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Details about Jan Dhaene

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Homepage:https://www.jandhaene.org
Workplace:Faculteit Economie en Bedrijfswetenschappen (Faculty of Business and Economics), KU Leuven (University of Leuven), (more information at EDIRC)

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Last updated 2021-06-05. Update your information in the RePEc Author Service.

Short-id: pdh2


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Working Papers

2019

  1. A dynamic equivalence principle for systematic longevity risk management
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
    See also Journal Article in Insurance: Mathematics and Economics (2019)
  2. Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Downloads
    Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2019)

    See also Journal Article in Health Policy (2019)
  3. Systemic Risk: Conditional Distortion Risk Measures
    Papers, arXiv.org Downloads View citations (2)

2017

  1. Application de l'indice médical dans les contrats d'assurance maladie en Belgique
    Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven Downloads
  2. Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency
    Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2017)
  3. Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
    See also Journal Article in ASTIN Bulletin (2017)
  4. Tail mutual exclusivity and Tail-VaR lower bounds
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)
    Also in Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven (2015) Downloads
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015) View citations (1)
  5. Updating mechanism for lifelong insurance contracts subject to medical inflation
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (1)
    Also in Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven (2016) Downloads

2016

  1. Le nouveau mécanisme belge d'indexation des primes des contrats d'assurance "hospitalisation"
    Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven Downloads

2015

  1. Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven (2015) Downloads View citations (2)
  2. On the transferability of reserves in lifelong health insurance contracts
    Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven Downloads
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2015)
  3. Optimal allocation of policy deductibles for exchangeable risks
    Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2016)
  4. Option Prices and Model-free Measurement of Implied Herd Behavior in Stock Markets
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (1)
    Also in Working Papers Department of Accountancy, Finance and Insurance (AFI), Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Accountancy, Finance and Insurance (AFI), Leuven (2015) Downloads

    See also Journal Article in International Journal of Financial Engineering (IJFE) (2015)
  5. The minimal entropy martingale measure in a market of traded financial and actuarial risks
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) Downloads

2014

  1. Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)
    Also in LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (1)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) Downloads View citations (1)

2012

  1. Convex order and comonotonic conditional mean risk sharing
    LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (13)
    Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2010)

    See also Journal Article in Insurance: Mathematics and Economics (2012)

2009

  1. Buy-and-Hold Strategies and Comonotonic Approximations
    Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia Downloads View citations (1)
  2. Optimal capital allocation principles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)
    See also Journal Article in Journal of Risk & Insurance (2012)

2001

  1. Bounds for present value functions with stochastic interest rates and stochastic volatility
    Working Papers, University of Antwerp, Faculty of Business and Economics Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2002)

Journal Articles

2021

  1. Fair dynamic valuation of insurance liabilities via convex hedging
    Insurance: Mathematics and Economics, 2021, 98, (C), 1-13 Downloads

2019

  1. A dynamic equivalence principle for systematic longevity risk management
    Insurance: Mathematics and Economics, 2019, 86, (C), 158-167 Downloads View citations (2)
    See also Working Paper (2019)
  2. FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS
    ASTIN Bulletin, 2019, 49, (2), 299-333 Downloads View citations (5)
  3. Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency
    Insurance: Mathematics and Economics, 2019, 88, (C), 19-29 Downloads View citations (9)
  4. Fair valuation of insurance liability cash-flow streams in continuous time: Theory
    Insurance: Mathematics and Economics, 2019, 88, (C), 196-208 Downloads View citations (4)
  5. Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system
    Health Policy, 2019, 123, (10), 970-975 Downloads
    See also Working Paper (2019)

2018

  1. An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
    Insurance: Mathematics and Economics, 2018, 79, (C), 92-100 Downloads View citations (4)

2017

  1. Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency
    Insurance: Mathematics and Economics, 2017, 76, (C), 14-27 Downloads View citations (13)
    See also Working Paper (2017)
  2. IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS
    Journal of Economic Surveys, 2017, 31, (1), 169-189 Downloads View citations (1)
  3. LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION
    ASTIN Bulletin, 2017, 47, (3), 803-836 Downloads View citations (1)
    See also Working Paper (2017)

2016

  1. Optimal allocation of policy deductibles for exchangeable risks
    Insurance: Mathematics and Economics, 2016, 71, (C), 87-92 Downloads View citations (1)
    See also Working Paper (2015)

2015

  1. Option prices and model-free measurement of implied herd behavior in stock markets
    International Journal of Financial Engineering (IJFE), 2015, 02, (02), 1-35 Downloads
    See also Working Paper (2015)

2014

  1. Reducing risk by merging counter-monotonic risks
    Insurance: Mathematics and Economics, 2014, 54, (C), 58-65 Downloads View citations (6)

2013

  1. On the (in-)dependence between financial and actuarial risks
    Insurance: Mathematics and Economics, 2013, 52, (3), 522-531 Downloads View citations (11)
  2. Tail Variance premiums for log-elliptical distributions
    Insurance: Mathematics and Economics, 2013, 52, (3), 441-447 Downloads View citations (3)

2012

  1. Comonotonic approximations for the probability of lifetime ruin*
    Journal of Pension Economics and Finance, 2012, 11, (2), 285-309 Downloads
  2. Convex order and comonotonic conditional mean risk sharing
    Insurance: Mathematics and Economics, 2012, 51, (2), 265-270 Downloads View citations (27)
    See also Working Paper (2012)
  3. Convex order approximations in the case of cash flows of mixed signs
    Insurance: Mathematics and Economics, 2012, 51, (2), 249-256 Downloads View citations (2)
  4. Optimal Capital Allocation Principles
    Journal of Risk & Insurance, 2012, 79, (1), 1-28 Downloads View citations (69)
    See also Working Paper (2009)
  5. The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
    Insurance: Mathematics and Economics, 2012, 50, (3), 357-370 Downloads View citations (17)

2011

  1. A recursive approach to mortality-linked derivative pricing
    Insurance: Mathematics and Economics, 2011, 49, (2), 240-248 Downloads View citations (7)

2010

  1. Optimal portfolio selection for general provisioning and terminal wealth problems
    Insurance: Mathematics and Economics, 2010, 47, (1), 90-97 Downloads View citations (5)

2009

  1. A Robustification of the Chain-Ladder Method
    North American Actuarial Journal, 2009, 13, (2), 280-298 Downloads View citations (1)
  2. Bounds and approximations for sums of dependent log-elliptical random variables
    Insurance: Mathematics and Economics, 2009, 44, (3), 385-397 Downloads View citations (11)
  3. Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables
    Journal of Risk & Insurance, 2009, 76, (4), 847-866 Downloads View citations (2)
  4. Correlation order, merging and diversification
    Insurance: Mathematics and Economics, 2009, 45, (3), 325-332 Downloads View citations (7)

2008

  1. Analytic bounds and approximations for annuities and Asian options
    Insurance: Mathematics and Economics, 2008, 42, (3), 1109-1117 Downloads View citations (11)
  2. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 Downloads View citations (24)
  3. Some results on the CTE-based capital allocation rule
    Insurance: Mathematics and Economics, 2008, 42, (2), 855-863 Downloads View citations (30)
  4. Static super-replicating strategies for a class of exotic options
    Insurance: Mathematics and Economics, 2008, 42, (3), 1067-1085 Downloads View citations (28)

2007

  1. Comonotonicity
    Review of Business and Economic Literature, 2007, LII, (2), 265-278 Downloads View citations (54)

2006

  1. Bounds for the price of a European-style Asian option in a binary tree model
    European Journal of Operational Research, 2006, 168, (2), 322-332 Downloads View citations (6)
  2. Risk measurement with equivalent utility principles
    Statistics & Risk Modeling, 2006, 24, (1), 1-25 Downloads View citations (32)

2005

  1. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 Downloads View citations (25)
  2. Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
    North American Actuarial Journal, 2005, 9, (4), 71-82 Downloads View citations (5)
  3. Het Actuariaat in Leuven: 2001-2003 en de toekomst
    Review of Business and Economic Literature, 2005, L, (1), 9-14 Downloads
  4. Managing Uncertainty: Financial, Actuarial and Statistical Modeling
    Review of Business and Economic Literature, 2005, L, (1), 23-48 Downloads
  5. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 Downloads View citations (2)
  6. Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
    Review of Business and Economic Literature, 2005, L, (1), 103-114 Downloads

2004

  1. Some new classes of consistent risk measures
    Insurance: Mathematics and Economics, 2004, 34, (3), 505-516 Downloads View citations (48)

2003

  1. A Unified Approach to Generate Risk Measures
    ASTIN Bulletin, 2003, 33, (2), 173-191 Downloads View citations (14)
  2. Confidence bounds for discounted loss reserves
    Insurance: Mathematics and Economics, 2003, 33, (2), 297-316 Downloads View citations (5)
  3. Economic Capital Allocation Derived from Risk Measures
    North American Actuarial Journal, 2003, 7, (2), 44-56 Downloads View citations (34)
  4. On the Distribution of Cash Flows Using Esscher Transforms
    Journal of Risk & Insurance, 2003, 70, (3), 563-575 Downloads View citations (4)
  5. Stable Laws and the Present Value of Fixed Cash Flows
    North American Actuarial Journal, 2003, 7, (4), 32-43 Downloads
  6. The hurdle-race problem
    Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 Downloads View citations (6)

2002

  1. A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
    ASTIN Bulletin, 2002, 32, (1), 71-80 Downloads View citations (18)
  2. Bounds for present value functions with stochastic interest rates and stochastic volatility
    Insurance: Mathematics and Economics, 2002, 31, (1), 87-103 Downloads View citations (1)
    See also Working Paper (2001)
  3. The concept of comonotonicity in actuarial science and finance: applications
    Insurance: Mathematics and Economics, 2002, 31, (2), 133-161 Downloads View citations (190)
  4. The concept of comonotonicity in actuarial science and finance: theory
    Insurance: Mathematics and Economics, 2002, 31, (1), 3-33 Downloads View citations (227)

2001

  1. Convex upper and lower bounds for present value functions
    Applied Stochastic Models in Business and Industry, 2001, 17, (2), 149-164 Downloads View citations (2)
  2. De nabije toekomst van het Actuariaat in Leuven
    Review of Business and Economic Literature, 2001, XLVI, (4), 477-482 Downloads
  3. Does positive dependence between individual risks increase stop-loss premiums?
    Insurance: Mathematics and Economics, 2001, 28, (3), 305-308 Downloads View citations (25)
  4. How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
    Review of Business and Economic Literature, 2001, XLVI, (4), 533-544 Downloads
  5. Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation
    Review of Business and Economic Literature, 2001, XLVI, (4), 545-562 Downloads View citations (1)
  6. Some Remarks on IBNR Evaluation Techniques
    Review of Business and Economic Literature, 2001, XLVI, (4), 525-532 Downloads

2000

  1. An easy computable upper bound for the price of an arithmetic Asian option
    Insurance: Mathematics and Economics, 2000, 26, (2-3), 175-183 Downloads View citations (35)
  2. Upper and lower bounds for sums of random variables
    Insurance: Mathematics and Economics, 2000, 27, (2), 151-168 Downloads View citations (69)
  3. “Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000
    North American Actuarial Journal, 2000, 4, (4), 124-126 Downloads

1999

  1. Supermodular ordering and stochastic annuities
    Insurance: Mathematics and Economics, 1999, 24, (3), 281-290 Downloads View citations (11)
  2. The safest dependence structure among risks
    Insurance: Mathematics and Economics, 1999, 25, (1), 11-21 Downloads View citations (39)

1998

  1. Comonotonicity, correlation order and premium principles
    Insurance: Mathematics and Economics, 1998, 22, (3), 235-242 Downloads View citations (60)

1997

  1. A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
    Insurance: Mathematics and Economics, 1997, 20, (1), 35-41 Downloads View citations (6)
  2. On Error Bounds for Approximations to Aggregate Claims Distributions
    ASTIN Bulletin, 1997, 27, (2), 243-262 Downloads View citations (3)
  3. On the dependency of risks in the individual life model
    Insurance: Mathematics and Economics, 1997, 19, (3), 243-253 Downloads View citations (33)

1996

  1. Dependency of Risks and Stop-Loss Order1
    ASTIN Bulletin, 1996, 26, (2), 201-212 Downloads View citations (71)
  2. On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions
    ASTIN Bulletin, 1996, 26, (2), 225-231 Downloads View citations (1)
  3. Some Moment Relations for the Hipp approximation
    ASTIN Bulletin, 1996, 26, (1), 117-121 Downloads View citations (2)
  4. The compound Poisson approximation for a portfolio of dependent risks
    Insurance: Mathematics and Economics, 1996, 18, (1), 81-85 Downloads View citations (9)

1995

  1. Recursions for the individual model
    Insurance: Mathematics and Economics, 1995, 16, (1), 31-38 Downloads View citations (8)

1994

  1. On a class of approximative computation methods in the individual risk model
    Insurance: Mathematics and Economics, 1994, 14, (2), 181-196 Downloads View citations (7)

1992

  1. Error Bounds for Compound Poisson Approximations of the Individual Risk Model
    ASTIN Bulletin, 1992, 22, (2), 135-148 Downloads View citations (5)

1990

  1. Distributions in Life Insurance
    ASTIN Bulletin, 1990, 20, (1), 81-92 Downloads View citations (2)

1989

  1. Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes
    ASTIN Bulletin, 1989, 19, (S1), 43-50 Downloads View citations (9)
    Also in ASTIN Bulletin, 1989, 19, (2), 131-138 (1989) Downloads View citations (9)

Books

2008

  1. Modern Actuarial Risk Theory
    Springer Books, Springer View citations (9)
 
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