Details about Marc Goovaerts

Access statistics for papers by Marc Goovaerts.

Last updated 2015-07-27. Update your information in the RePEc Author Service.

Short-id: pgo174

Working Papers

2004

1. 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

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

2001

3. 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

4. BETWEEN INDIVIDUAL AND COLLECTIVE MODEL FOR THE TOTAL CLAIMS
   Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics View citations (2)

Undated

5. Copulas and the distribution of cash flows with mixed signs
   Working Papers, University of Antwerp, Faculty of Business and Economics
6. 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 (2)
3. 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

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

2010

5. A note on additive risk measures in rank-dependent utility
   Insurance: Mathematics and Economics, 2010, 47, (2), 187-189 View citations (11)
6. Decision principles derived from risk measures
   Insurance: Mathematics and Economics, 2010, 47, (3), 294-302 View citations (33)
7. Optimal portfolio selection for general provisioning and terminal wealth problems
   Insurance: Mathematics and Economics, 2010, 47, (1), 90-97 View citations (5)

2009

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

2008

12. Actuarial risk measures for financial derivative pricing
    Insurance: Mathematics and Economics, 2008, 42, (2), 540-547 View citations (45)
13. Can a Coherent Risk Measure Be Too Subadditive?
    Journal of Risk & Insurance, 2008, 75, (2), 365-386 View citations (25)

2007

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

2006

15. A path integral approach to asset-liability management
    Physica A: Statistical Mechanics and its Applications, 2006, 363, (2), 404-416 View citations (10)

2005

16. Approximations for life annuity contracts in a stochastic financial environment
    Insurance: Mathematics and Economics, 2005, 37, (2), 239-269 View citations (7)
17. Comonotonic Approximations for Optimal Portfolio Selection Problems
    Journal of Risk & Insurance, 2005, 72, (2), 253-300 View citations (25)
18. Managing Uncertainty: Financial, Actuarial and Statistical Modeling
    Review of Business and Economic Literature, 2005, L, (1), 23-48
19. 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
20. On the evaluation of ‘saving-consumption’ plans
    Journal of Pension Economics and Finance, 2005, 4, (1), 17-30 View citations (2)
21. Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk
    Review of Business and Economic Literature, 2005, L, (1), 103-114
22. Pricing Exotic Options under Local Volatility
    Review of Business and Economic Literature, 2005, L, (1), 49-68
23. 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

24. 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)
25. An optimization approach to the dynamic allocation of economic capital
    Insurance: Mathematics and Economics, 2004, 35, (2), 299-319 View citations (42)
26. 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)
27. Editorial
    Insurance: Mathematics and Economics, 2004, 35, (1), 1-1
28. Some new classes of consistent risk measures
    Insurance: Mathematics and Economics, 2004, 34, (3), 505-516 View citations (50)

2003

29. Confidence bounds for discounted loss reserves
    Insurance: Mathematics and Economics, 2003, 33, (2), 297-316 View citations (5)
30. On the Distribution of Cash Flows Using Esscher Transforms
    Journal of Risk & Insurance, 2003, 70, (3), 563-575 View citations (4)
31. The hurdle-race problem
    Insurance: Mathematics and Economics, 2003, 33, (2), 405-413 View citations (6)

2002

32. 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)
33. The concept of comonotonicity in actuarial science and finance: applications
    Insurance: Mathematics and Economics, 2002, 31, (2), 133-161 View citations (197)
34. The concept of comonotonicity in actuarial science and finance: theory
    Insurance: Mathematics and Economics, 2002, 31, (1), 3-33 View citations (234)

2001

35. Actuarieel onderzoek en opleiding aan de KULeuven
    Review of Business and Economic Literature, 2001, XLVI, (4), 483-490
36. How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities
    Review of Business and Economic Literature, 2001, XLVI, (4), 533-544
37. Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation
    Review of Business and Economic Literature, 2001, XLVI, (4), 545-562 View citations (1)
38. Some Remarks on IBNR Evaluation Techniques
    Review of Business and Economic Literature, 2001, XLVI, (4), 525-532

2000

39. 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)
40. Homogeneous risk models with equalized claim amounts
    Insurance: Mathematics and Economics, 2000, 26, (2-3), 223-238 View citations (10)
41. Upper and lower bounds for sums of random variables
    Insurance: Mathematics and Economics, 2000, 27, (2), 151-168 View citations (70)

1999

42. Explicit finite-time and infinite-time ruin probabilities in the continuous case
    Insurance: Mathematics and Economics, 1999, 24, (3), 155-172 View citations (10)
43. Inequality extensions of Prabhu's formula in ruin theory
    Insurance: Mathematics and Economics, 1999, 24, (3), 249-271 View citations (7)
44. On the distribution of IBNR reserves
    Insurance: Mathematics and Economics, 1999, 25, (1), 1-9 View citations (4)
45. Solvency margins and equalization reserves
    Insurance: Mathematics and Economics, 1999, 24, (1-2), 103-115
46. Supermodular ordering and stochastic annuities
    Insurance: Mathematics and Economics, 1999, 24, (3), 281-290 View citations (11)
47. 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

48. Prediction of claim numbers based on hazard rates
    Insurance: Mathematics and Economics, 1998, 23, (1), 59-69 View citations (3)

1997

49. 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)
50. IBNR reserves under stochastic interest rates
    Insurance: Mathematics and Economics, 1997, 21, (3), 225-244
51. On the dependency of risks in the individual life model
    Insurance: Mathematics and Economics, 1997, 19, (3), 243-253 View citations (35)
52. The bi-atomic uniform minimal solution of Schmitter's problem
    Insurance: Mathematics and Economics, 1997, 20, (1), 59-78
53. The solution of Schmitter's simple problem: Numerical illustration
    Insurance: Mathematics and Economics, 1997, 20, (1), 43-58

1996

54. The compound Poisson approximation for a portfolio of dependent risks
    Insurance: Mathematics and Economics, 1996, 18, (1), 81-85 View citations (9)

1994

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

1993

58. Editorial: Disability risk in the EC
    Insurance: Mathematics and Economics, 1993, 13, (2), 99-99
59. 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

60. A stochastic approach to insurance cycles
    Insurance: Mathematics and Economics, 1992, 11, (2), 97-107 View citations (2)
61. A summary of new results on optimal parameter estimation under zero-excess assumptions
    Insurance: Mathematics and Economics, 1992, 11, (2), 153-161
62. Editorial
    Insurance: Mathematics and Economics, 1992, 11, (2), 81-82
63. Editorial
    Insurance: Mathematics and Economics, 1992, 10, (4), 231-231
64. Estimation of the heterogeneity parameter in the Buhlmann-Straub credibility theory model
    Insurance: Mathematics and Economics, 1992, 10, (4), 233-238
65. Interest randomness in annuities certain
    Insurance: Mathematics and Economics, 1992, 11, (4), 271-281 View citations (9)
66. Optimal parameter estimation under zero excess assumptions in the Buhlmann--Straub model
    Insurance: Mathematics and Economics, 1992, 11, (3), 167-171
67. Optimal parameter estimation under zero-excess assumptions in a classical model
    Insurance: Mathematics and Economics, 1992, 11, (1), 1-6 View citations (1)
68. Some further results on annuities certain with random interest
    Insurance: Mathematics and Economics, 1992, 11, (4), 283-290 View citations (4)
69. Statistical risk evaluation applied to (Belgian) car insurance
    Insurance: Mathematics and Economics, 1992, 10, (4), 289-302 View citations (3)
70. Stochastic processes defined from a Lagrangian
    Insurance: Mathematics and Economics, 1992, 11, (1), 55-69
71. The Laplace transform of annuities certain with exponential time distribution
    Insurance: Mathematics and Economics, 1992, 11, (4), 291-294 View citations (12)

1991

72. A recursive evaluation of the finite time ruin probability based on an equation of Seal
    Insurance: Mathematics and Economics, 1991, 10, (2), 93-97
73. Bounds on stop-loss premiums and ruin probabilities
    Insurance: Mathematics and Economics, 1991, 10, (2), 153-159 View citations (2)

1990

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

1989

75. A credit scoring model for personal loans
    Insurance: Mathematics and Economics, 1989, 8, (1), 31-34 View citations (22)
76. Combining Panjer's recursion with convolution
    Insurance: Mathematics and Economics, 1989, 8, (1), 19-21
77. Editorial
    Insurance: Mathematics and Economics, 1989, 8, (1), 1-1
78. Optimal reinsurance in relation to ordering of risks
    Insurance: Mathematics and Economics, 1989, 8, (1), 11-17 View citations (17)
79. Properties of the Esscher premium calculation principle
    Insurance: Mathematics and Economics, 1989, 8, (4), 261-267 View citations (7)
80. The practical application of credibility theory
    Insurance: Mathematics and Economics, 1989, 8, (1), 23-29

1988

81. Recursive calculation of finite-time ruin probabilities
    Insurance: Mathematics and Economics, 1988, 7, (1), 1-7 View citations (27)

1987

82. New upper bounds for stop-loss premiums for the individual model
    Insurance: Mathematics and Economics, 1987, 6, (4), 289-293
83. On the use of QUADPACK for the calculation of risk theoretical quantities
    Insurance: Mathematics and Economics, 1987, 6, (1), 33-42
84. Premium rating under non-exponential utility
    Insurance: Mathematics and Economics, 1987, 6, (4), 245-257

1986

85. Best bounds for positive distributions with fixed moments
    Insurance: Mathematics and Economics, 1986, 5, (1), 87-92 View citations (9)
86. Extremal values of stop-loss premiums under moment constraints
    Insurance: Mathematics and Economics, 1986, 5, (4), 279-283 View citations (3)
87. General bounds on ruin probabilities
    Insurance: Mathematics and Economics, 1986, 5, (2), 164-167
88. Ordering of risks and ruin probabilities
    Insurance: Mathematics and Economics, 1986, 5, (1), 35-39 View citations (4)
89. 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

90. 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)
91. Bounds on compound distributions and stop-loss premiums
    Insurance: Mathematics and Economics, 1985, 4, (4), 287-293 View citations (1)
92. Semilinear credibility with several approximating functions
    Insurance: Mathematics and Economics, 1985, 4, (3), 155-162 View citations (3)

1984

93. 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
94. Bounds for classical ruin probabilities
    Insurance: Mathematics and Economics, 1984, 3, (2), 121-131 View citations (9)
95. The effectiveness of temporary marginal cost subsidies
    International Journal of Industrial Organization, 1984, 2, (3), 235-249
96. 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

97. 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)
98. Bounds for the optimal critical claim size of a bonus system
    Insurance: Mathematics and Economics, 1983, 2, (1), 27-32
99. Maximization of the variance of a stop-loss reinsured risk
    Insurance: Mathematics and Economics, 1983, 2, (2), 75-80 View citations (4)
100. 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

101. A new premium calculation principle based on Orlicz norms
     Insurance: Mathematics and Economics, 1982, 1, (1), 41-53 View citations (27)
102. Analytical best upper bounds on stop-loss premiums
     Insurance: Mathematics and Economics, 1982, 1, (3), 163-175 View citations (5)
103. Numerical best bounds on stop-loss preminus
     Insurance: Mathematics and Economics, 1982, 1, (4), 287-302 View citations (2)
104. Ordering of risks: a review
     Insurance: Mathematics and Economics, 1982, 1, (2), 131-161 View citations (2)

1978

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

Editor

1. Insurance: Mathematics and Economics
   Elsevier