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Kaas, Rob

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Author ID: kaas.rob Recent zbMATH articles by "Kaas, Rob"
Published as: Kaas, R.; Kaas, Rob
Documents Indexed: 68 Publications since 1977, including 4 Books

Publications by Year

Citations contained in zbMATH Open

52 Publications have been cited 1,528 times in 999 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.
242
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.
152
2002
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
126
2006
Design and implementation of an efficient priority queue. Zbl 0363.60104
van Emde Boas, P.; Kaas, R.; Zijlstra, E.
95
1977
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
82
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
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
44
2004
Economic capital allocation derived from risk measures. Zbl 1084.91515
Dhaene, Jan; Goovaerts, Mark J.; Kaas, Rob
40
2003
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.
30
2008
Decision principles derived from risk measures. Zbl 1231.91191
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
27
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
Mean, median and mode in binomial distributions. Zbl 0444.62021
Kaas, R.; Buhrman, J. M.
22
1980
The Dutch premium principle. Zbl 0781.62163
van Heerwaarden, A. E.; Kaas, R.
22
1992
Worst VaR scenarios with given marginals and measures of association. Zbl 1162.91417
Kaas, Rob; Laeven, Roger J. A.; Nelsen, Roger B.
21
2009
A large deviation result for aggregate claims with dependent claim occurrences. Zbl 1110.62145
Kaas, Rob; Tang, Qihe
20
2005
Practical actuarial credibility models. Zbl 0905.62101
Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J.
19
1996
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515
Kaas, Rob; Tang, Qihe
16
2003
How to (and how not to) compute stop-loss premiums in practice. Zbl 0800.62681
Kaas, R.
15
1993
Interest randomness in annuities certain. Zbl 0778.62098
de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R.
15
1992
Ordering claim size distributions and mixed Poisson probabilities. Zbl 0836.62085
Kaas, R.; Hesselager, O.
14
1995
Worst case risk measurement: back to the future? Zbl 1228.91037
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
14
2011
A branch and bound algorithm for the acyclic subgraph problem. Zbl 0465.90090
Kaas, R.
13
1981
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
12
2009
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
2003
A note on additive risk measures in rank-dependent utility. Zbl 1231.91190
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
11
2010
Properties of the Esscher premium calculation principle. Zbl 0686.62090
van Heerwaarden, A. E.; Kaas, R.; Goovaerts, M. J.
10
1989
Best bounds for positive distributions with fixed moments. Zbl 0593.62112
Kaas, R.; Goovaerts, M. J.
10
1986
Application of the problem of moments to derive bounds on integrals with integral constraints. Zbl 0559.62086
Goovaerts, M. J.; Kaas, R.
9
1985
Stop-loss order, unequal means, and more dangerous distributions. Zbl 0752.62073
Kaas, R.; van Heerwaarden, A. E.
8
1992
A stochastic approach to insurance cycles. Zbl 0760.62095
Goovaerts, M. J.; De Vylder, F.; Kaas, R.
8
1992
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
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
Ordering of risks and ruin probabilities. Zbl 0711.62095
Kaas, R.; van Heerwaarden, A. E.
7
1990
Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134
Kaas, R.; Goovaerts, M. J.
7
1986
Capital requirements, risk measures and comonotonicity. Zbl 1357.91018
Dhaene, Jan; Vanduffel, Steven; Tang, Qihe; Goovaerts, Marc; Kaas, Rob; Vyncke, David
6
2004
Data-dependent bounds for heuristics to find a minimum weight Hamiltonian circuit. Zbl 0449.90093
Jonker, Roy; Kaas, Rob; Volgenant, Ton
6
1980
Some problems in actuarial finance involving sums of dependent risks. Zbl 1076.62558
Goovaerts, M. J.; Kaas, R.
4
2002
Some useful counterexamples regarding comonotonicity. Zbl 1357.91019
Kaas, Rob; Goovaerts, Marc; Tang, Qihe
3
2004
Some alternatives for the individual model. Zbl 0818.62092
Kaas, R.; Gerber, H. U.
3
1994
Stochastic processes defined from a Lagrangian. Zbl 0756.60104
de Vylder, F.; Goonvaerts, M. J.; Kaas, R.
3
1992
Application of the problem of moments to various insurance problems in non-life. Zbl 0605.62124
Kaas, R.; Goovaerts, M. J.
3
1986
Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz’ law of mortality. Zbl 1183.62186
Willemse, W. J.; Kaas, R.
2
2007
Ordering of risks and weighted compound distributions. Zbl 0604.62104
Goovaerts, M. J.; Vandebroeck, M.; Kaas, R.
2
1986
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
Numerical evaluation of compound distributions. Zbl 0624.62098
van den Berg, E.; Goovaerts, M. J.; Kaas, R.
1
1987
Computing moments of compound distributions. Zbl 0586.62180
Kaas, R.; Leuven, K. U.
1
1985
Worst case risk measurement: back to the future? Zbl 1228.91037
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
14
2011
Decision principles derived from risk measures. Zbl 1231.91191
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
27
2010
A note on additive risk measures in rank-dependent utility. Zbl 1231.91190
Goovaerts, Marc J.; Kaas, Rob; Laeven, Roger J. A.
11
2010
Worst VaR scenarios with given marginals and measures of association. Zbl 1162.91417
Kaas, Rob; Laeven, Roger J. A.; Nelsen, Roger B.
21
2009
Modern actuarial risk theory. Using R. 2nd ed., 2nd printing. Zbl 1177.91083
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
12
2009
Modern actuarial risk theory. Using R. 2nd ed. Zbl 1148.91027
Kaas, Rob; Goovaerts, Marc; Dhaene, Jan; Denuit, Michel
82
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
Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz’ law of mortality. Zbl 1183.62186
Willemse, W. J.; Kaas, R.
2
2007
Risk measures and comonotonicity: a review. Zbl 1159.91403
Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
126
2006
Risk measurement with equivalent utility principles. Zbl 1171.91326
Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; Laeven, Roger
26
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
A large deviation result for aggregate claims with dependent claim occurrences. Zbl 1110.62145
Kaas, Rob; Tang, Qihe
20
2005
Some new classes of consistent risk measures. Zbl 1188.91087
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang Qihe
44
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
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
40
2003
A unified approach to generate risk measures. Zbl 1098.91539
Goovaerts, Marc J.; Kaas, Rob; Dhaene, Jan; Tang, Qihe
18
2003
Note on the tail behavior of random walk maxima with heavy tails and negative drift. Zbl 1084.60515
Kaas, Rob; Tang, Qihe
16
2003
The hurdle-race problem. Zbl 1103.91353
Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R.
11
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.
242
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.
152
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
Upper and lower bounds for sums of random variables. Zbl 0989.60019
Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J.
76
2000
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
Practical actuarial credibility models. Zbl 0905.62101
Dannenburg, D. R.; Kaas, R.; Goovaerts, M. J.
19
1996
Ordering claim size distributions and mixed Poisson probabilities. Zbl 0836.62085
Kaas, R.; Hesselager, O.
14
1995
Some alternatives for the individual model. Zbl 0818.62092
Kaas, R.; Gerber, H. U.
3
1994
How to (and how not to) compute stop-loss premiums in practice. Zbl 0800.62681
Kaas, R.
15
1993
The Dutch premium principle. Zbl 0781.62163
van Heerwaarden, A. E.; Kaas, R.
22
1992
Interest randomness in annuities certain. Zbl 0778.62098
de Schepper, A.; de Vylder, F.; Goovaerts, M.; Kaas, R.
15
1992
Stop-loss order, unequal means, and more dangerous distributions. Zbl 0752.62073
Kaas, R.; van Heerwaarden, A. E.
8
1992
A stochastic approach to insurance cycles. Zbl 0760.62095
Goovaerts, M. J.; De Vylder, F.; Kaas, R.
8
1992
Stochastic processes defined from a Lagrangian. Zbl 0756.60104
de Vylder, F.; Goonvaerts, M. J.; Kaas, R.
3
1992
Ordering of risks and ruin probabilities. Zbl 0711.62095
Kaas, R.; van Heerwaarden, A. E.
7
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
Numerical evaluation of compound distributions. Zbl 0624.62098
van den Berg, E.; Goovaerts, M. J.; Kaas, R.
1
1987
Best bounds for positive distributions with fixed moments. Zbl 0593.62112
Kaas, R.; Goovaerts, M. J.
10
1986
Extremal values of stop-loss premiums under moment constraints. Zbl 0609.62134
Kaas, R.; Goovaerts, M. J.
7
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
Application of the problem of moments to derive bounds on integrals with integral constraints. Zbl 0559.62086
Goovaerts, M. J.; Kaas, R.
9
1985
Computing moments of compound distributions. Zbl 0586.62180
Kaas, R.; Leuven, K. U.
1
1985
A branch and bound algorithm for the acyclic subgraph problem. Zbl 0465.90090
Kaas, R.
13
1981
Mean, median and mode in binomial distributions. Zbl 0444.62021
Kaas, R.; Buhrman, J. M.
22
1980
Data-dependent bounds for heuristics to find a minimum weight Hamiltonian circuit. Zbl 0449.90093
Jonker, Roy; Kaas, Rob; Volgenant, Ton
6
1980
Design and implementation of an efficient priority queue. Zbl 0363.60104
van Emde Boas, P.; Kaas, R.; Zijlstra, E.
95
1977
all top 5

Cited by 1,180 Authors

54 Dhaene, Jan
53 Goovaerts, Marc J.
34 Cheung, Ka Chun
33 Denuit, Michel M.
31 Kaas, Rob
22 Wang, Ruodu
21 Vanduffel, Steven
19 Tang, Qihe
16 Laeven, Roger J. A.
14 Deelstra, Griselda
14 Linders, Daniël
13 Lefèvre, Claude
12 Chi, Yichun
12 Hürlimann, Werner
12 Li, Xiaohu
12 Yang, Jingping
11 De Schepper, Ann
11 Vanmaele, Michèle
10 Balbás, Alejandro
10 Šiaulys, Jonas
10 Sordo, Miguel A.
9 Furman, Edward
9 Rüschendorf, Ludger
9 Yuen, Kam Chuen
9 Zitikis, Ričardas
8 Ahn, Jae Youn
8 Asimit, Alexandru V.
8 Cai, Jun
8 Chen, Yiqing
8 Embrechts, Paul
8 Landsman, Zinoviy M.
8 Lo, Ambrose
8 Marceau, Étienne
8 Schoutens, Wim
8 Tan, Ken Seng
8 Valdez, Emiliano A.
8 Yam, Sheung Chi Phillip
8 Young, Virginia R.
8 Zhang, Yi
7 Balbás, Beatriz
7 Balbás, Raquel
7 Cossette, Hélène
7 Hoedemakers, Tom
7 Hu, Taizhong
7 Leipus, Remigijus
7 Mao, Tiantian
7 Mesfioui, Mhamed
7 Puccetti, Giovanni
7 Tsanakas, Andreas
7 Vyncke, David
7 You, Yinping
6 Badescu, Alexandru M.
6 Bille, Philip
6 Boonen, Tim J.
6 Kałuszka, Marek
6 Kim, Joseph Hyun Tae
6 Milevsky, Moshe Arye
6 Peng, Liang
6 Shen, Xinmei
6 Trufin, Julien
6 Vernic, Raluca
6 Wang, Shaun S.
6 Weng, Chengguo
6 Willard, Dan E.
5 Artikis, Constantinos T.
5 Artikis, Panagiotis T.
5 Bernard, Carole
5 Chen, Danny Ziyi
5 de Vylder, Florent Etienne
5 Gørtz, Inge Li
5 Hua, Lei
5 Kolev, Nikolai
5 Kukush, Oleksandr Georgiĭovych
5 Mamon, Rogemar S.
5 Nekrich, Yakov
5 Pitselis, Georgios
5 Rosazza Gianin, Emanuela
5 Tank, Fatih
5 Wen, Limin
5 Wu, Xianyi
5 Yan, Jun
5 Yang, Fan
5 Yang, Hailiang
5 Yao, Jing
5 Zhang, Yiying
4 Albrecher, Hansjörg
4 Beirlant, Jan
4 Durante, Fabrizio
4 Gebizlioğlu, Ömer L.
4 Goulet, Vincent
4 Guillen, Montserrat
4 Hesselager, Ole
4 Hudry, Olivier
4 Lee, Woojoo
4 Liu, Haiyan
4 Loisel, Stéphane
4 Lu, Zhiyi
4 Makris, Christos H.
4 Navarro, Gonzalo
4 Pichler, Alois
...and 1,080 more Authors
all top 5

Cited in 157 Serials

358 Insurance Mathematics & Economics
46 Journal of Computational and Applied Mathematics
39 ASTIN Bulletin
32 Scandinavian Actuarial Journal
32 North American Actuarial Journal
26 Statistics & Probability Letters
22 European Journal of Operational Research
18 Communications in Statistics. Theory and Methods
16 European Actuarial Journal
15 Information Processing Letters
15 Theoretical Computer Science
15 Methodology and Computing in Applied Probability
13 Algorithmica
11 Journal of Applied Probability
10 Journal of Computer and System Sciences
10 Journal of Multivariate Analysis
10 Annals of Operations Research
10 Quantitative Finance
9 Acta Mathematicae Applicatae Sinica. English Series
9 Finance and Stochastics
8 Lithuanian Mathematical Journal
8 Computational Geometry
7 Information and Computation
6 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
6 Scandinavian Actuarial Journal
5 Journal of Mathematical Analysis and Applications
5 Applied Mathematics. Series B (English Edition)
5 Stochastic Models
5 Journal of Discrete Algorithms
4 Discrete Applied Mathematics
4 Communications in Statistics. Simulation and Computation
4 Mathematical Problems in Engineering
4 Mathematical Finance
4 Journal of Applied Statistics
4 Extremes
4 Probability in the Engineering and Informational Sciences
4 Frontiers of Mathematics in China
4 Mathematics and Financial Economics
4 SIAM Journal on Financial Mathematics
4 Dependence Modeling
3 Advances in Applied Probability
3 Metrika
3 Operations Research
3 Journal of Information & Optimization Sciences
3 International Journal of Approximate Reasoning
3 International Journal of Foundations of Computer Science
3 Mathematical Programming. Series A. Series B
3 Applied Mathematical Finance
3 Bernoulli
3 International Journal of Theoretical and Applied Finance
3 Decisions in Economics and Finance
3 Journal of Industrial and Management Optimization
3 Journal of the Korean Statistical Society
3 Annals of Finance
2 Computers & Mathematics with Applications
2 Applied Mathematics and Computation
2 Journal of Optimization Theory and Applications
2 Journal of Statistical Planning and Inference
2 Mathematics of Operations Research
2 Mathematical Systems Theory
2 Theory and Decision
2 Stochastic Analysis and Applications
2 Optimization
2 Journal of Economics
2 Journal of Theoretical Probability
2 Science in China. Series A
2 Aequationes Mathematicae
2 Computational Statistics and Data Analysis
2 Top
2 Theory of Computing Systems
2 Mathematical Methods of Operations Research
2 Journal of Combinatorial Optimization
2 Journal of Interdisciplinary Mathematics
2 Applied Stochastic Models in Business and Industry
2 The ANZIAM Journal
2 Journal of Systems Science and Complexity
2 4OR
2 Modern Stochastics. Theory and Applications
1 ACM Computing Surveys
1 Artificial Intelligence
1 Mathematical Notes
1 ACM Transactions on Database Systems
1 Theory of Probability and its Applications
1 The Annals of Statistics
1 Archiv der Mathematik
1 BIT
1 Fuzzy Sets and Systems
1 Information Sciences
1 Kybernetika
1 Mathematical Programming
1 SIAM Journal on Computing
1 SIAM Journal on Control and Optimization
1 Statistica Neerlandica
1 European Journal of Combinatorics
1 Operations Research Letters
1 Chinese Annals of Mathematics. Series B
1 Graphs and Combinatorics
1 Probability Theory and Related Fields
1 Discrete & Computational Geometry
1 Asia-Pacific Journal of Operational Research
...and 57 more Serials

Citations by Year