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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

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

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

Insurance: Mathematics and Economics

- M. Goovaerts
- Economics
- 15 September 2006

This article has no abstract.
Keywords:
actuarial journals;
insurance mathematics;
insurance economics

74 13

Static Hedging of Asian Options under Lévy Models

- H. Albrecher, J. Dhaene, M. Goovaerts, W. Schoutens
- Economics
- 28 February 2005

The Asian option pricing problem is a lot like the American put problem in the 1970s. An Asian payoff is a rather simple, and common, option feature, but it messes up our clean, closed-form valuation… Expand

83 12- PDF

Ordering of actuarial risks

- R. Kaas, A. V. Heerwaarden, M. Goovaerts
- Mathematics
- 1994

200 12

A new premium calculation principle based on Orlicz norms

- J. Haezendonck, M. Goovaerts
- Mathematics
- 1982

Abstract A multiplicative equivalent of the zero utility premium calculation principle is introduced. If the utility function happens to be a normalized Young function the new premium calculation… Expand

64 11