Details about Marc Goovaerts
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Short-id: pgo174
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Working Papers
2004
- A Comonotonic Image of Independence for Additive Risk Measures
Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (25)
See also Journal Article in Insurance: Mathematics and Economics (2004)
2002
- Transition probabilities for diffusion equations by means of path integrals
Working Papers, University of Antwerp, Faculty of Business and Economics View citations (2)
2001
- Bounds for present value functions with stochastic interest rates and stochastic volatility
Working Papers, University of Antwerp, Faculty of Business and Economics 
See also Journal Article in Insurance: Mathematics and Economics (2002)
1988
- BETWEEN INDIVIDUAL AND COLLECTIVE MODEL FOR THE TOTAL CLAIMS
Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics View citations (2)
Undated
- Copulas and the distribution of cash flows with mixed signs
Working Papers, University of Antwerp, Faculty of Business and Economics
- Path integrals as a tool for pricing interest rate contingent claims: The case of reflecting and absorbing boundaries
Working Papers, University of Antwerp, Faculty of Business and Economics
Journal Articles
2012
- Comonotonic approximations for the probability of lifetime ruin*
Journal of Pension Economics and Finance, 2012, 11, (2), 285-309
- Convex order approximations in the case of cash flows of mixed signs
Insurance: Mathematics and Economics, 2012, 51, (2), 249-256 View citations (2)
- On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
Insurance: Mathematics and Economics, 2012, 51, (1), 10-18 View citations (17)
2011
- A recursive approach to mortality-linked derivative pricing
Insurance: Mathematics and Economics, 2011, 49, (2), 240-248 View citations (7)
2010
- A note on additive risk measures in rank-dependent utility
Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (11)
- Decision principles derived from risk measures
Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (33)
- Optimal portfolio selection for general provisioning and terminal wealth problems
Insurance: Mathematics and Economics, 2010, 47, (1), 90-97 View citations (5)
2009
- Editorial
Insurance: Mathematics and Economics, 2009, 44, (2), 261-263
- Editorial
Insurance: Mathematics and Economics, 2009, 44, (2), 267-267
- Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
Insurance: Mathematics and Economics, 2009, 44, (2), 143-145 View citations (7)
- Spectral decomposition of optimal asset-liability management
Journal of Economic Dynamics and Control, 2009, 33, (3), 710-724 View citations (3)
2008
- Actuarial risk measures for financial derivative pricing
Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (45)
- Can a Coherent Risk Measure Be Too Subadditive?
Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (25)
2007
- Comonotonicity
Review of Business and Economic Literature, 2007, LII, (2), 265-278 View citations (54)
2006
- A path integral approach to asset-liability management
Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 404-416 View citations (10)
2005
- Approximations for life annuity contracts in a stochastic financial environment
Insurance: Mathematics and Economics, 2005, 37, (2), 239-269 View citations (7)
- Comonotonic Approximations for Optimal Portfolio Selection Problems
Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (25)
- Managing Uncertainty: Financial, Actuarial and Statistical Modeling
Review of Business and Economic Literature, 2005, L, (1), 23-48
- On the Use of Copulas for Calculating the Present Value of a General Cash Flow
Review of Business and Economic Literature, 2005, L, (1), 69-94
- On the evaluation of ‘saving-consumption’ plans
Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
- Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
Review of Business and Economic Literature, 2005, L, (1), 103-114
- Pricing Exotic Options under Local Volatility
Review of Business and Economic Literature, 2005, L, (1), 49-68
- Some asymptotic results for sums of dependent random variables, with actuarial applications
Insurance: Mathematics and Economics, 2005, 37, (2), 154-172 View citations (12)
2004
- A comonotonic image of independence for additive risk measures
Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 View citations (43)
See also Working Paper (2004)
- An optimization approach to the dynamic allocation of economic capital
Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (42)
- Applications of δ-function perturbation to the pricing of derivative securities
Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 677-692 View citations (9)
- Editorial
Insurance: Mathematics and Economics, 2004, 35, (1), 1-1
- Some new classes of consistent risk measures
Insurance: Mathematics and Economics, 2004, 34, (3), 505-516 View citations (50)
2003
- Confidence bounds for discounted loss reserves
Insurance: Mathematics and Economics, 2003, 33, (2), 297-316 View citations (5)
- On the Distribution of Cash Flows Using Esscher Transforms
Journal of Risk & Insurance, 2003, 70, (3), 563-575 View citations (4)
- The hurdle-race problem
Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 View citations (6)
2002
- Bounds for present value functions with stochastic interest rates and stochastic volatility
Insurance: Mathematics and Economics, 2002, 31, (1), 87-103 View citations (1)
See also Working Paper (2001)
- The concept of comonotonicity in actuarial science and finance: applications
Insurance: Mathematics and Economics, 2002, 31, (2), 133-161 View citations (197)
- The concept of comonotonicity in actuarial science and finance: theory
Insurance: Mathematics and Economics, 2002, 31, (1), 3-33 View citations (234)
2001
- Actuarieel onderzoek en opleiding aan de KULeuven
Review of Business and Economic Literature, 2001, XLVI, (4), 483-490
- How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
Review of Business and Economic Literature, 2001, XLVI, (4), 533-544
- Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation
Review of Business and Economic Literature, 2001, XLVI, (4), 545-562 View citations (1)
- Some Remarks on IBNR Evaluation Techniques
Review of Business and Economic Literature, 2001, XLVI, (4), 525-532
2000
- An easy computable upper bound for the price of an arithmetic Asian option
Insurance: Mathematics and Economics, 2000, 26, (2-3), 175-183 View citations (35)
- Homogeneous risk models with equalized claim amounts
Insurance: Mathematics and Economics, 2000, 26, (2-3), 223-238 View citations (10)
- Upper and lower bounds for sums of random variables
Insurance: Mathematics and Economics, 2000, 27, (2), 151-168 View citations (70)
1999
- Explicit finite-time and infinite-time ruin probabilities in the continuous case
Insurance: Mathematics and Economics, 1999, 24, (3), 155-172 View citations (10)
- Inequality extensions of Prabhu's formula in ruin theory
Insurance: Mathematics and Economics, 1999, 24, (3), 249-271 View citations (7)
- On the distribution of IBNR reserves
Insurance: Mathematics and Economics, 1999, 25, (1), 1-9 View citations (4)
- Solvency margins and equalization reserves
Insurance: Mathematics and Economics, 1999, 24, (1-2), 103-115
- Supermodular ordering and stochastic annuities
Insurance: Mathematics and Economics, 1999, 24, (3), 281-290 View citations (11)
- The GARCH(1,1)-M model: results for the densities of the variance and the mean
Insurance: Mathematics and Economics, 1999, 24, (1-2), 83-94 View citations (1)
1998
- Prediction of claim numbers based on hazard rates
Insurance: Mathematics and Economics, 1998, 23, (1), 59-69 View citations (3)
1997
- A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
Insurance: Mathematics and Economics, 1997, 20, (1), 35-41 View citations (6)
- IBNR reserves under stochastic interest rates
Insurance: Mathematics and Economics, 1997, 21, (3), 225-244
- On the dependency of risks in the individual life model
Insurance: Mathematics and Economics, 1997, 19, (3), 243-253 View citations (35)
- The bi-atomic uniform minimal solution of Schmitter's problem
Insurance: Mathematics and Economics, 1997, 20, (1), 59-78
- The solution of Schmitter's simple problem: Numerical illustration
Insurance: Mathematics and Economics, 1997, 20, (1), 43-58
1996
- The compound Poisson approximation for a portfolio of dependent risks
Insurance: Mathematics and Economics, 1996, 18, (1), 81-85 View citations (9)
1994
- A note on the solution of practical ruin problems
Insurance: Mathematics and Economics, 1994, 15, (2-3), 181-186
- An analytical inversion of a Laplace transform related to annuities certain
Insurance: Mathematics and Economics, 1994, 14, (1), 33-37 View citations (17)
- The distributions of annuities
Insurance: Mathematics and Economics, 1994, 15, (1), 37-48 View citations (11)
1993
- Editorial: Disability risk in the EC
Insurance: Mathematics and Economics, 1993, 13, (2), 99-99
- Ordering of risks: Angela van Heerwaarden, (Thesis publishers, Amsterdam, 1992) pp. 159, fl.37,50/US $21,-, ISBN 90.5170.122.5
Insurance: Mathematics and Economics, 1993, 12, (1), 61-61
1992
- A stochastic approach to insurance cycles
Insurance: Mathematics and Economics, 1992, 11, (2), 97-107 View citations (2)
- A summary of new results on optimal parameter estimation under zero-excess assumptions
Insurance: Mathematics and Economics, 1992, 11, (2), 153-161
- Editorial
Insurance: Mathematics and Economics, 1992, 11, (2), 81-82
- Editorial
Insurance: Mathematics and Economics, 1992, 10, (4), 231-231
- Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model
Insurance: Mathematics and Economics, 1992, 10, (4), 233-238
- Interest randomness in annuities certain
Insurance: Mathematics and Economics, 1992, 11, (4), 271-281 View citations (9)
- Optimal parameter estimation under zero excess assumptions in the Buhlmann--Straub model
Insurance: Mathematics and Economics, 1992, 11, (3), 167-171
- Optimal parameter estimation under zero-excess assumptions in a classical model
Insurance: Mathematics and Economics, 1992, 11, (1), 1-6 View citations (1)
- Some further results on annuities certain with random interest
Insurance: Mathematics and Economics, 1992, 11, (4), 283-290 View citations (4)
- Statistical risk evaluation applied to (Belgian) car insurance
Insurance: Mathematics and Economics, 1992, 10, (4), 289-302 View citations (3)
- Stochastic processes defined from a Lagrangian
Insurance: Mathematics and Economics, 1992, 11, (1), 55-69
- The Laplace transform of annuities certain with exponential time distribution
Insurance: Mathematics and Economics, 1992, 11, (4), 291-294 View citations (12)
1991
- A recursive evaluation of the finite time ruin probability based on an equation of Seal
Insurance: Mathematics and Economics, 1991, 10, (2), 93-97
- Bounds on stop-loss premiums and ruin probabilities
Insurance: Mathematics and Economics, 1991, 10, (2), 153-159 View citations (2)
1990
- On a multilevel hierarchical credibility algorithm
Insurance: Mathematics and Economics, 1990, 9, (2-3), 221-228 View citations (2)
1989
- A credit scoring model for personal loans
Insurance: Mathematics and Economics, 1989, 8, (1), 31-34 View citations (22)
- Combining Panjer's recursion with convolution
Insurance: Mathematics and Economics, 1989, 8, (1), 19-21
- Editorial
Insurance: Mathematics and Economics, 1989, 8, (1), 1-1
- Optimal reinsurance in relation to ordering of risks
Insurance: Mathematics and Economics, 1989, 8, (1), 11-17 View citations (17)
- Properties of the Esscher premium calculation principle
Insurance: Mathematics and Economics, 1989, 8, (4), 261-267 View citations (7)
- The practical application of credibility theory
Insurance: Mathematics and Economics, 1989, 8, (1), 23-29
1988
- Recursive calculation of finite-time ruin probabilities
Insurance: Mathematics and Economics, 1988, 7, (1), 1-7 View citations (27)
1987
- New upper bounds for stop-loss premiums for the individual model
Insurance: Mathematics and Economics, 1987, 6, (4), 289-293
- On the use of QUADPACK for the calculation of risk theoretical quantities
Insurance: Mathematics and Economics, 1987, 6, (1), 33-42
- Premium rating under non-exponential utility
Insurance: Mathematics and Economics, 1987, 6, (4), 245-257
1986
- Best bounds for positive distributions with fixed moments
Insurance: Mathematics and Economics, 1986, 5, (1), 87-92 View citations (9)
- Extremal values of stop-loss premiums under moment constraints
Insurance: Mathematics and Economics, 1986, 5, (4), 279-283 View citations (3)
- General bounds on ruin probabilities
Insurance: Mathematics and Economics, 1986, 5, (2), 164-167
- Ordering of risks and ruin probabilities
Insurance: Mathematics and Economics, 1986, 5, (1), 35-39 View citations (4)
- Upper bounds on stop-loss premiums in case of known moments up to the fourth order
Insurance: Mathematics and Economics, 1986, 5, (4), 315-334 View citations (14)
1985
- Application of the problem of moments to derive bounds on integrals with integral constraints
Insurance: Mathematics and Economics, 1985, 4, (2), 99-111 View citations (3)
- Bounds on compound distributions and stop-loss premiums
Insurance: Mathematics and Economics, 1985, 4, (4), 287-293 View citations (1)
- Semilinear credibility with several approximating functions
Insurance: Mathematics and Economics, 1985, 4, (3), 155-162 View citations (3)
1984
- A characterization of the class of credibility matrices corresponding to a certain class of discrete distributions
Insurance: Mathematics and Economics, 1984, 3, (3), 201-204
- Bounds for classical ruin probabilities
Insurance: Mathematics and Economics, 1984, 3, (2), 121-131 View citations (9)
- The effectiveness of temporary marginal cost subsidies
International Journal of Industrial Organization, 1984, 2, (3), 235-249
- The structure of the distribution of a couple of observable random variables in credibility theory
Insurance: Mathematics and Economics, 1984, 3, (3), 179-188
1983
- Best bounds on the stop loss premium in case of known range, expectation, variance and mode of the risk
Insurance: Mathematics and Economics, 1983, 2, (4), 241-249 View citations (2)
- Bounds for the optimal critical claim size of a bonus system
Insurance: Mathematics and Economics, 1983, 2, (1), 27-32
- Maximization of the variance of a stop-loss reinsured risk
Insurance: Mathematics and Economics, 1983, 2, (2), 75-80 View citations (4)
- Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions
Journal of Econometrics, 1983, 23, (1), 77-90
1982
- A new premium calculation principle based on Orlicz norms
Insurance: Mathematics and Economics, 1982, 1, (1), 41-53 View citations (27)
- Analytical best upper bounds on stop-loss premiums
Insurance: Mathematics and Economics, 1982, 1, (3), 163-175 View citations (5)
- Numerical best bounds on stop-loss preminus
Insurance: Mathematics and Economics, 1982, 1, (4), 287-302 View citations (2)
- Ordering of risks: a review
Insurance: Mathematics and Economics, 1982, 1, (2), 131-161 View citations (2)
1978
- On the infinite divisibility of the ratio of two gamma-distributed variables
Stochastic Processes and their Applications, 1978, 7, (3), 291-297
Editor
- Insurance: Mathematics and Economics
Elsevier
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