Edit Profile (opens in new tab) Goovaerts, Marc J. (b. 1946 d. 2018) Co-Author Distance Author ID: goovaerts.marc-j Published as: Goovaerts, M. J.; Goovaerts, M.; Goovaerts, Marc; Goovaerts, Marc J.; Goovaerts, Mark J.; Goovaerts, Mark more...less External Links: MGP · ResearchGate · dblp · GND Documents Indexed: 173 Publications since 1973, including 6 Books 23 Contributions as Editor Biographic References: 1 Publication Co-Authors: 83 Co-Authors with 190 Joint Publications 869 Co-Co-Authors 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, Martine 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 Taylor, Gregory Clive 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 Runnenburg, Johannes Theodorus 1 Shang, Zhaoning 1 Shiu, Elias S. W. 1 Spreeuw, Jaap 1 Stiers, D. 1 Stoop, C. 1 Tang Qihe 1 Tank, Fatih 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 1 Insurance Series 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 2,578 times in 1,454 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 Insurance premiums. Theory and applications. Zbl 0532.62082 Goovaerts, M. J.; de Vylder, F.; Haezendonck, J. 152 1984 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 Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060 van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 78 1989 Modern actuarial risk theory. Zbl 1086.91035 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 75 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 56 2005 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 Actuarial risk measures for financial derivative pricing. Zbl 1152.91444 Goovaerts, Marc J.; Laeven, Roger J. A. 46 2008 Recursive calculation of finite-time ruin probabilities. Zbl 0629.62101 de Vylder, F.; Goovaerts, M. J. 45 1988 A new premium calculation principle based on Orlicz norms. Zbl 0495.62091 Haezendonck, J.; Goovaerts, M. 43 1982 An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037 Laeven, Roger J. A.; Goovaerts, Marc J. 41 2004 Comonotonicity and maximal stop-loss premiums. Zbl 1187.91099 Dhaene, Jan; Wang, Shaun; Young, Virginia; Goovaerts, Marc J. 38 2000 Decision principles derived from risk measures. Zbl 1231.91191 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 33 2010 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 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 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 Self exciting threshold interest rates models. Zbl 1140.91384 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 30 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. 29 1986 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 Analytical best upper bounds on stop-loss premiums. Zbl 0508.62088 de Vylder, F.; Goovaerts, M. J. 23 1982 The Laplace transform of annuities certain with exponential time distribution. Zbl 0784.62091 de Schepper, A.; Goovaerts, M.; Delbaen, F. 23 1992 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 Practical actuarial credibility models. Zbl 0905.62101 Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J. 22 1996 Explicit finite-time and infinite-time ruin probabilities in the continuous case. Zbl 0963.91062 De Vylder, F. Etienne; Goovaerts, Marc J. 20 1999 Bounds for classical ruin probabilities. Zbl 0547.62068 de Vylder, F.; Goovaerts, M. 19 1984 Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 19 2006 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 Worst case risk measurement: back to the future? Zbl 1228.91037 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 17 2011 An analytical inversion of a Laplace transform related to annuities certain. Zbl 0796.62092 De Schepper, A.; Teunen, M.; Goovaerts, M. 16 1994 Interest randomness in annuities certain. Zbl 0778.62098 de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R. 16 1992 Supermodular ordering and stochastic annuities. Zbl 0942.60008 Goovaerts, M. J.; Dhaene, J. 15 1999 The distributions of annuities. Zbl 0814.62069 Vanneste, M.; Goovaerts, M. J.; Labie, E. 15 1994 On the representation of additive principles of premium calculation. Zbl 0484.62109 Gerber, Hans U.; Goovaerts, Marc J. 14 1981 Numerical best bounds on stop-loss premiums. Zbl 0498.62089 Goovaerts, M. J.; Haezendonck, J.; de Vylder, F. 14 1982 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 The compound Poisson approximation for a portfolio of dependent risks. Zbl 0853.62079 Goovaerts, M. J.; Dhaene, J. 14 1996 A note on additive risk measures in rank-dependent utility. Zbl 1231.91190 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 13 2010 Best bounds for positive distributions with fixed moments. Zbl 0593.62112 Kaas, R.; Goovaerts, M. J. 13 1986 Properties of the Esscher premium calculation principle. Zbl 0686.62090 van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 12 1989 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 Application of the problem of moments to derive bounds on integrals with integral constraints. Zbl 0559.62086 Goovaerts, M. J.; Kaas, R. 11 1985 Homogeneous risk models with equalized claim amounts. Zbl 1103.91361 De Vylder, F.; Goovaerts, M. 11 2000 The hurdle-race problem. Zbl 1103.91353 Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. 11 2003 Ordering of risks: a review. Zbl 0492.62090 Goovaerts, M. J.; de Vylder, F.; Haezendonck, J. 10 1982 Some further results on annuities certain with random interest. Zbl 0784.62092 de Schepper, A.; Goovaerts, M. 10 1992 A recursive approach to mortality-linked derivative pricing. Zbl 1218.91156 Shang, Zhaoning; Goovaerts, Marc; Dhaene, Jan 9 2011 Inequality extensions of Prabhu’s formula in ruin theory. Zbl 0982.91032 De Vylder, F. E.; Goovaerts, M. J. 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 A stochastic approach to insurance cycles. Zbl 0760.62095 Goovaerts, M. J.; De Vylder, F.; Kaas, R. 9 1992 The analytical evaluation of one-dimensional Gaussian path-integrals. Zbl 0631.28004 Grosjean, C. C.; Goovaerts, M. J. 8 1988 Approximations for life annuity contracts in a stochastic financial environment. Zbl 1125.91064 Hoedemakers, Tom; Darkiewicz, Grzegorz; Goovaerts, Marc 8 2005 Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134 Kaas, R.; Goovaerts, M. J. 8 1986 On a multilevel hierarchical credibility algorithm. Zbl 0714.62100 Bauwelinckx, T.; Goovaerts, M. J. 8 1990 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 A note on compound generalized distributions. Zbl 0779.62097 Kling, Bart; Goovaerts, Marc 8 1993 On the distribution of IBNR reserves. Zbl 0949.62087 Goovaerts, Marc; Redant, Hendrik 7 1999 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 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 Ordering of risks and ruin probabilities. Zbl 0589.62089 Broeckx, F.; Goovaerts, M.; de Vylder, F. 7 1986 Best upper bounds on risks altered by deductibles under incomplete information. Zbl 0706.62096 Heijnen, B.; Goovaerts, M. J. 7 1989 Optimal parameter estimation under zero excess assumptions in the Bühlmann–Straub model. Zbl 0783.62088 de Vylder, F.; Goovaerts, M. 7 1992 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 Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442 Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A. 7 2005 Path-integral evaluation of a non-stationary Calogero model. Zbl 0294.70011 Goovaerts, M. J. 6 1975 The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107 De Vylder, F.; Goovaerts, M.; Marceau, E. 6 1997 A note on some new perpetuities. Zbl 1142.91038 Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim 5 2005 Maximization of the variance of a stop-loss reinsured risk. Zbl 0513.62102 de Vylder, F.; Goovaerts, M. 5 1983 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. 5 1983 On a class of generalized \(\Gamma\)-convolutions. I. Zbl 0353.60027 Goovaerts, M. J.; D’Hooge, L.; De Pril, N. 5 1977 Additivity and premium calculation principles. Zbl 0606.62118 Heijnen, B.; Goovaerts, M. J. 5 1986 Bounds on stop-loss premiums and ruin probabilities. Zbl 0739.62079 Steenackers, A.; Goovaerts, M. J. 5 1991 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 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 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 The Wiener process with drift between a linear retaining and an absorbing barrier. Zbl 0467.60074 Gerber, Hans U.; Goovaerts, Marc; De Pril, Nelson 4 1981 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. 4 1999 Some problems in actuarial finance involving sums of dependent risks. Zbl 1076.62558 Goovaerts, M. J.; Kaas, R. 4 2002 Bounds on compound distributions and stop-loss premiums. Zbl 0584.62173 Runnenburg, J. Th.; Goovaerts, M. J. 4 1985 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 Bounds on modified stop-loss premiums in case of unimodal distributions. Zbl 0624.62096 Heijnen, B.; Goovaerts, M. J. 4 1987 Some useful counterexamples regarding comonotonicity. Zbl 1357.91019 Kaas, Rob; Goovaerts, Marc; Tang, Qihe 4 2004 Classical regression model under zero-excess assumptions. Zbl 0847.62053 De Vylder, F.; Goovaerts, M.; Cossette, H. 3 1995 Prediction of claim numbers based on hazard rates. Zbl 0948.62074 Spreeuw, Jaap; Goovaerts, Marc 3 1998 Spectral decomposition of optimal asset-liability management. Zbl 1170.91376 Decamps, Marc; De Schepper, Ann; Goovaerts, Marc 3 2009 Closed-form approximations for diffusion densities: A path integral approach. Zbl 1039.60070 Goovaerts, Marc; De Schepper, Ann; Decamps, Marc 3 2004 Double boundary crossing result for the Brownian motion. Zbl 0811.60066 Teunen, Marleen; Goovaerts, Marc 3 1994 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. 17 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 Decision principles derived from risk measures. Zbl 1231.91191 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 33 2010 A note on additive risk measures in rank-dependent utility. Zbl 1231.91190 Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A. 13 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 18 2009 Spectral decomposition of optimal asset-liability management. Zbl 1170.91376 Decamps, Marc; De Schepper, Ann; Goovaerts, Marc 3 2009 Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027 Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel 118 2008 Actuarial risk measures for financial derivative pricing. Zbl 1152.91444 Goovaerts, Marc J.; Laeven, Roger J. A. 46 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 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 Self exciting threshold interest rates models. Zbl 1140.91384 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 30 2006 Risk measurement with equivalent utility principles. Zbl 1171.91326 Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger 28 2006 Asymmetric skew Bessel processes and their applications to finance. Zbl 1087.91022 Decamps, Marc; Goovaerts, Marc; Schoutens, Wim 19 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 56 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 8 2005 Managing economic and virtual economic capital within financial conglomerates. Zbl 1141.91442 Goovaerts, Marc J.; van den Borre, Eddy; Laeven, Roger J. A. 7 2005 A note on some new perpetuities. Zbl 1142.91038 Decamps, Marc; De Schepper, Ann; Goovaerts, Marc; Schoutens, Wim 5 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 Some new classes of consistent risk measures. Zbl 1188.91087 Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe 48 2004 An optimization approach to the dynamic allocation of economic capital. Zbl 1079.91037 Laeven, Roger J. A.; Goovaerts, Marc J. 41 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 7 2004 Some useful counterexamples regarding comonotonicity. Zbl 1357.91019 Kaas, Rob; Goovaerts, Marc; Tang, Qihe 4 2004 Closed-form approximations for diffusion densities: A path integral approach. Zbl 1039.60070 Goovaerts, Marc; De Schepper, Ann; Decamps, Marc 3 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 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 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. 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 Homogeneous risk models with equalized claim amounts. Zbl 1103.91361 De Vylder, F.; Goovaerts, M. 11 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. 9 1999 On the distribution of IBNR reserves. Zbl 0949.62087 Goovaerts, Marc; Redant, Hendrik 7 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. 4 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. 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 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. 6 1997 The solution of Schmitter’s simple problem: Numerical illustration. Zbl 0906.62108 De Vylder, F.; Goovaerts, M.; Marceau, E. 3 1997 Actuarial applications of financial models. Zbl 0959.62097 Goovaerts, M. J.; Dhaene, J. 2 1997 IBNR reserves under stochastic interest rates. Zbl 0932.62113 Goovaerts, Marc; de Schepper, Ann 2 1997 Practical actuarial credibility models. Zbl 0905.62101 Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J. 22 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. 3 1995 An analytical inversion of a Laplace transform related to annuities certain. Zbl 0796.62092 De Schepper, A.; Teunen, M.; Goovaerts, M. 16 1994 The distributions of annuities. Zbl 0814.62069 Vanneste, M.; Goovaerts, M. J.; Labie, E. 15 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. 23 1992 Interest randomness in annuities certain. Zbl 0778.62098 de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R. 16 1992 Some further results on annuities certain with random interest. Zbl 0784.62092 de Schepper, A.; Goovaerts, M. 10 1992 A stochastic approach to insurance cycles. Zbl 0760.62095 Goovaerts, M. J.; De Vylder, F.; Kaas, R. 9 1992 Optimal parameter estimation under zero excess assumptions in the Bühlmann–Straub model. Zbl 0783.62088 de Vylder, F.; Goovaerts, M. 7 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 Bounds on stop-loss premiums and ruin probabilities. Zbl 0739.62079 Steenackers, A.; Goovaerts, M. J. 5 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. 8 1990 Optimal reinsurance in relation to ordering of risks. Zbl 0683.62060 van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 78 1989 Properties of the Esscher premium calculation principle. Zbl 0686.62090 van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J. 12 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. 45 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. 29 1986 Best bounds for positive distributions with fixed moments. Zbl 0593.62112 Kaas, R.; Goovaerts, M. J. 13 1986 Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134 Kaas, R.; Goovaerts, M. J. 8 1986 Ordering of risks and ruin probabilities. Zbl 0589.62089 Broeckx, F.; Goovaerts, M.; de Vylder, F. 7 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 Insurance and risk theory. (Proceedings of the NATO Advanced Study Institute on Insurance and Risk Theory, Maratea, Italy, July 15-25, 1985). Zbl 0587.00013 2 1986 ...and 35 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 1,558 Authors 95 Goovaerts, Marc J. 62 Dhaene, Jan 39 Denuit, Michel M. 39 Kaas, Rob 37 Cheung, Ka Chun 28 de Vylder, Florent Etienne 26 Wang, Ruodu 24 Vanduffel, Steven 21 Lefèvre, Claude 19 Linders, Daniël 18 Chi, Yichun 18 De Schepper, Ann 18 Laeven, Roger J. A. 18 Li, Xiaohu 17 Tang, Qihe 16 Hürlimann, Werner 16 Marceau, Étienne 14 Deelstra, Griselda 14 Yang, Yang 13 Furman, Edward 13 Hu, Taizhong 13 Tan, Ken Seng 13 Yang, Jingping 12 Balbás, Alejandro 12 Schoutens, Wim 12 Sordo, Miguel Ángel 12 Zhang, Yiying 11 Boonen, Tim J. 11 Mao, Tiantian 11 Vanmaele, Michèle 11 You, Yinping 11 Zhang, Yi 10 Cossette, Hélène 10 Embrechts, Paul 10 Kałuszka, Marek 10 Kremer, Erhard K. 10 Landsman, Zinoviy M. 10 Puccetti, Giovanni 10 Šiaulys, Jonas 10 Tsanakas, Andreas 10 Vernic, Raluca 10 Yam, Sheung Chi Phillip 10 Yang, Hailiang 10 Young, Virginia R. 10 Zitikis, Ričardas 9 Albrecher, Hansjörg 9 Asimit, Alexandru V. 9 Lo, Ambrose 9 Loisel, Stéphane 9 Rüschendorf, Ludger 9 Valdez, Emiliano A. 9 Zhao, Peng 8 Ahn, Jae Youn 8 Balbás, Beatriz 8 Balbás, Raquel 8 Cai, Jun 8 Gerber, Hans U. 8 Heijnen, Bart 8 Mesfioui, Mhamed 8 Rosazza Gianin, Emanuela 8 Yuen, Kam Chuen 7 Bellini, Fabio 7 Guillen, Montserrat 7 Hoedemakers, Tom 7 Pitselis, Georgios 7 Robert, Christian-Yann 7 Siu, Tak Kuen 7 Suarez-Llorens, Alfonso 7 Trufin, Julien 7 van Heerwaarden, A. E. 7 Vyncke, David 7 Wang, Yongjin 7 Weng, Chengguo 7 Yang, Fan 6 Badescu, Alexandru M. 6 Balakrishnan, Narayanaswamy 6 Beirlant, Jan 6 Bernard, Carole L. 6 Blake, David 6 Dickson, David C. M. 6 Frostig, Esther 6 Genest, Christian 6 Haezendonck, Jean 6 Kim, Joseph Hyun Tae 6 Lejay, Antoine 6 Liu, Fangda 6 Milevsky, Moshe Arye 6 Peng, Liang 6 Psarrakos, Georgios 6 Song, Shiyu 6 Su, Jianxi 6 Tsai, Cary Chi-Liang 6 Wang, Shaun S. 6 Wen, Limin 6 Yao, Jing 6 Yin, Chuancun 5 Antonio, Katrien 5 Artikis, Constantinos T. 5 Artikis, Panagiotis T. 5 Bondesson, Lennart ...and 1,458 more Authors all top 5 Cited in 186 Serials 550 Insurance Mathematics & Economics 72 Journal of Computational and Applied Mathematics 58 Scandinavian Actuarial Journal 58 North American Actuarial Journal 57 ASTIN Bulletin 34 European Journal of Operational Research 30 Communications in Statistics. Theory and Methods 29 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 29 Methodology and Computing in Applied Probability 27 Scandinavian Actuarial Journal 26 European Actuarial Journal 25 Statistics & Probability Letters 17 Quantitative Finance 16 Journal of Applied Probability 12 Journal of Multivariate Analysis 12 Annals of Operations Research 12 Finance and Stochastics 12 International Journal of Theoretical and Applied Finance 9 Applied Mathematics and Computation 9 Bernoulli 8 Lithuanian Mathematical Journal 8 Stochastic Models 7 Communications in Statistics. Simulation and Computation 7 Journal of Industrial and Management Optimization 7 Dependence Modeling 6 Advances in Applied Probability 6 Acta Mathematicae Applicatae Sinica. 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Theory and Applications 2 Computers & Mathematics with Applications 2 Journal of Mathematical Physics 2 Information Sciences 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 SIAM Journal on Control and Optimization 2 Theory and Decision 2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 2 Statistical Science 2 Journal of Economics 2 Economics Letters 2 International Journal of Computer Mathematics 2 Theory of Probability and Mathematical Statistics 2 Top 2 CEJOR. Central European Journal of Operations Research 2 Lobachevskii Journal of Mathematics 2 The ANZIAM Journal 2 Nonlinear Analysis. Real World Applications 2 Nonlinear Analysis. Modelling and Control 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 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM 2 Communications in Mathematics and Statistics 2 Cogent Mathematics 1 The American Statistician 1 Computer Methods in Applied Mechanics and Engineering 1 Journal of Computational Physics 1 Annals of the Institute of Statistical Mathematics 1 The Annals of Statistics 1 Archiv der Mathematik 1 Duke Mathematical Journal 1 Fuzzy Sets and Systems 1 International Journal of Mathematics and Mathematical Sciences 1 International Statistical Review ...and 86 more Serials all top 5 Cited in 40 Fields 1,075 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 682 Statistics (62-XX) 471 Probability theory and stochastic processes (60-XX) 100 Operations research, mathematical programming (90-XX) 53 Numerical analysis (65-XX) 22 Systems theory; control (93-XX) 17 Calculus of variations and optimal control; optimization (49-XX) 16 Functional analysis (46-XX) 13 Special functions (33-XX) 12 Computer science (68-XX) 10 Integral transforms, operational calculus (44-XX) 9 Partial differential equations (35-XX) 8 Difference and functional equations (39-XX) 7 Measure and integration (28-XX) 7 Biology and other natural sciences (92-XX) 6 General and overarching topics; collections (00-XX) 6 Real functions (26-XX) 6 Quantum theory (81-XX) 5 Approximations and expansions (41-XX) 5 Operator theory (47-XX) 4 Linear and multilinear algebra; matrix theory (15-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Fluid mechanics (76-XX) 4 Statistical mechanics, structure of matter (82-XX) 3 Field theory and polynomials (12-XX) 3 General topology (54-XX) 2 Mathematical logic and foundations (03-XX) 2 Number theory (11-XX) 2 Ordinary differential equations (34-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Integral equations (45-XX) 1 Combinatorics (05-XX) 1 Topological groups, Lie groups (22-XX) 1 Functions of a complex variable (30-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Abstract harmonic analysis (43-XX) 1 Convex and discrete geometry (52-XX) 1 Mechanics of deformable solids (74-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Astronomy and astrophysics (85-XX) Citations by Year