of insurance liability cash-flow streams in continuous time: applications. Zbl 1410.91262 Delong, Łukasz; Dhaene, Jan; Barigou, Karim 13 2019 Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency. Zbl 1425.91212 Barigou, Karim; Chen, Ze; Dhaene, Jan 13 2019 Fair valuation of insurance liability cash-flow streams in continuous time: theory. Zbl 1425.91219 Delong, Łukasz; Dhaene, Jan; Barigou, Karim 13 2019 A dynamic equivalence principle for systematic longevity risk management. Zbl 1411.91283 Hanbali, Hamza; Denuit, Michel; Dhaene, Jan; Trufin, Julien 3 2019 Measuring medical inflation for health insurance portfolios in Belgium. Zbl 1422.91338 Dhaene, Jan; Hanbali, Hamza 1 2019 An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. Zbl 1401.91218 Zhou, Ming; Dhaene, Jan; Yao, Jing 6 2018 Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058 Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip 5 2018 Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. Zbl 1395.91249 Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël; Chen, Ze 21 2017 Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066 Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan 11 2017 Updating mechanism for lifelong insurance contracts subject to medical inflation. Zbl 1394.91208 Denuit, Michel; Dhaene, Jan; Hanbali, Hamza; Lucas, Nathalie; Trufin, Julien 4 2017 Tail mutual exclusivity and Tail-VaR lower bounds. Zbl 1401.91111 Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan 4 2017 Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. Zbl 1390.91176 Dhaene, Jan; Godecharle, Els; Antonio, Katrien; Denuit, Michel; Hanbali, Hamza 2 2017 Optimal allocation of policy deductibles for exchangeable risks. Zbl 1371.91104 Manesh, Sirous Fathi; Khaledi, Baha-Eldin; Dhaene, Jan 4 2016 Ordered random vectors and equality in distribution. Zbl 1398.91320 Cheung, Ka Chun; Dhaene, Jan; Kukush, Alexander; Linders, Daniël 8 2015 On an optimization problem related to static super-replicating strategies. Zbl 1299.91140 Chen, Xinliang; Deelstra, Griselda; Dhaene, Jan; Linders, Daniël; Vanmaele, Michèle 6 2015 The minimal entropy martingale measure in a market of traded financial and actuarial risks. Zbl 1310.91137 Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, Michel 4 2015 Reducing risk by merging counter-monotonic risks. Zbl 1291.91098 Cheung, Ka Chun; Dhaene, Jan; Lo, Ambrose; Tang, Qihe 15 2014 A multivariate dependence measure for aggregating risks. Zbl 1386.91172 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 12 2014 Reserve-dependent benefits and costs in life and health insurance contracts. Zbl 1304.91096 Christiansen, Marcus C.; Denuit, Michel M.; Dhaene, Jan 11 2014 The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. Zbl 1304.91215 Dhaene, J.; Kukush, A.; Linders, D. 4 2014 On the (in-)dependence between financial and actuarial risks. Zbl 1284.91226 Dhaene, Jan; Kukush, Alexander; Luciano, Elisa; Schoutens, Wim; Stassen, Ben 20 2013 Tail variance premiums for log-elliptical distributions. Zbl 1284.91247 Landsman, Zinoviy; Pat, Nika; Dhaene, Jan 6 2013 Remarks on quantiles and distortion risk measures. Zbl 1256.91027 Dhaene, Jan; Kukush, Alexander; Linders, Daniël; Tang, Qihe 44 2012 The herd behavior index: a new measure for the implied degree of co-movement in stock markets. Zbl 1237.91237 Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David 25 2012 Convex order and comonotonic conditional mean risk sharing. Zbl 1284.60043 Denuit, Michel; Dhaene, Jan 23 2012 FIX: the fear index – measuring market fear. Zbl 1296.91219 Dhaene, J.; Dony, J.; Forys, M. B.; Linders, D.; Schoutens, W. 7 2012 Convex order approximations in the case of cash flows of mixed signs. Zbl 1284.91517 Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen 3 2012 An overview of comonotonicity and its applications in finance and insurance. Zbl 1233.60006 Deelstra, Griselda; Dhaene, Jan; Vanmaele, Michèle 29 2011 A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156 Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan 9 2011 Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228 Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 4 2011 Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422 van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 7 2010 Bounds and approximations for sums of dependent log-elliptical random variables. Zbl 1162.91440 Valdez, Emiliano A.; Dhaene, Jan; Maj, Mateusz; Vanduffel, Steven 18 2009 Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 18 2009 A robustification of the chain-ladder method. Zbl 1483.91210 Verdonck, Tim; van Wouwe, Martine; Dhaene, Jan 9 2009 Correlation order, merging and diversification. Zbl 1231.91175 Dhaene, Jan; Denuit, Michel; Vanduffel, Steven 8 2009 Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 118 2008 Some results on the CTE-based capital allocation rule. Zbl 1152.91577 Dhaene, J.; Henrard, L.; Landsman, Z.; Vandendorpe, A.; Vanduffel, S. 39 2008 Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021 Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R. 31 2008 Static super-replicating strategies for a class of exotic options. Zbl 1141.91427 Chen, X.; Deelstra, G.; Dhaene, J.; Vanmaele, M. 25 2008 Analytic bounds and approximations for annuities and Asian options. Zbl 1141.91550 Vanduffel, Steven; Shang, Zhaoning; Henrard, Luc; Dhaene, Jan; Valdez, Emiliano A. 14 2008 Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection. Zbl 1110.62140 Denuit, Michel; Dhaene, Jan 21 2007 Risk measures and comonotonicity: a review. Zbl 1159.91403 Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. 154 2006 Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027 Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J. 32 2006 Risk measurement with equivalent utility principles. Zbl 1171.91326 Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger 28 2006 Bounds for the price of a European-style Asian option in a binary tree model. Zbl 1100.91048 Reynaerts, Huguette; Vanmaele, Michele; Dhaene, Jan; Deelstra, Griselda 6 2006 Recursions for the individual risk model. Zbl 1104.62112 Dhaene, Jan; Ribas, Carmen; Vernic, Raluca 4 2006 Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187 Dhaene, Jan; Goovaerts, Marc J.; Koch, Robert; Olieslagers, Ruben; Romijn, Olivier; Vanduffel, Steven 1 2006 Comparing approximations for risk measures of sums of nonindependent lognormal random variables. Zbl 1215.91038 Vanduffel, Steven; Hoedemakers, Tom; Dhaene, Jan 27 2005 On the distribution of discounted loss reserves using generalized linear models. Zbl 1145.91033 Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 5 2005 Risk measures and dependencies of risks. Zbl 1272.62066 Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc 3 2005 Aggregating economic capital. Zbl 1398.91680 Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S. 2 2005 Basel II: Capital requirements for equity investment portfolios. Zbl 1398.91549 Suarez, F.; Dhaene, J.; Henrard, L.; Vanduffel, S. 1 2005 Some new classes of consistent risk measures. Zbl 1188.91087 Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe 48 2004 Capital requirements, risk measures and comonotonicity. Zbl 1357.91018 Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David 7 2004 Modern actuarial risk theory. Zbl 1086.91035 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 75 2003 Economic capital allocation derived from risk measures. Zbl 1084.91515 Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 49 2003 A unified approach to generate risk measures. Zbl 1098.91539 Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe 18 2003 The hurdle-race problem. Zbl 1103.91353 Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. 11 2003 Confidence bounds for discounted loss reserves. Zbl 1103.91367 Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 9 2003 Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. Zbl 1357.62060 Denuit, Michel; Dhaene, Jan 5 2003 On the computation of the capital multiplier in the Fortis credit economic capital model. Zbl 1357.91049 Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert 2 2003 Stable laws and the present value of fixed cash flows. Zbl 1084.91508 Goovaerts, Marc J.; De Schepper, Ann; Vyncke, David; Dhaene, Jan; Kaas, Rob 1 2003 The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107 Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 295 2002 The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107 Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 168 2002 A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511 Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M. 28 2002 Bounds for present value functions with stochastic interest rates and stochastic volatility. Zbl 1092.91527 De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; Vyncke, David 7 2002 Does positive dependence between individual risks increase stop-loss premiums? Zbl 1055.91046 Denuit, Michel; Dhaene, Jan; Ribas, Carmen 26 2001 Convex upper and lower bounds for present value functions. Zbl 0971.91030 Vyncke, D.; Goovaerts, M.; Dhaene, J. 7 2001 Bonus-malus scales using exponential loss functions. Zbl 1354.91059 Denuit, Michel; Dhaene, Jan 6 2001 Stochastic approximations of present value functions. Zbl 1187.91092 Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É. 2 2001 Exponential bonus-malus systems integrating a priori risk classification. Zbl 1070.91505 Bermúdez, Lluís; Denuit, Michel; Dhaene, Jan 1 2001 Upper and lower bounds for sums of random variables. Zbl 0989.60019 Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. 86 2000 Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099 Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J. 38 2000 An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021 Simon, S.; Goovaerts, M. J.; Dhaene, J. 33 2000 A note on dependencies in multiple life statuses. Zbl 1187.91098 Dhaene, Jan; Vanneste, Marleen; Wolthuis, Henk 8 2000 The safest dependence structure among risks. Zbl 1072.62651 Dhaene, Jan; Denuit, Michel 60 1999 Supermodular ordering and stochastic annuities. Zbl 0942.60008 Goovaerts, M. J.; Dhaene, J. 15 1999 The economics of insurance: a review and some recent developments. Zbl 1187.91096 Denuit, Michel; Dhaene, Jan; Van Wouve, Martine 9 1999 Recursion for distribution functions and stop-loss transforms. Zbl 0922.62110 Dhaene, Jan; Willmont, Gordon; Sundt, Bjørn 4 1999 Comonotonicity, correlation order and premium principles. Zbl 0909.62110 Wang, Shaun; Dhaene, Jan 58 1998 On approximating distributions by approximating their De Pril transforms. Zbl 1031.62500 Dhaene, Jan; Sundt, Bjørn 10 1998 Some results on moments and cumulants. Zbl 1031.62501 Sundt, Bjørn; Dhaene, Jan; De Pril, Nelson 10 1998 A note on the stop-loss preserving property of Wang’s premium principle. Zbl 1333.62258 Ribas, Carmen; Goovaerts, Marc J.; Dhaene, Jan 1 1998 On the dependency of risks in the individual life model. Zbl 0931.62089 Dhaene, J.; Goovaerts, M. J. 51 1997 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Zbl 0893.62105 Vanneste, M.; Goovaerts, M. J.; De Schepper, A.; Dhaene, J. 9 1997 Actuarial applications of financial models. Zbl 0959.62097 Goovaerts, M. J.; Dhaene, J. 2 1997 The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079 Goovaerts, M. J.; Dhaene, J. 14 1996 Recursions for the individual model. Zbl 0837.62085 Dhaene, Jan; Vandebroek, Martina 13 1995 On a class of approximative computation methods in the individual risk model. Zbl 0805.62095 Dhaene, Jan; De Pril, Nelson 24 1994 Optimal premium control in a non-life insurance business. Zbl 0728.62099 Vandebroek, Martina; Dhaene, Jan 9 1990 all cited Publications top 5 cited Publications all top 5 Cited by 1,359 Authors 68 Dhaene, Jan 51 Denuit, Michel M. 39 Cheung, Ka Chun 36 Goovaerts, Marc J. 30 Wang, Ruodu 26 Vanduffel, Steven 21 Linders, Daniël 18 Kaas, Rob 16 Landsman, Zinoviy M. 16 Marceau, Étienne 16 Tang, Qihe 14 Deelstra, Griselda 14 Laeven, Roger J. A. 13 Boonen, Tim J. 13 Hu, Taizhong 13 Vanmaele, Michèle 12 Balbás, Alejandro 12 Chi, Yichun 12 Furman, Edward 12 Li, Xiaohu 12 Yang, Jingping 11 Cossette, Hélène 11 Mao, Tiantian 11 Robert, Christian-Yann 11 Schoutens, Wim 11 Tan, Ken Seng 11 Zhang, Yiying 11 Zitikis, Ričardas 10 Embrechts, Paul 10 Guillen, Montserrat 10 Lefèvre, Claude 10 Lo, Ambrose 10 Rüschendorf, Ludger 10 Sundt, Bjørn Rosted 10 Vernic, Raluca 9 Balbás, Beatriz 9 Balbás, Raquel 9 Feng, Runhuan 9 Puccetti, Giovanni 9 Trufin, Julien 9 Tsanakas, Andreas 9 Yam, Sheung Chi Phillip 8 Ahn, Jae Youn 8 Albrecher, Hansjörg 8 Barigou, Karim 8 Bernard, Carole L. 8 Cai, Jun 8 Mesfioui, Mhamed 8 Sordo, Miguel Ángel 8 Valdez, Emiliano A. 8 Vyncke, David 8 Zhao, Peng 7 Asimit, Alexandru V. 7 Blake, David 7 De Schepper, Ann 7 Hanbali, Hamza 7 Hoedemakers, Tom 7 Hürlimann, Werner 7 Su, Jianxi 7 Yang, Fan 7 Yang, Hailiang 7 Yao, Jing 7 You, Yinping 7 Zähle, Henryk 6 Bäuerle, Nicole 6 Frostig, Esther 6 Genest, Christian 6 Haberman, Steven 6 Kim, Joseph Hyun Tae 6 Loisel, Stéphane 6 Milevsky, Moshe Arye 6 Rosazza Gianin, Emanuela 6 Weng, Chengguo 6 Yin, Chuancun 5 Antonio, Katrien 5 Artikis, Constantinos T. 5 Artikis, Panagiotis T. 5 Bellini, Fabio 5 Čekanavičius, Vydas 5 Chen, Ze 5 Ghossoub, Mario 5 Heras, Antonio J. 5 Hu, Yijun 5 Hua, Lei 5 Kolev, Nikolai 5 Kukush, Oleksandr Georgiĭovych 5 Liu, Haiyan 5 Mamon, Rogemar S. 5 Ortega, Eva-María 5 Pantelous, Athanasios A. 5 Papapantoleon, Antonis 5 Pelsser, Antoon A. J. 5 Peng, Liang 5 Santolino, Miguel 5 Sherris, Michael 5 Suarez-Llorens, Alfonso 5 Tank, Fatih 5 Verdonck, Tim 5 Wen, Limin 5 Wu, Xianyi ...and 1,259 more Authors all top 5 Cited in 161 Serials 391 Insurance Mathematics & Economics 61 ASTIN Bulletin 59 Scandinavian Actuarial Journal 52 Journal of Computational and Applied Mathematics 49 North American Actuarial Journal 31 European Journal of Operational Research 27 Communications in Statistics. Theory and Methods 26 European Actuarial Journal 20 Quantitative Finance 19 Statistics & Probability Letters 19 Methodology and Computing in Applied Probability 18 Journal of Multivariate Analysis 13 Journal of Applied Probability 13 Finance and Stochastics 12 International Journal of Theoretical and Applied Finance 11 Annals of Operations Research 8 Journal of Industrial and Management Optimization 8 Dependence Modeling 7 Communications in Statistics. Simulation and Computation 6 Applied Mathematics and Computation 6 Acta Mathematicae Applicatae Sinica. English Series 6 Applied Mathematical Finance 6 Bernoulli 6 Mathematical Problems in Engineering 6 Mathematical Finance 6 Journal of Applied Statistics 5 Advances in Applied Probability 5 Lithuanian Mathematical Journal 5 Mathematics of Operations Research 5 Scandinavian Actuarial Journal 5 International Journal of Approximate Reasoning 5 The Annals of Applied Probability 5 Probability in the Engineering and Informational Sciences 5 Stochastic Models 4 Metrika 4 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 4 Operations Research 4 Mathematical Methods of Operations Research 4 Computational Management Science 4 Annals of Finance 3 Journal of Mathematical Economics 3 Journal of Statistical Planning and Inference 3 Journal of Information & Optimization Sciences 3 Aequationes Mathematicae 3 Decisions in Economics and Finance 3 Frontiers of Mathematics in China 3 Mathematics and Financial Economics 3 SIAM Journal on Financial Mathematics 3 Statistics & Risk Modeling 2 Journal of Mathematical Analysis and Applications 2 Theory of Probability and its Applications 2 Fuzzy Sets and Systems 2 Information Sciences 2 Journal of Optimization Theory and Applications 2 SIAM Journal on Control and Optimization 2 Statistica Neerlandica 2 Theory and Decision 2 Mathematical Social Sciences 2 Statistics 2 Journal of Economics 2 Journal of Economic Dynamics & Control 2 Stochastic Processes and their Applications 2 Applied Mathematics. Series B (English Edition) 2 INFORMS Journal on Computing 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Journal of Inequalities and Applications 2 Journal of Interdisciplinary Mathematics 2 Extremes 2 Lobachevskii Journal of Mathematics 2 Applied Stochastic Models in Business and Industry 2 Journal of Systems Science and Complexity 2 Advances in Difference Equations 2 Stochastics 2 Journal of the Korean Statistical Society 2 Electronic Journal of Statistics 2 Advances in Mathematical Physics 2 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 2 International Journal of Applied and Computational Mathematics 1 Computers & Mathematics with Applications 1 Physica A 1 The Annals of Statistics 1 Archiv der Mathematik 1 International Journal of Mathematics and Mathematical Sciences 1 Journal of Economic Theory 1 Metron 1 Theoretical Computer Science 1 Operations Research Letters 1 Journal of Time Series Analysis 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Optimization 1 Statistical Science 1 Asia-Pacific Journal of Operational Research 1 Journal of Theoretical Probability 1 Science in China. Series A 1 Economics Letters 1 Japan Journal of Industrial and Applied Mathematics 1 Numerical Algorithms 1 Computational Statistics 1 Economic Quality Control ...and 61 more Serials all top 5 Cited in 31 Fields 925 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 474 Statistics (62-XX) 330 Probability theory and stochastic processes (60-XX) 77 Operations research, mathematical programming (90-XX) 33 Numerical analysis (65-XX) 25 Systems theory; control (93-XX) 15 Calculus of variations and optimal control; optimization (49-XX) 11 Computer science (68-XX) 9 Functional analysis (46-XX) 7 General and overarching topics; collections (00-XX) 6 Measure and integration (28-XX) 6 Ordinary differential equations (34-XX) 6 Partial differential equations (35-XX) 4 Special functions (33-XX) 4 Biology and other natural sciences (92-XX) 3 Difference and functional equations (39-XX) 3 Integral equations (45-XX) 3 Information and communication theory, circuits (94-XX) 2 Mathematical logic and foundations (03-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Operator theory (47-XX) 1 Field theory and polynomials (12-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Approximations and expansions (41-XX) 1 Integral transforms, operational calculus (44-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mechanics of deformable solids (74-XX) 1 Fluid mechanics (76-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Astronomy and astrophysics (85-XX) 1 Mathematics education (97-XX) Citations by Year