Edit Profile Goovaerts, Marc J. Compute Distance To: Compute Author ID: 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 all top 5 Fields 131 Statistics (62-XX) 72 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 42 Probability theory and stochastic processes (60-XX) 26 Numerical analysis (65-XX) 24 General and overarching topics; collections (00-XX) 7 Operations research, mathematical programming (90-XX) 6 Real functions (26-XX) 6 Integral transforms, operational calculus (44-XX) 5 Special functions (33-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Approximations and expansions (41-XX) 2 Quantum theory (81-XX) 1 Measure and integration (28-XX) 1 Potential theory (31-XX) 1 Ordinary differential equations (34-XX) 1 Difference and functional equations (39-XX) 1 Functional analysis (46-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Systems theory; control (93-XX) Publications by Year all cited Publications top 5 cited Publications 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 1051.62107Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 246 2002 The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 153 2002 Insurance premiums. Theory and applications. Zbl 0532.62082Goovaerts, M. J.; de Vylder, F.; Haezendonck, J. 135 1984 Risk measures and comonotonicity: a review. Zbl 1159.91403Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. 127 2006 Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 85 2008 Upper and lower bounds for sums of random variables. Zbl 0989.60019Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. 76 2000 Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 68 1989 Modern actuarial risk theory. Zbl 1086.91035Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 64 2003 The tail probability of discount sums of Pareto-like losses in insurance. Zbl 1144.91026Goovaerts, 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 0931.62089Dhaene, J.; Goovaerts, M. J. 46 1997 Some new classes of consistent risk measures. Zbl 1188.91087Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe 45 2004 Economic capital allocation derived from risk measures. Zbl 1084.91515Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 42 2003 Actuarial risk measures for financial derivative pricing. Zbl 1152.91444Goovaerts, Marc J.; Laeven, Roger J. A. 40 2008 Recursive calculation of finite-time ruin probabilities. Zbl 0629.62101de Vylder, F.; Goovaerts, M. J. 39 1988 A new premium calculation principle based on Orlicz norms. Zbl 0495.62091Haezendonck, J.; Goovaerts, M. 39 1982 An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037Laeven, Roger J. A.; Goovaerts, Marc J. 37 2004 An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021Simon, S.; Goovaerts, M. J.; Dhaene, J. 31 2000 A comonotonic image of independence for additive risk measures. Zbl 1122.91341Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe 31 2004 Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J. 31 2000 Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027Vanmaele, 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 1154.91021Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R. 30 2008 Decision principles derived from risk measures. Zbl 1231.91191Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 28 2010 A simple geometric proof that comonotonic risks have the convex-largest sum. Zbl 1061.62511Kaas, R.; Dhaene, J.; Vyncke, D.; Goovaerts, M. J.; Denuit, M. 26 2002 Risk measurement with equivalent utility principles. Zbl 1171.91326Denuit, 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 0607.62129Jansen, K.; Haezendonck, J.; Goovaerts, M. J. 25 1986 On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Zbl 1284.91235Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; Tank, Fatih 23 2012 Analytical best upper bounds on stop-loss premiums. Zbl 0508.62088de Vylder, F.; Goovaerts, M. J. 22 1982 The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091de Schepper, A.; Goovaerts, M.; Delbaen, F. 22 1992 Explicit finite-time and infinite-time ruin probabilities in the continuous case. Zbl 0963.91062De Vylder, F. Etienne; Goovaerts, Marc J. 20 1999 Self exciting threshold interest rates models. Zbl 1140.91384Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 20 2006 Practical actuarial credibility models. Zbl 0905.62101Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J. 19 1996 Bounds for classical ruin probabilities. Zbl 0547.62068de Vylder, F.; Goovaerts, M. 18 1984 A unified approach to generate risk measures. Zbl 1098.91539Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe 18 2003 Interest randomness in annuities certain. Zbl 0778.62098de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R. 15 1992 An analytical inversion of a Laplace transform related to annuities certain. Zbl 0796.62092De Schepper, A.; Teunen, M.; Goovaerts, M. 15 1994 Supermodular ordering and stochastic annuities. Zbl 0942.60008Goovaerts, M. J.; Dhaene, J. 15 1999 Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 15 2006 Some asymptotic results for sums of dependent random variables, with actuarial applications. Zbl 1099.91068Laeven, Roger J. A.; Goovaerts, Marc J.; Hoedemakers, Tom 14 2005 Numerical best bounds on stop-loss premiums. Zbl 0498.62089Goovaerts, M. J.; Haezendonck, J.; de Vylder, F. 14 1982 The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079Goovaerts, M. J.; Dhaene, J. 14 1996 Worst case risk measurement: back to the future? Zbl 1228.91037Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 14 2011 On the representation of additive principles of premium calculation. Zbl 0484.62109Gerber, Hans U.; Goovaerts, Marc J. 14 1981 The distributions of annuities. Zbl 0814.62069Vanneste, M.; Goovaerts, M. J.; Labie, E. 13 1994 Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 13 2009 A note on additive risk measures in rank-dependent utility. Zbl 1231.91190Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 12 2010 Best bounds for positive distributions with fixed moments. Zbl 0593.62112Kaas, 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 0487.62087de Vylder, F.; Goovaerts, M. 11 1982 The hurdle-race problem. Zbl 1103.91353Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. 11 2003 Homogeneous risk models with equalized claim amounts. Zbl 1103.91361De Vylder, F.; Goovaerts, M. 10 2000 Properties of the Esscher premium calculation principle. Zbl 0686.62090van 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 0559.62086Goovaerts, M. J.; Kaas, R. 9 1985 Ordering of risks: a review. Zbl 0492.62090Goovaerts, M. J.; de Vylder, F.; Haezendonck, J. 9 1982 Some further results on annuities certain with random interest. Zbl 0784.62092de Schepper, A.; Goovaerts, M. 9 1992 A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan 9 2011 Confidence bounds for discounted loss reserves. Zbl 1103.91367Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 9 2003 The analytical evaluation of one-dimensional Gaussian path-integrals. Zbl 0631.28004Grosjean, C. C.; Goovaerts, M. J. 8 1988 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Zbl 0893.62105Vanneste, M.; Goovaerts, M. J.; De Schepper, A.; Dhaene, J. 8 1997 A stochastic approach to insurance cycles. Zbl 0760.62095Goovaerts, M. J.; De Vylder, F.; Kaas, R. 8 1992 A note on compound generalized distributions. Zbl 0779.62097Kling, 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 0446.62107Goovaerts, M. J.; De Vylder, F. 8 1980 Inequality extensions of Prabhu’s formula in ruin theory. Zbl 0982.91032De Vylder, F. E.; Goovaerts, M. J. 8 1999 Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134Kaas, R.; Goovaerts, M. J. 7 1986 A recursive scheme for perpetuities with random positive interest rates. I: Analytical results. Zbl 0928.62101De Schepper, A.; Goovaerts, M. J.; Kaas, R. 7 1997 Approximations for life annuity contracts in a stochastic financial environment. Zbl 1125.91064Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc 7 2005 Convex upper and lower bounds for present value functions. Zbl 0971.91030Vyncke, D.; Goovaerts, M.; Dhaene, J. 7 2001 Best upper bounds on risks altered by deductibles under incomplete information. Zbl 0706.62096Heijnen, B.; Goovaerts, M. J. 7 1989 Bounds for present value functions with stochastic interest rates and stochastic volatility. Zbl 1092.91527De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; Vyncke, David 7 2002 Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 7 2010 Ordering of risks and ruin probabilities. Zbl 0589.62089Broeckx, F.; Goovaerts, M.; de Vylder, F. 6 1986 On a multilevel hierarchical credibility algorithm. Zbl 0714.62100Bauwelinckx, T.; Goovaerts, M. J. 6 1990 On the distribution of IBNR reserves. Zbl 0949.62087Goovaerts, Marc; Redant, Hendrik 6 1999 Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A. 6 2005 Capital requirements, risk measures and comonotonicity. Zbl 1357.91018Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David 6 2004 Additivity and premium calculation principles. Zbl 0606.62118Heijnen, B.; Goovaerts, M. J. 5 1986 Maximization of the variance of a stop-loss reinsured risk. Zbl 0513.62102de Vylder, F.; Goovaerts, M. 5 1983 Estimation of the heterogeneity parameter in the Bühlmann-Straub credibility theory model. Zbl 0745.62097de Vylder, F.; Goovaerts, M. J. 5 1992 Optimal parameter estimation under zero-excess assumptions in a classical model. Zbl 0752.62076de Vylder, F.; Goovaerts, M. J. 5 1992 Optimal parameter estimation under zero excess assumptions in the Bühlmann–Straub model. Zbl 0783.62088de Vylder, F.; Goovaerts, M. 5 1992 Path-integral evaluation of a non-stationary Calogero model. Zbl 0294.70011Goovaerts, M. J. 5 1975 On the infinite divisibility of the product of two \(\Gamma\)-distributed stochastical variables. Zbl 0363.60020Goovaerts, M. J.; D’Hooge, L.; De Pril, N. 5 1977 On the infinite divisibility of the ratio of two gamma-distributed variables. Zbl 0384.60015Goovaerts, M. J.; D’Hooge, L.; De Pril, N. 5 1978 On the distribution of discounted loss reserves using generalized linear models. Zbl 1145.91033Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 5 2005 A note on some new perpetuities. Zbl 1142.91038Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim 5 2005 Bounds on modified stop-loss premiums in case of unimodal distributions. Zbl 0624.62096Heijnen, B.; Goovaerts, M. J. 4 1987 The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107De 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 0519.62092de Vylder, F.; Goovaerts, M. 4 1983 Bounds on stop-loss premiums and ruin probabilities. Zbl 0739.62079Steenackers, A.; Goovaerts, M. J. 4 1991 On a class of generalized \(\Gamma\)-convolutions. I. Zbl 0353.60027Goovaerts, 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 0362.60035Goovaerts, M. J.; D’Hooge, L.; Van Goethem, P. 4 1977 Some problems in actuarial finance involving sums of dependent risks. Zbl 1076.62558Goovaerts, M. J.; Kaas, R. 4 2002 Application of the problem of moments to various insurance problems in non-life. Zbl 0605.62124Kaas, R.; Goovaerts, M. J. 3 1986 Bounds on compound distributions and stop-loss premiums. Zbl 0584.62173Runnenburg, J. Th.; Goovaerts, M. J. 3 1985 The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean. Zbl 1053.62554De Schepper, Ann; Goovaerts, Marc J. 3 1999 Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 3 2011 Double boundary crossing result for the Brownian motion. Zbl 0811.60066Teunen, Marleen; Goovaerts, Marc 3 1994 An invariance property of the Swiss premium calculation principle. Zbl 0419.62089De Vylder, Floriaan; Goovaerts, Marc 3 1979 The Wiener process with drift between a linear retaining and an absorbing barrier. Zbl 0467.60074Gerber, Hans U.; Goovaerts, Marc; De Pril, Nelson 3 1981 Closed-form approximations for diffusion densities: A path integral approach. Zbl 1039.60070Goovaerts, Marc; De Schepper, Ann; Decamps, Marc 3 2004 Prediction of claim numbers based on hazard rates. Zbl 0948.62074Spreeuw, Jaap; Goovaerts, Marc 3 1998 Convex order approximations in the case of cash flows of mixed signs. Zbl 1284.91517Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen 3 2012 On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Zbl 1284.91235Goovaerts, Marc; Linders, Daniël; Van Weert, Koen; Tank, Fatih 23 2012 Convex order approximations in the case of cash flows of mixed signs. Zbl 1284.91517Dhaene, Jan; Goovaerts, Marc; Vanmaele, Michèle; Van Weert, Koen 3 2012 Worst case risk measurement: back to the future? Zbl 1228.91037Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 14 2011 A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan 9 2011 Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Zbl 1211.91228Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 3 2011 Decision principles derived from risk measures. Zbl 1231.91191Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 28 2010 A note on additive risk measures in rank-dependent utility. Zbl 1231.91190Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 12 2010 Optimal portfolio selection for general provisioning and terminal wealth problems. Zbl 1231.91422van Weert, Koen; Dhaene, Jan; Goovaerts, Marc 7 2010 Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 13 2009 Spectral decomposition of optimal asset-liability management. Zbl 1170.91376Decamps, Marc; De Schepper, Ann; Goovaerts, Marc 2 2009 Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 85 2008 Actuarial risk measures for financial derivative pricing. Zbl 1152.91444Goovaerts, Marc J.; Laeven, Roger J. A. 40 2008 Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Zbl 1154.91021Vanduffel, S.; Chen, X.; Dhaene, J.; Goovaerts, M.; Henrard, L.; Kaas, R. 30 2008 Risk measures and comonotonicity: a review. Zbl 1159.91403Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D. 127 2006 Bounds for the price of discrete arithmetic Asian options. Zbl 1131.91027Vanmaele, M.; Deelstra, G.; Liinev, J.; Dhaene, J.; Goovaerts, M. J. 30 2006 Risk measurement with equivalent utility principles. Zbl 1171.91326Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger 26 2006 Self exciting threshold interest rates models. Zbl 1140.91384Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 20 2006 Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 15 2006 Computation of convex bounds for present value functions with random payments. Zbl 1119.91039Ahcan, Ales; Darkiewicz, Grzegorz; Goovaerts, Marc; Hoedemakers, Tom 2 2006 Consistent assumptions for modeling credit loss correlations. Zbl 1192.91187Dhaene, 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 1144.91026Goovaerts, 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 1099.91068Laeven, Roger J. A.; Goovaerts, Marc J.; Hoedemakers, Tom 14 2005 Approximations for life annuity contracts in a stochastic financial environment. Zbl 1125.91064Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc 7 2005 Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A. 6 2005 On the distribution of discounted loss reserves using generalized linear models. Zbl 1145.91033Hoedemakers, Tom; Beirlant, Jan; Goovaerts, Marc J.; Dhaene, Jan 5 2005 A note on some new perpetuities. Zbl 1142.91038Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim 5 2005 Risk measures and dependencies of risks. Zbl 1272.62066Darkiewicz, Grzegorz; Dhaene, Jan; Goovaerts, Marc 3 2005 Aggregating economic capital. Zbl 1398.91680Dhaene, J.; Goovaerts, M.; Lundin, M.; Vanduffel, S. 1 2005 Some new classes of consistent risk measures. Zbl 1188.91087Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe 45 2004 An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037Laeven, Roger J. A.; Goovaerts, Marc J. 37 2004 A comonotonic image of independence for additive risk measures. Zbl 1122.91341Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.; Tang, Qihe 31 2004 Capital requirements, risk measures and comonotonicity. Zbl 1357.91018Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David 6 2004 Closed-form approximations for diffusion densities: A path integral approach. Zbl 1039.60070Goovaerts, Marc; De Schepper, Ann; Decamps, Marc 3 2004 Some useful counterexamples regarding comonotonicity. Zbl 1357.91019Kaas, Rob; Goovaerts, Marc; Tang, Qihe 3 2004 Modern actuarial risk theory. Zbl 1086.91035Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 64 2003 Economic capital allocation derived from risk measures. Zbl 1084.91515Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob 42 2003 A unified approach to generate risk measures. Zbl 1098.91539Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe 18 2003 The hurdle-race problem. Zbl 1103.91353Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. 11 2003 Confidence bounds for discounted loss reserves. Zbl 1103.91367Hoedemakers, 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 1357.91049Dhaene, Jan; Vanduffel, Steven; Goovaerts, Marc; Olieslagers, Ruben; Koch, Robert 2 2003 Stable laws and the present value of fixed cash flows. Zbl 1084.91508Goovaerts, Marc J.; De Schepper, Ann; Vyncke, David; Dhaene, Jan; Kaas, Rob 1 2003 The concept of comonotonicity in actuarial science and finance: theory. Zbl 1051.62107Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; Vyncke, D. 246 2002 The concept of comonotonicity in actuarial science and finance: applications. Zbl 1037.62107Dhaene, 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 1061.62511Kaas, 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 1092.91527De Schepper, Ann; Goovaerts, Marc; Dhaene, Jan; Kaas, Rob; Vyncke, David 7 2002 Some problems in actuarial finance involving sums of dependent risks. Zbl 1076.62558Goovaerts, M. J.; Kaas, R. 4 2002 Convex upper and lower bounds for present value functions. Zbl 0971.91030Vyncke, D.; Goovaerts, M.; Dhaene, J. 7 2001 Upper and lower bounds for sums of random variables. Zbl 0989.60019Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. 76 2000 An easy computable upper bound for the price of an arithmetic Asian option. Zbl 0964.91021Simon, S.; Goovaerts, M. J.; Dhaene, J. 31 2000 Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J. 31 2000 Homogeneous risk models with equalized claim amounts. Zbl 1103.91361De Vylder, F.; Goovaerts, M. 10 2000 Explicit finite-time and infinite-time ruin probabilities in the continuous case. Zbl 0963.91062De Vylder, F. Etienne; Goovaerts, Marc J. 20 1999 Supermodular ordering and stochastic annuities. Zbl 0942.60008Goovaerts, M. J.; Dhaene, J. 15 1999 Inequality extensions of Prabhu’s formula in ruin theory. Zbl 0982.91032De Vylder, F. E.; Goovaerts, M. J. 8 1999 On the distribution of IBNR reserves. Zbl 0949.62087Goovaerts, Marc; Redant, Hendrik 6 1999 The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean. Zbl 1053.62554De Schepper, Ann; Goovaerts, Marc J. 3 1999 Solvency margins and equalization reserves. Zbl 0931.62088de Vylder, F.; Goovaerts, M. 2 1999 A recursive scheme for perpetuities with random positive interest rates. II: The impenetrable wall. Zbl 0928.62102De Schepper, Ann; Goovaerts, Mark; Heijnen, Bart 1 1999 Prediction of claim numbers based on hazard rates. Zbl 0948.62074Spreeuw, Jaap; Goovaerts, Marc 3 1998 A note on the stop-loss preserving property of Wang’s premium principle. Zbl 1333.62258Ribas, Carmen; Goovaerts, Marc J.; Dhaene, Jan 1 1998 On the dependency of risks in the individual life model. Zbl 0931.62089Dhaene, J.; Goovaerts, M. J. 46 1997 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Zbl 0893.62105Vanneste, 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 0928.62101De Schepper, A.; Goovaerts, M. J.; Kaas, R. 7 1997 The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107De Vylder, F.; Goovaerts, M.; Marceau, E. 4 1997 The solution of Schmitter’s simple problem: Numerical illustration. Zbl 0906.62108De Vylder, F.; Goovaerts, M.; Marceau, E. 2 1997 IBNR reserves under stochastic interest rates. Zbl 0932.62113Goovaerts, Marc; de Schepper, Ann 2 1997 Actuarial applications of financial models. Zbl 0959.62097Goovaerts, M. J.; Dhaene, J. 2 1997 Practical actuarial credibility models. Zbl 0905.62101Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J. 19 1996 The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079Goovaerts, M. J.; Dhaene, J. 14 1996 Classical regression model under zero-excess assumptions. Zbl 0847.62053De Vylder, F.; Goovaerts, M.; Cossette, H. 2 1995 An analytical inversion of a Laplace transform related to annuities certain. Zbl 0796.62092De Schepper, A.; Teunen, M.; Goovaerts, M. 15 1994 The distributions of annuities. Zbl 0814.62069Vanneste, M.; Goovaerts, M. J.; Labie, E. 13 1994 Double boundary crossing result for the Brownian motion. Zbl 0811.60066Teunen, Marleen; Goovaerts, Marc 3 1994 A note on compound generalized distributions. Zbl 0779.62097Kling, Bart; Goovaerts, Marc 8 1993 Boundary crossing result for the Brownian motion. Zbl 0788.60096Teunen, M.; Goovaerts, M. 2 1993 The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091de Schepper, A.; Goovaerts, M.; Delbaen, F. 22 1992 Interest randomness in annuities certain. Zbl 0778.62098de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R. 15 1992 Some further results on annuities certain with random interest. Zbl 0784.62092de Schepper, A.; Goovaerts, M. 9 1992 A stochastic approach to insurance cycles. Zbl 0760.62095Goovaerts, M. J.; De Vylder, F.; Kaas, R. 8 1992 Estimation of the heterogeneity parameter in the Bühlmann-Straub credibility theory model. Zbl 0745.62097de Vylder, F.; Goovaerts, M. J. 5 1992 Optimal parameter estimation under zero-excess assumptions in a classical model. Zbl 0752.62076de Vylder, F.; Goovaerts, M. J. 5 1992 Optimal parameter estimation under zero excess assumptions in the Bühlmann–Straub model. Zbl 0783.62088de Vylder, F.; Goovaerts, M. 5 1992 Bounds on stop-loss premiums and ruin probabilities. Zbl 0739.62079Steenackers, A.; Goovaerts, M. J. 4 1991 A recursive evaluation of the finite time ruin probability based on a equation of Seal. Zbl 0729.62627Kling, B. M.; Goovaerts, M. J. 2 1991 On a multilevel hierarchical credibility algorithm. Zbl 0714.62100Bauwelinckx, T.; Goovaerts, M. J. 6 1990 Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 68 1989 Properties of the Esscher premium calculation principle. Zbl 0686.62090van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 10 1989 Best upper bounds on risks altered by deductibles under incomplete information. Zbl 0706.62096Heijnen, B.; Goovaerts, M. J. 7 1989 Recursive calculation of finite-time ruin probabilities. Zbl 0629.62101de Vylder, F.; Goovaerts, M. J. 39 1988 The analytical evaluation of one-dimensional Gaussian path-integrals. Zbl 0631.28004Grosjean, C. C.; Goovaerts, M. J. 8 1988 Bounds on modified stop-loss premiums in case of unimodal distributions. Zbl 0624.62096Heijnen, B.; Goovaerts, M. J. 4 1987 Premium rating under non-exponential utility. Zbl 0638.62100Goovaerts, M. J.; Taylor, G. C. 2 1987 Numerical evaluation of compound distributions. Zbl 0624.62098van 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 0607.62129Jansen, K.; Haezendonck, J.; Goovaerts, M. J. 25 1986 Best bounds for positive distributions with fixed moments. Zbl 0593.62112Kaas, R.; Goovaerts, M. J. 11 1986 Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134Kaas, R.; Goovaerts, M. J. 7 1986 Ordering of risks and ruin probabilities. Zbl 0589.62089Broeckx, F.; Goovaerts, M.; de Vylder, F. 6 1986 Additivity and premium calculation principles. Zbl 0606.62118Heijnen, B.; Goovaerts, M. J. 5 1986 Application of the problem of moments to various insurance problems in non-life. Zbl 0605.62124Kaas, R.; Goovaerts, M. J. 3 1986 Ordering of risks and weighted compound distributions. Zbl 0604.62104Goovaerts, M. J.; Vandebroeck, M.; Kaas, R. 2 1986 ...and 35 more Documents all cited Publications top 5 cited Publications 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 all top 5 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. 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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 all top 5 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) Citations by Year