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Goovaerts, Marc J.

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Author ID: goovaerts.marc-j Recent zbMATH articles by "Goovaerts, Marc J."
Published as: Goovaerts, M. J.; Goovaerts, M.; Goovaerts, Marc; Goovaerts, Marc J.; Goovaerts, Mark J.; Goovaerts, Mark
External Links: MGP · ResearchGate · dblp · GND
Documents Indexed: 196 Publications since 1973, including 22 Books
Biographic References: 1 Publication
all top 5

Co-Authors

6 single-authored
48 Kaas, Rob
42 de Vylder, Florent Etienne
37 Dhaene, Jan
15 Broeckx, Fernand
15 De Schepper, Ann
14 Wuytack, Luc
11 Laeven, Roger J. A.
9 Haezendonck, Jean
9 Piessens, Robert
8 Vyncke, David
7 Denuit, Michel M.
7 Vanduffel, Steven
6 De Pril, Nelson
6 Decamps, Marc
6 D’Hooge, L.
6 Heijnen, Bart
6 Hoedemakers, Tom
6 Tang, Qihe
5 Bauwelinckx, T.
5 van Wouwe, M.
4 Gerber, Hans U.
4 van Heerwaarden, A. E.
4 Van Weert, Koen
4 Vandewalle, Stefan G.
4 Vanneste, Marleen
3 Darkiewicz, Grzegorz
3 De Kerf, Joseph L. F.
3 Grosjean, Carl C.
3 Schoutens, Wim
3 Steenackers, A.
3 Teunen, Marleen
3 Van Daele, Marnix
3 van den Broeck, Julien
3 van Goethem, P.
2 Beirlant, Jan
2 Kling, Bart
2 Koch, Robert A.
2 Labie, E.
2 Marceau, Étienne
2 Olieslagers, Ruben
2 Vanmaele, Michèle
2 Wolthuis, Henk
1 Ahcan, Ales
1 Bauwelincks, T.
1 Bertels, J.
1 Breesch, P.
1 Chen, Xinliang
1 Cossette, Hélène
1 Dannenburg, D. R.
1 De Sitter, J. M.
1 de Vylder, G.
1 Declercq, M.
1 Deelstra, Griselda
1 Delbaen, Freddy
1 Elsen, G.
1 Gragg, William B.
1 Gysels, D.
1 Henrard, Luc
1 Jansen, Karel
1 Liinev, Jan
1 Linders, Daniël
1 Mammitzsch, Volker
1 Meeusen, Wim
1 Plessens, R.
1 Redant, Hendrik
1 Ribas, Carmen
1 Romijn, Olivier
1 Shang, Zhaoning
1 Shiu, Elias S. W.
1 Spreeuw, Jaap
1 Stiers, D.
1 Stoop, C.
1 Tang Qihe
1 Tank, Fatih
1 Taylor, Gregory Clive
1 van den Borre, Eddy
1 Vandebroeck, M.
1 Vandebroek, Martina
1 Vandevalle, S.
1 Vernic, Raluca
1 Wang, Shaun S.
1 Young, Virginia R.
all top 5

Serials

77 Insurance Mathematics & Economics
27 Journal of Computational and Applied Mathematics
12 Scandinavian Actuarial Journal
7 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
5 North American Actuarial Journal
4 Mitteilungen. Vereinigung Schweizerischer Versicherungsmathematiker (VSV)
4 Methods of Operations Research
4 Belgian Actuarial Bulletin
3 Revue Belge de Statistique, d’Informatique et de Recherche Opérationnelle
3 Scandinavian Actuarial Journal
2 Applied Mathematics and Computation
2 Statistica Neerlandica
2 Mitteilungen. Schweizerische Aktuarvereinigung (SAV)
2 ASTIN Bulletin
2 NATO ASI Series. Series C. Mathematical and Physical Sciences
1 Journal of Mathematical Physics
1 Cahiers du Centre d’Études de Recherche Opérationnelle
1 Journal of Econometrics
1 Simon Stevin
1 Statistische Hefte. Neue Folge
1 Utilitas Mathematica
1 Revue de Statistique Appliquée
1 Statistics & Decisions
1 Applied Stochastic Models and Data Analysis
1 Journal of Economic Dynamics & Control
1 CWI Quarterly
1 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM)
1 Stochastic Processes and their Applications
1 International Journal of Theoretical and Applied Finance
1 Applied Stochastic Models in Business and Industry
1 Brazilian Journal of Probability and Statistics
1 Stochastic Models
1 HERMIS-\(\mu\pi\). Hellenic European Research on Mathematics and Informatics Science
1 Journal of Actuarial Practice
1 Bulletin de la Société Mathématique de Belgique

Publications by Year

Citations contained in zbMATH Open

135 Publications have been cited 2,268 times in 1,258 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.
246
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.
153
2002
Insurance premiums. Theory and applications. Zbl 0532.62082
Goovaerts, M. J.; de Vylder, F.; Haezendonck, J.
135
1984
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
127
2006
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
85
2008
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
76
2000
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
68
1989
Modern actuarial risk theory. Zbl 1086.91035
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
64
2003
The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca
48
2005
On the dependency of risks in the individual life model. Zbl 0931.62089
Dhaene, J.; Goovaerts, M. J.
46
1997
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
45
2004
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
42
2003
Actuarial risk measures for financial derivative pricing. Zbl 1152.91444
Goovaerts, Marc J.; Laeven, Roger J. A.
40
2008
Recursive calculation of finite-time ruin probabilities. Zbl 0629.62101
de Vylder, F.; Goovaerts, M. J.
39
1988
A new premium calculation principle based on Orlicz norms. Zbl 0495.62091
Haezendonck, J.; Goovaerts, M.
39
1982
An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037
Laeven, Roger J. A.; Goovaerts, Marc J.
37
2004
An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021
Simon, S.; Goovaerts, M. J.; Dhaene, J.
31
2000
A comonotonic image of independence for additive risk measures. Zbl 1122.91341
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe
31
2004
Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099
Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J.
31
2000
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
30
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.
30
2008
Decision principles derived from risk measures. Zbl 1231.91191
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
28
2010
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.
26
2002
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
26
2006
Upper bounds on stop-loss premiums in case of known moments up to the fourth order. Zbl 0607.62129
Jansen, K.; Haezendonck, J.; Goovaerts, M. J.
25
1986
On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Zbl 1284.91235
Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; Tank, Fatih
23
2012
Analytical best upper bounds on stop-loss premiums. Zbl 0508.62088
de Vylder, F.; Goovaerts, M. J.
22
1982
The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091
de Schepper, A.; Goovaerts, M.; Delbaen, F.
22
1992
Explicit finite-time and infinite-time ruin probabilities in the continuous case. Zbl 0963.91062
De Vylder, F. Etienne; Goovaerts, Marc J.
20
1999
Self exciting threshold interest rates models. Zbl 1140.91384
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
20
2006
Practical actuarial credibility models. Zbl 0905.62101
Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J.
19
1996
Bounds for classical ruin probabilities. Zbl 0547.62068
de Vylder, F.; Goovaerts, M.
18
1984
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
Interest randomness in annuities certain. Zbl 0778.62098
de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R.
15
1992
An analytical inversion of a Laplace transform related to annuities certain. Zbl 0796.62092
De Schepper, A.; Teunen, M.; Goovaerts, M.
15
1994
Supermodular ordering and stochastic annuities. Zbl 0942.60008
Goovaerts, M. J.; Dhaene, J.
15
1999
Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
15
2006
Some asymptotic results for sums of dependent random variables, with actuarial applications. Zbl 1099.91068
Laeven, Roger J. A.; Goovaerts, Marc J.; Hoedemakers, Tom
14
2005
Numerical best bounds on stop-loss premiums. Zbl 0498.62089
Goovaerts, M. J.; Haezendonck, J.; de Vylder, F.
14
1982
The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079
Goovaerts, M. J.; Dhaene, J.
14
1996
Worst case risk measurement: back to the future? Zbl 1228.91037
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
14
2011
On the representation of additive principles of premium calculation. Zbl 0484.62109
Gerber, Hans U.; Goovaerts, Marc J.
14
1981
The distributions of annuities. Zbl 0814.62069
Vanneste, M.; Goovaerts, M. J.; Labie, E.
13
1994
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
13
2009
A note on additive risk measures in rank-dependent utility. Zbl 1231.91190
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
12
2010
Best bounds for positive distributions with fixed moments. Zbl 0593.62112
Kaas, R.; Goovaerts, M. J.
11
1986
Upper and lower bounds on stop-loss premiums in case of known expectation and variance of the risk variable. Zbl 0487.62087
de Vylder, F.; Goovaerts, M.
11
1982
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
Homogeneous risk models with equalized claim amounts. Zbl 1103.91361
De Vylder, F.; Goovaerts, M.
10
2000
Properties of the Esscher premium calculation principle. Zbl 0686.62090
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
10
1989
Application of the problem of moments to derive bounds on integrals with integral constraints. Zbl 0559.62086
Goovaerts, M. J.; Kaas, R.
9
1985
Ordering of risks: a review. Zbl 0492.62090
Goovaerts, M. J.; de Vylder, F.; Haezendonck, J.
9
1982
Some further results on annuities certain with random interest. Zbl 0784.62092
de Schepper, A.; Goovaerts, M.
9
1992
A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156
Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan
9
2011
Confidence bounds for discounted loss reserves. Zbl 1103.91367
Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan
9
2003
The analytical evaluation of one-dimensional Gaussian path-integrals. Zbl 0631.28004
Grosjean, C. C.; Goovaerts, M. J.
8
1988
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.
8
1997
A stochastic approach to insurance cycles. Zbl 0760.62095
Goovaerts, M. J.; De Vylder, F.; Kaas, R.
8
1992
A note on compound generalized distributions. Zbl 0779.62097
Kling, Bart; Goovaerts, Marc
8
1993
Upper bounds on stop-loss premiums under constraints on claim size distributions as derived from representation theorems for distribution functions. Zbl 0446.62107
Goovaerts, M. J.; De Vylder, F.
8
1980
Inequality extensions of Prabhu’s formula in ruin theory. Zbl 0982.91032
De Vylder, F. E.; Goovaerts, M. J.
8
1999
Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134
Kaas, R.; Goovaerts, M. J.
7
1986
A recursive scheme for perpetuities with random positive interest rates. I: Analytical results. Zbl 0928.62101
De Schepper, A.; Goovaerts, M. J.; Kaas, R.
7
1997
Approximations for life annuity contracts in a stochastic financial environment. Zbl 1125.91064
Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc
7
2005
Convex upper and lower bounds for present value functions. Zbl 0971.91030
Vyncke, D.; Goovaerts, M.; Dhaene, J.
7
2001
Best upper bounds on risks altered by deductibles under incomplete information. Zbl 0706.62096
Heijnen, B.; Goovaerts, M. J.
7
1989
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
Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422
van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
7
2010
Ordering of risks and ruin probabilities. Zbl 0589.62089
Broeckx, F.; Goovaerts, M.; de Vylder, F.
6
1986
On a multilevel hierarchical credibility algorithm. Zbl 0714.62100
Bauwelinckx, T.; Goovaerts, M. J.
6
1990
On the distribution of IBNR reserves. Zbl 0949.62087
Goovaerts, Marc; Redant, Hendrik
6
1999
Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442
Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A.
6
2005
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
6
2004
Additivity and premium calculation principles. Zbl 0606.62118
Heijnen, B.; Goovaerts, M. J.
5
1986
Maximization of the variance of a stop-loss reinsured risk. Zbl 0513.62102
de Vylder, F.; Goovaerts, M.
5
1983
Estimation of the heterogeneity parameter in the Bühlmann-Straub credibility theory model. Zbl 0745.62097
de Vylder, F.; Goovaerts, M. J.
5
1992
Optimal parameter estimation under zero-excess assumptions in a classical model. Zbl 0752.62076
de Vylder, F.; Goovaerts, M. J.
5
1992
Optimal parameter estimation under zero excess assumptions in the Bühlmann–Straub model. Zbl 0783.62088
de Vylder, F.; Goovaerts, M.
5
1992
Path-integral evaluation of a non-stationary Calogero model. Zbl 0294.70011
Goovaerts, M. J.
5
1975
On the infinite divisibility of the product of two \(\Gamma\)-distributed stochastical variables. Zbl 0363.60020
Goovaerts, M. J.; D’Hooge, L.; De Pril, N.
5
1977
On the infinite divisibility of the ratio of two gamma-distributed variables. Zbl 0384.60015
Goovaerts, M. J.; D’Hooge, L.; De Pril, N.
5
1978
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
A note on some new perpetuities. Zbl 1142.91038
Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim
5
2005
Bounds on modified stop-loss premiums in case of unimodal distributions. Zbl 0624.62096
Heijnen, B.; Goovaerts, M. J.
4
1987
The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107
De Vylder, F.; Goovaerts, M.; Marceau, E.
4
1997
Best bounds on the stop-loss premium in case of known range, expectation, variance and mode of the risk. Zbl 0519.62092
de Vylder, F.; Goovaerts, M.
4
1983
Bounds on stop-loss premiums and ruin probabilities. Zbl 0739.62079
Steenackers, A.; Goovaerts, M. J.
4
1991
On a class of generalized \(\Gamma\)-convolutions. I. Zbl 0353.60027
Goovaerts, M. J.; D’Hooge, L.; De Pril, N.
4
1977
An analytical approach to the generalized Poisson process in case of claim distributions with infinite skewness. Zbl 0362.60035
Goovaerts, M. J.; D’Hooge, L.; Van Goethem, P.
4
1977
Some problems in actuarial finance involving sums of dependent risks. Zbl 1076.62558
Goovaerts, M. J.; Kaas, R.
4
2002
Application of the problem of moments to various insurance problems in non-life. Zbl 0605.62124
Kaas, R.; Goovaerts, M. J.
3
1986
Bounds on compound distributions and stop-loss premiums. Zbl 0584.62173
Runnenburg, J. Th.; Goovaerts, M. J.
3
1985
The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean. Zbl 1053.62554
De Schepper, Ann; Goovaerts, Marc J.
3
1999
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228
Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
3
2011
Double boundary crossing result for the Brownian motion. Zbl 0811.60066
Teunen, Marleen; Goovaerts, Marc
3
1994
An invariance property of the Swiss premium calculation principle. Zbl 0419.62089
De Vylder, Floriaan; Goovaerts, Marc
3
1979
The Wiener process with drift between a linear retaining and an absorbing barrier. Zbl 0467.60074
Gerber, Hans U.; Goovaerts, Marc; De Pril, Nelson
3
1981
Closed-form approximations for diffusion densities: A path integral approach. Zbl 1039.60070
Goovaerts, Marc; De Schepper, Ann; Decamps, Marc
3
2004
Prediction of claim numbers based on hazard rates. Zbl 0948.62074
Spreeuw, Jaap; Goovaerts, Marc
3
1998
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
On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Zbl 1284.91235
Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; Tank, Fatih
23
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
Worst case risk measurement: back to the future? Zbl 1228.91037
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
14
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
3
2011
Decision principles derived from risk measures. Zbl 1231.91191
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
28
2010
A note on additive risk measures in rank-dependent utility. Zbl 1231.91190
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
12
2010
Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422
van Weert, Koen; Dhaene, Jan; Goovaerts, Marc
7
2010
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
13
2009
Spectral decomposition of optimal asset-liability management. Zbl 1170.91376
Decamps, Marc; De Schepper, Ann; Goovaerts, Marc
2
2009
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
85
2008
Actuarial risk measures for financial derivative pricing. Zbl 1152.91444
Goovaerts, Marc J.; Laeven, Roger J. A.
40
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.
30
2008
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
127
2006
Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027
Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J.
30
2006
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
26
2006
Self exciting threshold interest rates models. Zbl 1140.91384
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
20
2006
Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022
Decamps, Marc; Goovaerts, Marc; Schoutens, Wim
15
2006
Computation of convex bounds for present value functions with random payments. Zbl 1119.91039
Ahcan, Ales; Darkiewicz, Grzegorz; Goovaerts, Marc; Hoedemakers, Tom
2
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
The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe; Vernic, Raluca
48
2005
Some asymptotic results for sums of dependent random variables, with actuarial applications. Zbl 1099.91068
Laeven, Roger J. A.; Goovaerts, Marc J.; Hoedemakers, Tom
14
2005
Approximations for life annuity contracts in a stochastic financial environment. Zbl 1125.91064
Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc
7
2005
Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442
Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A.
6
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
A note on some new perpetuities. Zbl 1142.91038
Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim
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.
1
2005
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
45
2004
An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037
Laeven, Roger J. A.; Goovaerts, Marc J.
37
2004
A comonotonic image of independence for additive risk measures. Zbl 1122.91341
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe
31
2004
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
6
2004
Closed-form approximations for diffusion densities: A path integral approach. Zbl 1039.60070
Goovaerts, Marc; De Schepper, Ann; Decamps, Marc
3
2004
Some useful counterexamples regarding comonotonicity. Zbl 1357.91019
Kaas, Rob; Goovaerts, Marc; Tang, Qihe
3
2004
Modern actuarial risk theory. Zbl 1086.91035
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
64
2003
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
42
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
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.
246
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.
153
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.
26
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
Some problems in actuarial finance involving sums of dependent risks. Zbl 1076.62558
Goovaerts, M. J.; Kaas, R.
4
2002
Convex upper and lower bounds for present value functions. Zbl 0971.91030
Vyncke, D.; Goovaerts, M.; Dhaene, J.
7
2001
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
76
2000
An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021
Simon, S.; Goovaerts, M. J.; Dhaene, J.
31
2000
Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099
Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J.
31
2000
Homogeneous risk models with equalized claim amounts. Zbl 1103.91361
De Vylder, F.; Goovaerts, M.
10
2000
Explicit finite-time and infinite-time ruin probabilities in the continuous case. Zbl 0963.91062
De Vylder, F. Etienne; Goovaerts, Marc J.
20
1999
Supermodular ordering and stochastic annuities. Zbl 0942.60008
Goovaerts, M. J.; Dhaene, J.
15
1999
Inequality extensions of Prabhu’s formula in ruin theory. Zbl 0982.91032
De Vylder, F. E.; Goovaerts, M. J.
8
1999
On the distribution of IBNR reserves. Zbl 0949.62087
Goovaerts, Marc; Redant, Hendrik
6
1999
The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean. Zbl 1053.62554
De Schepper, Ann; Goovaerts, Marc J.
3
1999
Solvency margins and equalization reserves. Zbl 0931.62088
de Vylder, F.; Goovaerts, M.
2
1999
A recursive scheme for perpetuities with random positive interest rates. II: The impenetrable wall. Zbl 0928.62102
De Schepper, Ann; Goovaerts, Mark; Heijnen, Bart
1
1999
Prediction of claim numbers based on hazard rates. Zbl 0948.62074
Spreeuw, Jaap; Goovaerts, Marc
3
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.
46
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.
8
1997
A recursive scheme for perpetuities with random positive interest rates. I: Analytical results. Zbl 0928.62101
De Schepper, A.; Goovaerts, M. J.; Kaas, R.
7
1997
The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107
De Vylder, F.; Goovaerts, M.; Marceau, E.
4
1997
The solution of Schmitter’s simple problem: Numerical illustration. Zbl 0906.62108
De Vylder, F.; Goovaerts, M.; Marceau, E.
2
1997
IBNR reserves under stochastic interest rates. Zbl 0932.62113
Goovaerts, Marc; de Schepper, Ann
2
1997
Actuarial applications of financial models. Zbl 0959.62097
Goovaerts, M. J.; Dhaene, J.
2
1997
Practical actuarial credibility models. Zbl 0905.62101
Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J.
19
1996
The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079
Goovaerts, M. J.; Dhaene, J.
14
1996
Classical regression model under zero-excess assumptions. Zbl 0847.62053
De Vylder, F.; Goovaerts, M.; Cossette, H.
2
1995
An analytical inversion of a Laplace transform related to annuities certain. Zbl 0796.62092
De Schepper, A.; Teunen, M.; Goovaerts, M.
15
1994
The distributions of annuities. Zbl 0814.62069
Vanneste, M.; Goovaerts, M. J.; Labie, E.
13
1994
Double boundary crossing result for the Brownian motion. Zbl 0811.60066
Teunen, Marleen; Goovaerts, Marc
3
1994
A note on compound generalized distributions. Zbl 0779.62097
Kling, Bart; Goovaerts, Marc
8
1993
Boundary crossing result for the Brownian motion. Zbl 0788.60096
Teunen, M.; Goovaerts, M.
2
1993
The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091
de Schepper, A.; Goovaerts, M.; Delbaen, F.
22
1992
Interest randomness in annuities certain. Zbl 0778.62098
de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R.
15
1992
Some further results on annuities certain with random interest. Zbl 0784.62092
de Schepper, A.; Goovaerts, M.
9
1992
A stochastic approach to insurance cycles. Zbl 0760.62095
Goovaerts, M. J.; De Vylder, F.; Kaas, R.
8
1992
Estimation of the heterogeneity parameter in the Bühlmann-Straub credibility theory model. Zbl 0745.62097
de Vylder, F.; Goovaerts, M. J.
5
1992
Optimal parameter estimation under zero-excess assumptions in a classical model. Zbl 0752.62076
de Vylder, F.; Goovaerts, M. J.
5
1992
Optimal parameter estimation under zero excess assumptions in the Bühlmann–Straub model. Zbl 0783.62088
de Vylder, F.; Goovaerts, M.
5
1992
Bounds on stop-loss premiums and ruin probabilities. Zbl 0739.62079
Steenackers, A.; Goovaerts, M. J.
4
1991
A recursive evaluation of the finite time ruin probability based on a equation of Seal. Zbl 0729.62627
Kling, B. M.; Goovaerts, M. J.
2
1991
On a multilevel hierarchical credibility algorithm. Zbl 0714.62100
Bauwelinckx, T.; Goovaerts, M. J.
6
1990
Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
68
1989
Properties of the Esscher premium calculation principle. Zbl 0686.62090
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
10
1989
Best upper bounds on risks altered by deductibles under incomplete information. Zbl 0706.62096
Heijnen, B.; Goovaerts, M. J.
7
1989
Recursive calculation of finite-time ruin probabilities. Zbl 0629.62101
de Vylder, F.; Goovaerts, M. J.
39
1988
The analytical evaluation of one-dimensional Gaussian path-integrals. Zbl 0631.28004
Grosjean, C. C.; Goovaerts, M. J.
8
1988
Bounds on modified stop-loss premiums in case of unimodal distributions. Zbl 0624.62096
Heijnen, B.; Goovaerts, M. J.
4
1987
Premium rating under non-exponential utility. Zbl 0638.62100
Goovaerts, M. J.; Taylor, G. C.
2
1987
Numerical evaluation of compound distributions. Zbl 0624.62098
van den Berg, E.; Goovaerts, M. J.; Kaas, R.
1
1987
Upper bounds on stop-loss premiums in case of known moments up to the fourth order. Zbl 0607.62129
Jansen, K.; Haezendonck, J.; Goovaerts, M. J.
25
1986
Best bounds for positive distributions with fixed moments. Zbl 0593.62112
Kaas, R.; Goovaerts, M. J.
11
1986
Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134
Kaas, R.; Goovaerts, M. J.
7
1986
Ordering of risks and ruin probabilities. Zbl 0589.62089
Broeckx, F.; Goovaerts, M.; de Vylder, F.
6
1986
Additivity and premium calculation principles. Zbl 0606.62118
Heijnen, B.; Goovaerts, M. J.
5
1986
Application of the problem of moments to various insurance problems in non-life. Zbl 0605.62124
Kaas, R.; Goovaerts, M. J.
3
1986
Ordering of risks and weighted compound distributions. Zbl 0604.62104
Goovaerts, M. J.; Vandebroeck, M.; Kaas, R.
2
1986
...and 35 more Documents
all top 5

Cited by 1,306 Authors

95 Goovaerts, Marc J.
57 Dhaene, Jan
39 Kaas, Rob
37 Denuit, Michel M.
35 Cheung, Ka Chun
28 de Vylder, Florent Etienne
22 Vanduffel, Steven
21 Wang, Ruodu
20 Lefèvre, Claude
18 De Schepper, Ann
17 Laeven, Roger J. A.
17 Li, Xiaohu
16 Hürlimann, Werner
16 Marceau, Étienne
16 Tang, Qihe
14 Chi, Yichun
14 Deelstra, Griselda
14 Linders, Daniël
11 Cai, Jun
11 Furman, Edward
11 Hu, Taizhong
11 Schoutens, Wim
11 Tan, Ken Seng
11 Vanmaele, Michèle
11 Yang, Jingping
10 Balbás, Alejandro
10 Cossette, Hélène
10 Embrechts, Paul
10 Kałuszka, Marek
10 Kremer, Erhard K.
10 Landsman, Zinoviy M.
10 Sordo, Miguel A.
10 Vernic, Raluca
10 Yang, Hailiang
10 You, Yinping
9 Asimit, Alexandru V.
9 Mao, Tiantian
9 Rüschendorf, Ludger
9 Tsanakas, Andreas
9 Valdez, Emiliano A.
9 Yam, Sheung Chi Phillip
9 Young, Virginia R.
9 Zhang, Yi
9 Zitikis, Ričardas
8 Ahn, Jae Youn
8 Heijnen, Bart
8 Lo, Ambrose
8 Puccetti, Giovanni
7 Balbás, Beatriz
7 Balbás, Raquel
7 Boonen, Tim J.
7 Gerber, Hans U.
7 Guillen, Montserrat
7 Hoedemakers, Tom
7 Loisel, Stéphane
7 Mesfioui, Mhamed
7 Šiaulys, Jonas
7 van Heerwaarden, A. E.
7 Vyncke, David
7 Wang, Yongjin
7 Yuen, Kam Chuen
6 Albrecher, Hansjörg
6 Badescu, Alexandru M.
6 Beirlant, Jan
6 Bellini, Fabio
6 Blake, David
6 Dickson, David C. M.
6 Frostig, Esther
6 Genest, Christian
6 Haezendonck, Jean
6 Kim, Joseph Hyun Tae
6 Milevsky, Moshe Arye
6 Peng, Liang
6 Pitselis, Georgios
6 Psarrakos, Georgios
6 Rosazza Gianin, Emanuela
6 Siu, Tak Kuen
6 Song, Shiyu
6 Trufin, Julien
6 Weng, Chengguo
6 Yang, Fan
6 Zhang, Yiying
5 Artikis, Constantinos T.
5 Artikis, Panagiotis T.
5 Bernard, Carole
5 Bondesson, Lennart
5 De Waegenaere, Anja
5 Delbaen, Freddy
5 Gebizlioğlu, Ömer L.
5 Hua, Lei
5 Kolev, Nikolai
5 Kukush, Oleksandr Georgiĭovych
5 Lejay, Antoine
5 Mamon, Rogemar S.
5 Picard, Philippe
5 Politis, Konstadinos
5 Suarez-Llorens, Alfonso
5 Svindland, Gregor
5 Tank, Fatih
5 Tsai, Cary Chi-Liang
...and 1,206 more Authors
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Cited in 159 Serials

522 Insurance Mathematics & Economics
69 Journal of Computational and Applied Mathematics
50 Scandinavian Actuarial Journal
50 ASTIN Bulletin
40 North American Actuarial Journal
29 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
27 Scandinavian Actuarial Journal
25 Statistics & Probability Letters
24 European Journal of Operational Research
22 Methodology and Computing in Applied Probability
19 European Actuarial Journal
16 Communications in Statistics. Theory and Methods
14 Journal of Applied Probability
14 Quantitative Finance
12 Finance and Stochastics
11 Journal of Multivariate Analysis
9 Annals of Operations Research
8 International Journal of Theoretical and Applied Finance
8 Stochastic Models
7 Applied Mathematics and Computation
7 Bernoulli
6 Lithuanian Mathematical Journal
6 Acta Mathematicae Applicatae Sinica. English Series
6 Extremes
6 Dependence Modeling
5 Advances in Applied Probability
5 Journal of Mathematical Analysis and Applications
5 Metrika
5 Stochastic Processes and their Applications
5 Applied Mathematical Finance
5 Mathematical Problems in Engineering
5 Mathematical Methods of Operations Research
5 Mathematics and Financial Economics
5 SIAM Journal on Financial Mathematics
5 Annals of Finance
4 Journal of Theoretical Probability
4 The Annals of Applied Probability
4 Aequationes Mathematicae
4 Communications in Statistics. Simulation and Computation
4 Applied Mathematics. Series B (English Edition)
4 Mathematical Finance
4 Journal of Applied Statistics
3 Theory of Probability and its Applications
3 Mathematics of Operations Research
3 Operations Research
3 Journal of Information & Optimization Sciences
3 Stochastic Analysis and Applications
3 International Journal of Approximate Reasoning
3 Journal of Interdisciplinary Mathematics
3 Probability in the Engineering and Informational Sciences
3 Applied Stochastic Models in Business and Industry
3 Decisions in Economics and Finance
3 Frontiers of Mathematics in China
2 Computers & Mathematics with Applications
2 Physica A
2 Journal of Econometrics
2 Journal of Optimization Theory and Applications
2 Journal of Statistical Planning and Inference
2 Mathematics and Computers in Simulation
2 Statistica Neerlandica
2 Theory and Decision
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Journal of Economics
2 Queueing Systems
2 Economics Letters
2 Theory of Probability and Mathematical Statistics
2 Top
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 CEJOR. Central European Journal of Operations Research
2 The ANZIAM Journal
2 Nonlinear Analysis. Real World Applications
2 Journal of Systems Science and Complexity
2 4OR
2 Stochastics
2 Journal of the Korean Statistical Society
2 Set-Valued and Variational Analysis
2 Statistics & Risk Modeling
2 Modern Stochastics. Theory and Applications
1 Computer Methods in Applied Mechanics and Engineering
1 Journal of Computational Physics
1 Journal of Mathematical Physics
1 Annals of the Institute of Statistical Mathematics
1 Archiv der Mathematik
1 Duke Mathematical Journal
1 Fuzzy Sets and Systems
1 Information Sciences
1 International Journal of Mathematics and Mathematical Sciences
1 International Statistical Review
1 Journal of Approximation Theory
1 Journal of Economic Theory
1 Journal of Soviet Mathematics
1 Results in Mathematics
1 SIAM Journal on Control and Optimization
1 Theoretical Computer Science
1 Revue de Statistique Appliquée
1 Social Choice and Welfare
1 Statistics
1 Probability Theory and Related Fields
1 Statistical Science
1 Asia-Pacific Journal of Operational Research
...and 59 more Serials
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Cited in 38 Fields

928 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
608 Statistics (62-XX)
420 Probability theory and stochastic processes (60-XX)
81 Operations research, mathematical programming (90-XX)
47 Numerical analysis (65-XX)
18 Systems theory; control (93-XX)
16 Functional analysis (46-XX)
15 Calculus of variations and optimal control; optimization (49-XX)
11 Special functions (33-XX)
10 Integral transforms, operational calculus (44-XX)
10 Computer science (68-XX)
8 Partial differential equations (35-XX)
7 Biology and other natural sciences (92-XX)
6 General and overarching topics; collections (00-XX)
6 Measure and integration (28-XX)
6 Difference and functional equations (39-XX)
5 Real functions (26-XX)
5 Quantum theory (81-XX)
4 Linear and multilinear algebra; matrix theory (15-XX)
4 Approximations and expansions (41-XX)
4 Operator theory (47-XX)
4 Statistical mechanics, structure of matter (82-XX)
3 Field theory and polynomials (12-XX)
3 General topology (54-XX)
3 Global analysis, analysis on manifolds (58-XX)
3 Fluid mechanics (76-XX)
2 Mathematical logic and foundations (03-XX)
2 Number theory (11-XX)
2 Ordinary differential equations (34-XX)
1 Combinatorics (05-XX)
1 Topological groups, Lie groups (22-XX)
1 Functions of a complex variable (30-XX)
1 Dynamical systems and ergodic theory (37-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral equations (45-XX)
1 Convex and discrete geometry (52-XX)
1 Astronomy and astrophysics (85-XX)

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