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Publications Influence

The concept of comonotonicity in Actuarial Science and Finance: Theory

- J. Dhaene, M. Denuit, M. Goovaerts, R. Kaas, D. Vyncke
- Mathematics, Economics
- 20 August 2002

In an insurance context, one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a… Expand

581 79

The Concept of Comonotonicity in Actuarial Science and Finance: Applications

- J. Dhaene, M. Denuit, M. Goovaerts, R. Kaas, D. Vyncke
- Economics
- 18 October 2002

In an insurance context, one is often interested in the distribution function of a sum of random variables (rv’s). Such a sum appears when considering the aggregate claims of an insurance portfolio… Expand

379 45

Actuarial Theory for Dependent Risks: Measures, Orders and Models

The increasing complexity of insurance and reinsurance products has seen a growing interest amongst actuaries in the modelling of dependent risks. For efficient risk management, actuaries need to be… Expand

382 43- PDF

Risk Measures and Comonotonicity: A Review

- J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas, Q. Tang, D. Vyncke
- Mathematics
- 22 November 2006

In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special… Expand

273 25- PDF

Upper and Lower Bounds for Sums of Random Variables.

- R. Kaas, J. Dhaene, M. Goovaerts
- Mathematics
- 20 October 2000

In this contribution, the upper bounds for sums of dependent random variables X1 + X2 +...+ Xn derived by using comonotonicity are sharpened for the case when there exists a random variable Z such… Expand

201 22- PDF

Dependency of risks and stop-loss order.

- J. Dhaene, M. Goovaerts
- Mathematics, Computer Science
- 1 November 1996

TLDR

222 21- PDF

Modern Actuarial Risk Theory: Using R

- R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit
- Mathematics
- 25 August 2008

Modern Actuarial Risk Theory contains what every actuary needs to know about non-life insurance mathematics. It starts with the standard material like utility theory, individual and collective model… Expand

209 20

Optimal Capital Allocation Principles

- J. Dhaene, Andreas Tsanakas, Emiliano A. Valdez, S. Vanduffel
- Economics
- 1 October 2005

This paper develops a unifying framework for allocating the aggregate capital of a financial firm to its business units. The approach relies on an optimisation argument, requiring that the weighted… Expand

176 18- PDF

Modern Actuarial Risk Theory

- R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit
- Mathematics
- 31 December 2001

Apart from standard actuarial theory, this text contains methods that are relevant for actuarial practice, as well as generalised linear models with an eye on actuarial applications.

438 15

Remarks on quantiles and distortion risk measures

- J. Dhaene, A. Kukush, Daniël Linders, Q. Tang
- Mathematics
- 19 October 2012

Distorted expectations can be expressed as weighted averages of quantiles. In this note, we show that this statement is essentially true, but that one has to be careful with the correct formulation… Expand

53 15- PDF