Details about Marc Goovaerts
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Shortid: pgo174
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Working Papers
2019
 Necessary and sufficient conditions for stochastic dominance
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
2004
 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
 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 View citations (1)
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)
See also Journal Article in ASTIN Bulletin (1988)
1985
 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)
 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)
 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
 COMPUTING MOMENTS OF COMPOUND DISTRIBUTIONS
University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
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), 285309
 Convex order approximations in the case of cash flows of mixed signs
Insurance: Mathematics and Economics, 2012, 51, (2), 249256 View citations (3)
 On the interplay between distortion, mean value and Haezendonck–Goovaerts risk measures
Insurance: Mathematics and Economics, 2012, 51, (1), 1018 View citations (20)
2011
 A recursive approach to mortalitylinked derivative pricing
Insurance: Mathematics and Economics, 2011, 49, (2), 240248 View citations (8)
 Worst case risk measurement: Back to the future?
Insurance: Mathematics and Economics, 2011, 49, (3), 380392 View citations (15)
2010
 A note on additive risk measures in rankdependent utility
Insurance: Mathematics and Economics, 2010, 47, (2), 187189 View citations (14)
 Decision principles derived from risk measures
Insurance: Mathematics and Economics, 2010, 47, (3), 294302 View citations (38)
 Optimal portfolio selection for general provisioning and terminal wealth problems
Insurance: Mathematics and Economics, 2010, 47, (1), 9097 View citations (5)
2009
 Editorial
Insurance: Mathematics and Economics, 2009, 44, (2), 261263
 Editorial
Insurance: Mathematics and Economics, 2009, 44, (2), 267267
 Editorial to the special issue on modeling and measurement of multivariate risk in insurance and finance
Insurance: Mathematics and Economics, 2009, 44, (2), 143145 View citations (7)
 Spectral decomposition of optimal assetliability management
Journal of Economic Dynamics and Control, 2009, 33, (3), 710724 View citations (3)
2008
 Actuarial risk measures for financial derivative pricing
Insurance: Mathematics and Economics, 2008, 42, (2), 540547 View citations (46)
 Can a Coherent Risk Measure Be Too Subadditive?
Journal of Risk & Insurance, 2008, 75, (2), 365386 View citations (27)
2007
 Comonotonicity
Review of Business and Economic Literature, 2007, LII, (2), 265278 View citations (54)
2006
 A path integral approach to assetliability management
Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 404416 View citations (10)
 Risk measurement with equivalent utility principles
Statistics & Risk Modeling, 2006, 24, (1), 125 View citations (40)
 SELF EXCITING THRESHOLD INTEREST RATES MODELS
International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (07), 10931122 View citations (9)
2005
 Approximations for life annuity contracts in a stochastic financial environment
Insurance: Mathematics and Economics, 2005, 37, (2), 239269 View citations (7)
 Comonotonic Approximations for Optimal Portfolio Selection Problems
Journal of Risk & Insurance, 2005, 72, (2), 253300 View citations (26)
 Managing Economic and Virtual Economic Capital Within Financial Conglomerates
North American Actuarial Journal, 2005, 9, (3), 7789 View citations (18)
 Managing Uncertainty: Financial, Actuarial and Statistical Modeling
Review of Business and Economic Literature, 2005, L, (1), 2348
 On the Use of Copulas for Calculating the Present Value of a General Cash Flow
Review of Business and Economic Literature, 2005, L, (1), 6994
 On the evaluation of â€˜savingconsumptionâ€™ plans
Journal of Pension Economics and Finance, 2005, 4, (1), 1730 View citations (2)
 Optimal Portfolio Selection for CashFlows with Bounded Capital at Risk
Review of Business and Economic Literature, 2005, L, (1), 103114
 Pricing Exotic Options under Local Volatility
Review of Business and Economic Literature, 2005, L, (1), 4968
 Some asymptotic results for sums of dependent random variables, with actuarial applications
Insurance: Mathematics and Economics, 2005, 37, (2), 154172 View citations (12)
 The Tail Probability of Discounted Sums of Paretolike Losses in Insurance
Scandinavian Actuarial Journal, 2005, 2005, (6), 446461 View citations (1)
2004
 A comonotonic image of independence for additive risk measures
Insurance: Mathematics and Economics, 2004, 35, (3), 581594 View citations (45)
See also Working Paper (2004)
 An optimization approach to the dynamic allocation of economic capital
Insurance: Mathematics and Economics, 2004, 35, (2), 299319 View citations (45)
 Applications of δfunction perturbation to the pricing of derivative securities
Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 677692 View citations (9)
 Editorial
Insurance: Mathematics and Economics, 2004, 35, (1), 11
 Some new classes of consistent risk measures
Insurance: Mathematics and Economics, 2004, 34, (3), 505516 View citations (52)
 “Risk and Discounted Loss Reserves,” Greg Taylor, January 2004
North American Actuarial Journal, 2004, 8, (4), 146149
2003
 A Unified Approach to Generate Risk Measures
ASTIN Bulletin, 2003, 33, (2), 173191 View citations (14)
 Confidence bounds for discounted loss reserves
Insurance: Mathematics and Economics, 2003, 33, (2), 297316 View citations (6)
 Economic Capital Allocation Derived from Risk Measures
North American Actuarial Journal, 2003, 7, (2), 4456 View citations (68)
 On the Distribution of Cash Flows Using Esscher Transforms
Journal of Risk & Insurance, 2003, 70, (3), 563575 View citations (4)
 Stable Laws and the Present Value of Fixed Cash Flows
North American Actuarial Journal, 2003, 7, (4), 3243
 The hurdlerace problem
Insurance: Mathematics and Economics, 2003, 33, (2), 405413 View citations (6)
 “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), 5455
 “Pricing Lookback Options and Dynamic Guarantees,” Hans U. Gerber and Elias S. W. Shiu, January 2003
North American Actuarial Journal, 2003, 7, (4), 9495
2002
 A Simple Geometric Proof that Comonotonic Risks Have the ConvexLargest Sum
ASTIN Bulletin, 2002, 32, (1), 7180 View citations (22)
 Bounds for present value functions with stochastic interest rates and stochastic volatility
Insurance: Mathematics and Economics, 2002, 31, (1), 87103 View citations (1)
See also Working Paper (2001)
 Some problems in actuarial finance involving sums of dependent risks
Statistica Neerlandica, 2002, 56, (3), 253269 View citations (4)
 The concept of comonotonicity in actuarial science and finance: applications
Insurance: Mathematics and Economics, 2002, 31, (2), 133161 View citations (215)
 The concept of comonotonicity in actuarial science and finance: theory
Insurance: Mathematics and Economics, 2002, 31, (1), 333 View citations (256)
2001
 Actuarieel onderzoek en opleiding aan de KULeuven
Review of Business and Economic Literature, 2001, XLVI, (4), 483490
 Convex upper and lower bounds for present value functions
Applied Stochastic Models in Business and Industry, 2001, 17, (2), 149164 View citations (5)
 How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
Review of Business and Economic Literature, 2001, XLVI, (4), 533544
 Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation
Review of Business and Economic Literature, 2001, XLVI, (4), 545562 View citations (2)
 Some Remarks on IBNR Evaluation Techniques
Review of Business and Economic Literature, 2001, XLVI, (4), 525532
2000
 An easy computable upper bound for the price of an arithmetic Asian option
Insurance: Mathematics and Economics, 2000, 26, (23), 175183 View citations (36)
 Homogeneous risk models with equalized claim amounts
Insurance: Mathematics and Economics, 2000, 26, (23), 223238 View citations (13)
 Upper and lower bounds for sums of random variables
Insurance: Mathematics and Economics, 2000, 27, (2), 151168 View citations (75)
 “SelfAnnuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000
North American Actuarial Journal, 2000, 4, (4), 124126
1999
 A Recursive Scheme for Perpetuities with Random Positive Interest Rates. II: The Impenetrable Wall
Scandinavian Actuarial Journal, 1999, 1999, (1), 114
 Explicit finitetime and infinitetime ruin probabilities in the continuous case
Insurance: Mathematics and Economics, 1999, 24, (3), 155172 View citations (12)
 Inequality extensions of Prabhu's formula in ruin theory
Insurance: Mathematics and Economics, 1999, 24, (3), 249271 View citations (9)
 On the distribution of IBNR reserves
Insurance: Mathematics and Economics, 1999, 25, (1), 19 View citations (4)
 Solvency margins and equalization reserves
Insurance: Mathematics and Economics, 1999, 24, (12), 103115 View citations (1)
 Supermodular ordering and stochastic annuities
Insurance: Mathematics and Economics, 1999, 24, (3), 281290 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, (12), 8394 View citations (1)
1998
 Prediction of claim numbers based on hazard rates
Insurance: Mathematics and Economics, 1998, 23, (1), 5969 View citations (3)
 “On a Class of Renewal Risk Processes”, David C.M. Dickson, July 1998
North American Actuarial Journal, 1998, 2, (3), 6870
 “On the Time Value of Ruin”, Hans U. Gerber and Elias S.W. Shiu, January 1998
North American Actuarial Journal, 1998, 2, (1), 7274
1997
 A recursive scheme for perpetuities with random positive interest rates. Part I. Analytical results
Scandinavian Actuarial Journal, 1997, 1997, (1), 110
 A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
Insurance: Mathematics and Economics, 1997, 20, (1), 3541 View citations (7)
 Exact Credibility for Weighted Observations
ASTIN Bulletin, 1997, 27, (2), 287295 View citations (5)
 IBNR reserves under stochastic interest rates
Insurance: Mathematics and Economics, 1997, 21, (3), 225244
 On the dependency of risks in the individual life model
Insurance: Mathematics and Economics, 1997, 19, (3), 243253 View citations (38)
 The biatomic uniform minimal solution of Schmitter's problem
Insurance: Mathematics and Economics, 1997, 20, (1), 5978 View citations (1)
 The solution of Schmitter's simple problem: Numerical illustration
Insurance: Mathematics and Economics, 1997, 20, (1), 4358 View citations (1)
1996
 A stochastic approach to catastrophic risks
Scandinavian Actuarial Journal, 1996, 1996, (2), 99108
 Dependency of Risks and StopLoss Order1
ASTIN Bulletin, 1996, 26, (2), 201212 View citations (74)
 The compound Poisson approximation for a portfolio of dependent risks
Insurance: Mathematics and Economics, 1996, 18, (1), 8185 View citations (9)
1994
 A note on the solution of practical ruin problems
Insurance: Mathematics and Economics, 1994, 15, (23), 181186
 An analytical inversion of a Laplace transform related to annuities certain
Insurance: Mathematics and Economics, 1994, 14, (1), 3337 View citations (17)
 The distributions of annuities
Insurance: Mathematics and Economics, 1994, 15, (1), 3748 View citations (11)
1993
 Editorial: Disability risk in the EC
Insurance: Mathematics and Economics, 1993, 13, (2), 9999
 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), 6161
1992
 A stochastic approach to insurance cycles
Insurance: Mathematics and Economics, 1992, 11, (2), 97107 View citations (2)
 A summary of new results on optimal parameter estimation under zeroexcess assumptions
Insurance: Mathematics and Economics, 1992, 11, (2), 153161
 Editorial
Insurance: Mathematics and Economics, 1992, 11, (2), 8182
 Editorial
Insurance: Mathematics and Economics, 1992, 10, (4), 231231
 Estimation of the heterogeneity parameter in the BuhlmannStraub credibility theory model
Insurance: Mathematics and Economics, 1992, 10, (4), 233238
 Interest randomness in annuities certain
Insurance: Mathematics and Economics, 1992, 11, (4), 271281 View citations (9)
 Maximizing Compound Poisson StopLoss Premiums Numerically with Given Mean and Variance
ASTIN Bulletin, 1992, 22, (2), 225233 View citations (4)
 Optimal parameter estimation under zero excess assumptions in the BuhlmannStraub model
Insurance: Mathematics and Economics, 1992, 11, (3), 167171 View citations (1)
 Optimal parameter estimation under zeroexcess assumptions in a classical model
Insurance: Mathematics and Economics, 1992, 11, (1), 16 View citations (1)
 Some further results on annuities certain with random interest
Insurance: Mathematics and Economics, 1992, 11, (4), 283290 View citations (5)
 Statistical risk evaluation applied to (Belgian) car insurance
Insurance: Mathematics and Economics, 1992, 10, (4), 289302 View citations (4)
 Stochastic processes defined from a Lagrangian
Insurance: Mathematics and Economics, 1992, 11, (1), 5569
 The Laplace transform of annuities certain with exponential time distribution
Insurance: Mathematics and Economics, 1992, 11, (4), 291294 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), 9397 View citations (1)
 A review of the numerical calculation of ruin probabilities by means of recursions
Applied Stochastic Models and Data Analysis, 1991, 7, (1), 7791
 Bounds on stoploss premiums and ruin probabilities
Insurance: Mathematics and Economics, 1991, 10, (2), 153159 View citations (3)
 Evaluating Compound Generalized Poisson Distributions Recursively
ASTIN Bulletin, 1991, 21, (2), 193198 View citations (8)
 The Schmitter Problem
ASTIN Bulletin, 1991, 21, (1), 129132 View citations (4)
1990
 On a multilevel hierarchical credibility algorithm
Insurance: Mathematics and Economics, 1990, 9, (23), 221228 View citations (2)
1989
 A credit scoring model for personal loans
Insurance: Mathematics and Economics, 1989, 8, (1), 3134 View citations (26)
 Combining Panjer's recursion with convolution
Insurance: Mathematics and Economics, 1989, 8, (1), 1921
 Editorial
Insurance: Mathematics and Economics, 1989, 8, (1), 11
 Optimal reinsurance in relation to ordering of risks
Insurance: Mathematics and Economics, 1989, 8, (1), 1117 View citations (18)
 Properties of the Esscher premium calculation principle
Insurance: Mathematics and Economics, 1989, 8, (4), 261267 View citations (9)
 The practical application of credibility theory
Insurance: Mathematics and Economics, 1989, 8, (1), 2329
1988
 Between Individual and Collective Model for the Total Claims
ASTIN Bulletin, 1988, 18, (2), 169174 View citations (2)
See also Working Paper (1988)
 On StopLoss Premiums for the Individual Model
ASTIN Bulletin, 1988, 18, (1), 9197 View citations (1)
 Recursive calculation of finitetime ruin probabilities
Insurance: Mathematics and Economics, 1988, 7, (1), 17 View citations (28)
1987
 New upper bounds for stoploss premiums for the individual model
Insurance: Mathematics and Economics, 1987, 6, (4), 289293
 On the Probability and Severity of Ruin
ASTIN Bulletin, 1987, 17, (2), 151163 View citations (59)
 On the use of QUADPACK for the calculation of risk theoretical quantities
Insurance: Mathematics and Economics, 1987, 6, (1), 3342
 Premium rating under nonexponential utility
Insurance: Mathematics and Economics, 1987, 6, (4), 245257 View citations (1)
1986
 Best bounds for positive distributions with fixed moments
Insurance: Mathematics and Economics, 1986, 5, (1), 8792 View citations (12)
 Bounds on StopLoss Premiums for Compound Distributions
ASTIN Bulletin, 1986, 16, (1), 1317 View citations (3)
 Extremal values of stoploss premiums under moment constraints
Insurance: Mathematics and Economics, 1986, 5, (4), 279283 View citations (3)
 General bounds on ruin probabilities
Insurance: Mathematics and Economics, 1986, 5, (2), 164167
See also Working Paper (1985)
 ORDERING OF RISKS AND WEIGHTED COMPOUND DISTRIBUTIONS
Statistica Neerlandica, 1986, 40, (4), 273282 View citations (1)
See also Working Paper (1985)
 Ordering of risks and ruin probabilities
Insurance: Mathematics and Economics, 1986, 5, (1), 3539 View citations (4)
 Upper bounds on stoploss premiums in case of known moments up to the fourth order
Insurance: Mathematics and Economics, 1986, 5, (4), 315334 View citations (18)
1985
 Application of the problem of moments to derive bounds on integrals with integral constraints
Insurance: Mathematics and Economics, 1985, 4, (2), 99111 View citations (3)
 Bounds on compound distributions and stoploss premiums
Insurance: Mathematics and Economics, 1985, 4, (4), 287293 View citations (2)
 R. E. Beard, T. PentikÃ¤inen and E. Pesonen (1984). Risk Theory (3rd edition). Chapman & Hall Ltd., London, xvii + 408 pages, Â£11.95 paperback/Â£24.50 hardbound
ASTIN Bulletin, 1985, 15, (1), 6970
 Semilinear credibility with several approximating functions
Insurance: Mathematics and Economics, 1985, 4, (3), 155162 View citations (4)
1984
 A Stable Recursive Algorithm for Evaluation of Ultimate Ruin Probabilities
ASTIN Bulletin, 1984, 14, (1), 5359 View citations (3)
 A characterization of the class of credibility matrices corresponding to a certain class of discrete distributions
Insurance: Mathematics and Economics, 1984, 3, (3), 201204
 Bounds for classical ruin probabilities
Insurance: Mathematics and Economics, 1984, 3, (2), 121131 View citations (10)
 The effectiveness of temporary marginal cost subsidies
International Journal of Industrial Organization, 1984, 2, (3), 235249
 The structure of the distribution of a couple of observable random variables in credibility theory
Insurance: Mathematics and Economics, 1984, 3, (3), 179188
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), 241249 View citations (2)
 Bounds for the optimal critical claim size of a bonus system
Insurance: Mathematics and Economics, 1983, 2, (1), 2732
 Maximization of the variance of a stoploss reinsured risk
Insurance: Mathematics and Economics, 1983, 2, (2), 7580 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), 7790
1982
 A new premium calculation principle based on Orlicz norms
Insurance: Mathematics and Economics, 1982, 1, (1), 4153 View citations (31)
 Analytical best upper bounds on stoploss premiums
Insurance: Mathematics and Economics, 1982, 1, (3), 163175 View citations (10)
 Bounds on Modified StopLoss Premiums in Case of Known Mean and Variance of the Risk Variable
ASTIN Bulletin, 1982, 13, (1), 2336 View citations (4)
 Numerical best bounds on stoploss preminus
Insurance: Mathematics and Economics, 1982, 1, (4), 287302 View citations (2)
 Ordering of risks: a review
Insurance: Mathematics and Economics, 1982, 1, (2), 131161 View citations (2)
1981
 On Ordering and Danger of Claim Frequency Distributions
ASTIN Bulletin, 1981, 12, (1), 7276
1980
 An Extension of an Invariance Property of the Swiss Premium Calculation Principle*
ASTIN Bulletin, 1980, 11, (2), 145153
 Survival Probabilities Based on Pareto Claim Distributions: Comment
ASTIN Bulletin, 1980, 11, (2), 154157
1979
 A Note on Iterative Premium Calculation Principles
ASTIN Bulletin, 1979, 10, (3), 325329 View citations (4)
 On the Numerical Evaluation of StopLoss Premiums
ASTIN Bulletin, 1979, 10, (3), 318324 View citations (1)
1978
 On the infinite divisibility of the ratio of two gammadistributed variables
Stochastic Processes and their Applications, 1978, 7, (3), 291297
1975
 Bayesian Inference in Credibility Theory
ASTIN Bulletin, 1975, 8, (2), 164174
Books
2008
 Modern Actuarial Risk Theory
Springer Books, Springer View citations (104)
Editor
 Insurance: Mathematics and Economics
Elsevier

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