Details about Marc Goovaerts

This author is deceased (2018-02-18).

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Working Papers

2019

1. Necessary and sufficient conditions for stochastic dominance
   University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

2004

2. A Comonotonic Image of Independence for Additive Risk Measures
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (44)
   See also Journal Article in Insurance: Mathematics and Economics (2004)

2002

3. Transition probabilities for diffusion equations by means of path integrals
   Working Papers, University of Antwerp, Faculty of Business and Economics View citations (2)

2001

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

1988

5. BETWEEN INDIVIDUAL AND COLLECTIVE MODEL FOR THE TOTAL CLAIMS
   Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics View citations (2)
   See also Journal Article in ASTIN Bulletin (1988)

1985

6. BOUNDS ON DISTRIBUTION FUNCTIONS UNDER INTEGRAL CONSTRAINTS
   University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business View citations (4)
7. GENERAL BOUNDS ON RUIN PROBABILITIES
   University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
   See also Journal Article in Insurance: Mathematics and Economics (1986)
8. ORDERING OF RISKS AND WEIGHTED COMPOUND DISTRIBUTIONS
   University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
   See also Journal Article in Statistica Neerlandica (1986)

1984

9. COMPUTING MOMENTS OF COMPOUND DISTRIBUTIONS
   University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

Undated

10. Copulas and the distribution of cash flows with mixed signs
    Working Papers, University of Antwerp, Faculty of Business and Economics
11. 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

1. Comonotonic approximations for the probability of lifetime ruin*
   Journal of Pension Economics and Finance, 2012, 11, (2), 285-309
2. Convex order approximations in the case of cash flows of mixed signs
   Insurance: Mathematics and Economics, 2012, 51, (2), 249-256 View citations (3)
3. On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
   Insurance: Mathematics and Economics, 2012, 51, (1), 10-18 View citations (20)

2011

4. A recursive approach to mortality-linked derivative pricing
   Insurance: Mathematics and Economics, 2011, 49, (2), 240-248 View citations (8)
5. Worst case risk measurement: Back to the future?
   Insurance: Mathematics and Economics, 2011, 49, (3), 380-392 View citations (15)

2010

6. A note on additive risk measures in rank-dependent utility
   Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (14)
7. Decision principles derived from risk measures
   Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (38)
8. Optimal portfolio selection for general provisioning and terminal wealth problems
   Insurance: Mathematics and Economics, 2010, 47, (1), 90-97 View citations (5)

2009

9. Editorial
   Insurance: Mathematics and Economics, 2009, 44, (2), 261-263
10. Editorial
    Insurance: Mathematics and Economics, 2009, 44, (2), 267-267
11. 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)
12. Spectral decomposition of optimal asset-liability management
    Journal of Economic Dynamics and Control, 2009, 33, (3), 710-724 View citations (3)

2008

13. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (46)
14. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (27)

2007

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

2006

16. A path integral approach to asset-liability management
    Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 404-416 View citations (10)
17. Risk measurement with equivalent utility principles
    Statistics & Risk Modeling, 2006, 24, (1), 1-25 View citations (40)
18. SELF EXCITING THRESHOLD INTEREST RATES MODELS
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (07), 1093-1122 View citations (9)

2005

19. Approximations for life annuity contracts in a stochastic financial environment
    Insurance: Mathematics and Economics, 2005, 37, (2), 239-269 View citations (7)
20. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (26)
21. Managing Economic and Virtual Economic Capital Within Financial Conglomerates
    North American Actuarial Journal, 2005, 9, (3), 77-89 View citations (18)
22. Managing Uncertainty: Financial, Actuarial and Statistical Modeling
    Review of Business and Economic Literature, 2005, L, (1), 23-48
23. 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
24. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
25. Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
    Review of Business and Economic Literature, 2005, L, (1), 103-114
26. Pricing Exotic Options under Local Volatility
    Review of Business and Economic Literature, 2005, L, (1), 49-68
27. Some asymptotic results for sums of dependent random variables, with actuarial applications
    Insurance: Mathematics and Economics, 2005, 37, (2), 154-172 View citations (12)
28. The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance
    Scandinavian Actuarial Journal, 2005, 2005, (6), 446-461 View citations (1)

2004

29. A comonotonic image of independence for additive risk measures
    Insurance: Mathematics and Economics, 2004, 35, (3), 581-594 View citations (45)
    See also Working Paper (2004)
30. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (45)
31. 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)
32. Editorial
    Insurance: Mathematics and Economics, 2004, 35, (1), 1-1
33. Some new classes of consistent risk measures
    Insurance: Mathematics and Economics, 2004, 34, (3), 505-516 View citations (52)
34. “Risk and Discounted Loss Reserves,” Greg Taylor, January 2004
    North American Actuarial Journal, 2004, 8, (4), 146-149

2003

35. A Unified Approach to Generate Risk Measures
    ASTIN Bulletin, 2003, 33, (2), 173-191 View citations (14)
36. Confidence bounds for discounted loss reserves
    Insurance: Mathematics and Economics, 2003, 33, (2), 297-316 View citations (6)
37. Economic Capital Allocation Derived from Risk Measures
    North American Actuarial Journal, 2003, 7, (2), 44-56 View citations (68)
38. On the Distribution of Cash Flows Using Esscher Transforms
    Journal of Risk & Insurance, 2003, 70, (3), 563-575 View citations (4)
39. Stable Laws and the Present Value of Fixed Cash Flows
    North American Actuarial Journal, 2003, 7, (4), 32-43
40. The hurdle-race problem
    Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 View citations (6)
41. “Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends”, Hans U. Gerber and Elias S. W. Shiu, January 2003
    North American Actuarial Journal, 2003, 7, (3), 54-55
42. “Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003
    North American Actuarial Journal, 2003, 7, (4), 94-95

2002

43. A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
    ASTIN Bulletin, 2002, 32, (1), 71-80 View citations (22)
44. 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)
45. Some problems in actuarial finance involving sums of dependent risks
    Statistica Neerlandica, 2002, 56, (3), 253-269 View citations (4)
46. The concept of comonotonicity in actuarial science and finance: applications
    Insurance: Mathematics and Economics, 2002, 31, (2), 133-161 View citations (215)
47. The concept of comonotonicity in actuarial science and finance: theory
    Insurance: Mathematics and Economics, 2002, 31, (1), 3-33 View citations (256)

2001

48. Actuarieel onderzoek en opleiding aan de KULeuven
    Review of Business and Economic Literature, 2001, XLVI, (4), 483-490
49. Convex upper and lower bounds for present value functions
    Applied Stochastic Models in Business and Industry, 2001, 17, (2), 149-164 View citations (5)
50. How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
    Review of Business and Economic Literature, 2001, XLVI, (4), 533-544
51. Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation
    Review of Business and Economic Literature, 2001, XLVI, (4), 545-562 View citations (2)
52. Some Remarks on IBNR Evaluation Techniques
    Review of Business and Economic Literature, 2001, XLVI, (4), 525-532

2000

53. 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 (36)
54. Homogeneous risk models with equalized claim amounts
    Insurance: Mathematics and Economics, 2000, 26, (2-3), 223-238 View citations (13)
55. Upper and lower bounds for sums of random variables
    Insurance: Mathematics and Economics, 2000, 27, (2), 151-168 View citations (75)
56. “Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000
    North American Actuarial Journal, 2000, 4, (4), 124-126

1999

57. A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall
    Scandinavian Actuarial Journal, 1999, 1999, (1), 1-14
58. Explicit finite-time and infinite-time ruin probabilities in the continuous case
    Insurance: Mathematics and Economics, 1999, 24, (3), 155-172 View citations (12)
59. Inequality extensions of Prabhu's formula in ruin theory
    Insurance: Mathematics and Economics, 1999, 24, (3), 249-271 View citations (9)
60. On the distribution of IBNR reserves
    Insurance: Mathematics and Economics, 1999, 25, (1), 1-9 View citations (4)
61. Solvency margins and equalization reserves
    Insurance: Mathematics and Economics, 1999, 24, (1-2), 103-115 View citations (1)
62. Supermodular ordering and stochastic annuities
    Insurance: Mathematics and Economics, 1999, 24, (3), 281-290 View citations (11)
63. 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

64. Prediction of claim numbers based on hazard rates
    Insurance: Mathematics and Economics, 1998, 23, (1), 59-69 View citations (3)
65. “On a Class of Renewal Risk Processes”, David C.M. Dickson, July 1998
    North American Actuarial Journal, 1998, 2, (3), 68-70
66. “On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998
    North American Actuarial Journal, 1998, 2, (1), 72-74

1997

67. A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
    Scandinavian Actuarial Journal, 1997, 1997, (1), 1-10
68. 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 (7)
69. Exact Credibility for Weighted Observations
    ASTIN Bulletin, 1997, 27, (2), 287-295 View citations (5)
70. IBNR reserves under stochastic interest rates
    Insurance: Mathematics and Economics, 1997, 21, (3), 225-244
71. On the dependency of risks in the individual life model
    Insurance: Mathematics and Economics, 1997, 19, (3), 243-253 View citations (38)
72. The bi-atomic uniform minimal solution of Schmitter's problem
    Insurance: Mathematics and Economics, 1997, 20, (1), 59-78 View citations (1)
73. The solution of Schmitter's simple problem: Numerical illustration
    Insurance: Mathematics and Economics, 1997, 20, (1), 43-58 View citations (1)

1996

74. A stochastic approach to catastrophic risks
    Scandinavian Actuarial Journal, 1996, 1996, (2), 99-108
75. Dependency of Risks and Stop-Loss Order1
    ASTIN Bulletin, 1996, 26, (2), 201-212 View citations (74)
76. The compound Poisson approximation for a portfolio of dependent risks
    Insurance: Mathematics and Economics, 1996, 18, (1), 81-85 View citations (9)

1994

77. A note on the solution of practical ruin problems
    Insurance: Mathematics and Economics, 1994, 15, (2-3), 181-186
78. An analytical inversion of a Laplace transform related to annuities certain
    Insurance: Mathematics and Economics, 1994, 14, (1), 33-37 View citations (17)
79. The distributions of annuities
    Insurance: Mathematics and Economics, 1994, 15, (1), 37-48 View citations (11)

1993

80. Editorial: Disability risk in the EC
    Insurance: Mathematics and Economics, 1993, 13, (2), 99-99
81. 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

82. A stochastic approach to insurance cycles
    Insurance: Mathematics and Economics, 1992, 11, (2), 97-107 View citations (2)
83. A summary of new results on optimal parameter estimation under zero-excess assumptions
    Insurance: Mathematics and Economics, 1992, 11, (2), 153-161
84. Editorial
    Insurance: Mathematics and Economics, 1992, 11, (2), 81-82
85. Editorial
    Insurance: Mathematics and Economics, 1992, 10, (4), 231-231
86. Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model
    Insurance: Mathematics and Economics, 1992, 10, (4), 233-238
87. Interest randomness in annuities certain
    Insurance: Mathematics and Economics, 1992, 11, (4), 271-281 View citations (9)
88. Maximizing Compound Poisson Stop-Loss Premiums Numerically with Given Mean and Variance
    ASTIN Bulletin, 1992, 22, (2), 225-233 View citations (4)
89. Optimal parameter estimation under zero excess assumptions in the Buhlmann--Straub model
    Insurance: Mathematics and Economics, 1992, 11, (3), 167-171 View citations (1)
90. Optimal parameter estimation under zero-excess assumptions in a classical model
    Insurance: Mathematics and Economics, 1992, 11, (1), 1-6 View citations (1)
91. Some further results on annuities certain with random interest
    Insurance: Mathematics and Economics, 1992, 11, (4), 283-290 View citations (5)
92. Statistical risk evaluation applied to (Belgian) car insurance
    Insurance: Mathematics and Economics, 1992, 10, (4), 289-302 View citations (4)
93. Stochastic processes defined from a Lagrangian
    Insurance: Mathematics and Economics, 1992, 11, (1), 55-69
94. The Laplace transform of annuities certain with exponential time distribution
    Insurance: Mathematics and Economics, 1992, 11, (4), 291-294 View citations (12)

1991

95. A recursive evaluation of the finite time ruin probability based on an equation of Seal
    Insurance: Mathematics and Economics, 1991, 10, (2), 93-97 View citations (1)
96. A review of the numerical calculation of ruin probabilities by means of recursions
    Applied Stochastic Models and Data Analysis, 1991, 7, (1), 77-91
97. Bounds on stop-loss premiums and ruin probabilities
    Insurance: Mathematics and Economics, 1991, 10, (2), 153-159 View citations (3)
98. Evaluating Compound Generalized Poisson Distributions Recursively
    ASTIN Bulletin, 1991, 21, (2), 193-198 View citations (8)
99. The Schmitter Problem
    ASTIN Bulletin, 1991, 21, (1), 129-132 View citations (4)

1990

100. On a multilevel hierarchical credibility algorithm
     Insurance: Mathematics and Economics, 1990, 9, (2-3), 221-228 View citations (2)

1989

101. A credit scoring model for personal loans
     Insurance: Mathematics and Economics, 1989, 8, (1), 31-34 View citations (26)
102. Combining Panjer's recursion with convolution
     Insurance: Mathematics and Economics, 1989, 8, (1), 19-21
103. Editorial
     Insurance: Mathematics and Economics, 1989, 8, (1), 1-1
104. Optimal reinsurance in relation to ordering of risks
     Insurance: Mathematics and Economics, 1989, 8, (1), 11-17 View citations (18)
105. Properties of the Esscher premium calculation principle
     Insurance: Mathematics and Economics, 1989, 8, (4), 261-267 View citations (9)
106. The practical application of credibility theory
     Insurance: Mathematics and Economics, 1989, 8, (1), 23-29

1988

107. Between Individual and Collective Model for the Total Claims
     ASTIN Bulletin, 1988, 18, (2), 169-174 View citations (2)
     See also Working Paper (1988)
108. On Stop-Loss Premiums for the Individual Model
     ASTIN Bulletin, 1988, 18, (1), 91-97 View citations (1)
109. Recursive calculation of finite-time ruin probabilities
     Insurance: Mathematics and Economics, 1988, 7, (1), 1-7 View citations (28)

1987

110. New upper bounds for stop-loss premiums for the individual model
     Insurance: Mathematics and Economics, 1987, 6, (4), 289-293
111. On the Probability and Severity of Ruin
     ASTIN Bulletin, 1987, 17, (2), 151-163 View citations (59)
112. On the use of QUADPACK for the calculation of risk theoretical quantities
     Insurance: Mathematics and Economics, 1987, 6, (1), 33-42
113. Premium rating under non-exponential utility
     Insurance: Mathematics and Economics, 1987, 6, (4), 245-257 View citations (1)

1986

114. Best bounds for positive distributions with fixed moments
     Insurance: Mathematics and Economics, 1986, 5, (1), 87-92 View citations (12)
115. Bounds on Stop-Loss Premiums for Compound Distributions
     ASTIN Bulletin, 1986, 16, (1), 13-17 View citations (3)
116. Extremal values of stop-loss premiums under moment constraints
     Insurance: Mathematics and Economics, 1986, 5, (4), 279-283 View citations (3)
117. General bounds on ruin probabilities
     Insurance: Mathematics and Economics, 1986, 5, (2), 164-167
     See also Working Paper (1985)
118. ORDERING OF RISKS AND WEIGHTED COMPOUND DISTRIBUTIONS
     Statistica Neerlandica, 1986, 40, (4), 273-282 View citations (1)
     See also Working Paper (1985)
119. Ordering of risks and ruin probabilities
     Insurance: Mathematics and Economics, 1986, 5, (1), 35-39 View citations (4)
120. 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 (18)

1985

121. 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)
122. Bounds on compound distributions and stop-loss premiums
     Insurance: Mathematics and Economics, 1985, 4, (4), 287-293 View citations (2)
123. R. E. Beard, T. Pentikäinen and E. Pesonen (1984). Risk Theory (3rd edition). Chapman & Hall Ltd., London, xvii + 408 pages, £11.95 paperback/£24.50 hardbound
     ASTIN Bulletin, 1985, 15, (1), 69-70
124. Semilinear credibility with several approximating functions
     Insurance: Mathematics and Economics, 1985, 4, (3), 155-162 View citations (4)

1984

125. A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities
     ASTIN Bulletin, 1984, 14, (1), 53-59 View citations (3)
126. 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
127. Bounds for classical ruin probabilities
     Insurance: Mathematics and Economics, 1984, 3, (2), 121-131 View citations (10)
128. The effectiveness of temporary marginal cost subsidies
     International Journal of Industrial Organization, 1984, 2, (3), 235-249
129. 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

130. 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)
131. Bounds for the optimal critical claim size of a bonus system
     Insurance: Mathematics and Economics, 1983, 2, (1), 27-32
132. Maximization of the variance of a stop-loss reinsured risk
     Insurance: Mathematics and Economics, 1983, 2, (2), 75-80 View citations (4)
133. 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

134. A new premium calculation principle based on Orlicz norms
     Insurance: Mathematics and Economics, 1982, 1, (1), 41-53 View citations (31)
135. Analytical best upper bounds on stop-loss premiums
     Insurance: Mathematics and Economics, 1982, 1, (3), 163-175 View citations (10)
136. Bounds on Modified Stop-Loss Premiums in Case of Known Mean and Variance of the Risk Variable
     ASTIN Bulletin, 1982, 13, (1), 23-36 View citations (4)
137. Numerical best bounds on stop-loss preminus
     Insurance: Mathematics and Economics, 1982, 1, (4), 287-302 View citations (2)
138. Ordering of risks: a review
     Insurance: Mathematics and Economics, 1982, 1, (2), 131-161 View citations (2)

1981

139. On Ordering and Danger of Claim Frequency Distributions
     ASTIN Bulletin, 1981, 12, (1), 72-76

1980

140. An Extension of an Invariance Property of the Swiss Premium Calculation Principle*
     ASTIN Bulletin, 1980, 11, (2), 145-153
141. Survival Probabilities Based on Pareto Claim Distributions: Comment
     ASTIN Bulletin, 1980, 11, (2), 154-157

1979

142. A Note on Iterative Premium Calculation Principles
     ASTIN Bulletin, 1979, 10, (3), 325-329 View citations (4)
143. On the Numerical Evaluation of Stop-Loss Premiums
     ASTIN Bulletin, 1979, 10, (3), 318-324 View citations (1)

1978

144. On the infinite divisibility of the ratio of two gamma-distributed variables
     Stochastic Processes and their Applications, 1978, 7, (3), 291-297

1975

145. Bayesian Inference in Credibility Theory
     ASTIN Bulletin, 1975, 8, (2), 164-174

Books

2008

1. Modern Actuarial Risk Theory
   Springer Books, Springer View citations (104)

Editor

1. Insurance: Mathematics and Economics
   Elsevier