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  • J Dhaene, M Denuit, M J Goovaerts, R Kaas, D Vyncke
  • 2001
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 certain reference period. It also appears when considering discounted payments related to a single policy or a portfolio at different future points in time. The(More)
  • J Dhaene, M Denuit, M J Goovaerts, R Kaas, D Vyncke
  • 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 certain reference period. It also appears when considering discounted payments related to a single policy or a portfolio, at different future points in time. The(More)
  • J Dhaene, S Vanduffel, M J Goovaerts, R Kaas, D Vyncke
  • 2004
We investigate multiperiod portfolio selection problems in a Black & Scholes type market where a basket of 1 riskfree and m risky securities are traded continuously. We look for the optimal allocation of wealth within the class of 'constant mix' portfolios. First, we consider the portfolio selection problem of a decision maker who invests money at(More)
  • J Dhaene, K U Leuven, S Vanduffel, M J Goovaerts, R Kaas, Q Tang
  • 2004
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 attention is given to the class of (concave) distortion risk measures. We investigate the relationship between these risk measures and theories of choice under risk.(More)
  • S Vanduffel, X Chen, J Dhaene, M Goovaerts, L Henrard, R Kaas +1 other
  • 2007
In this paper we investigate approximations for the distribution function of a sum S of lognormal random variables. These approximations are obtained by considering the conditional expectation E[S | Λ ] of S with respect to a conditioning random variable Λ. The choice for Λ is crucial in order to obtain accurate approximations. The different alternatives(More)
  • M J Goovaerts, R Kaas, J Dhaene
  • 2002
We examine properties of risk measures that can be considered to be in line with some 'best practice' rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for(More)
  • S Vanduffel, J Dhaene, M Goovaerts, R Kaas, K U Leuven
  • 2003
We consider the problem of how to determine the required level of the current provision in order to be able to meet a series of future deterministic payment obligations, in case the provision is invested according to a given random return process. Approximate solutions are derived, taking into account imposed minimum levels of the future random values of(More)
  • R Kaas, J Dhaene, D Vyncke, M J Goovaerts, M Denuit
  • 2001
In the recent actuarial literature, several proofs have been given for the fact that if a random vector (X 1 , X 2 ,. .. , X n) with given marginals has a comonotonic joint distribution, the sum X 1 + X 2 + · · · + X n is the largest possible in convex order. In this note we give a lucid proof of this fact, based on a geometric interpretation of the support(More)
BACKGROUND Diatoms represent the predominant group of eukaryotic phytoplankton in the oceans and are responsible for around 20% of global photosynthesis. Two whole genome sequences are now available. Notwithstanding, our knowledge of diatom biology remains limited because only around half of their genes can be ascribed a function based onhomology-based(More)