← All authors Jan Dhaene KU Leuven (per OpenAlex) · ORCID · OpenAlex
114 papers in scope · 114 published · 1 on the econ.EM arXiv · 4,007 citations · h-index 32 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jonas Metzger Evan Munro Susan Athey Guido W. Imbens Emil N. Sørensen Christian M. Dahl Simon Wittrock Yves-Cédric Bauwelinckx Tim Verdonck Milan van den Heuvel Christian E. Westermann Aditya Ghosh Stefan Wager Jordi Llorens-Terrazas Keyon Vafa Qi Wu Gaoqian Xu Yuan Qi Arun Advani Herman Brunborg Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 114)
Self-protection, insurance demand and cost-sharing strategy under mean-variance preferences
published 2026 · Scandinavian Actuarial Journal
with Wentao Hu, Yiying Zhang
An axiomatic characterization of the quantile risk-sharing rule
published 2025 · Scandinavian Actuarial Journal · 2 citations
Understanding the correlation risk premium
published 2024 · Annals of Actuarial Science · first circulated 2023
with Daniël Linders, Biwen Ling, Qian Wang
Comonotonicity and Pareto optimality, with application to collaborative insurance
published 2024 · Insurance Mathematics and Economics · 9 citations · first circulated 2023
published 2024 · Journal of Computational and Applied Mathematics · 3 citations · first circulated 2023
Egalitarian pooling and sharing of longevity risk a.k.a. can an administrator help skin the tontine cat?
published 2024 · Insurance Mathematics and Economics · 4 citations
with Moshe A. Milevsky
Decentralized insurance: On the popularity of tontines and peer-to-peer (P2P) insurance schemes
published 2024 · Annals of Actuarial Science · 4 citations
with Michel Denuit, Runhuan Feng, Peter Hieber, Christian Y. Robert
Publisher Correction: Book review: pricing insurance risk – theory and practice
published 2023 · European Actuarial Journal
with Stephen J. Mildenhall, John A. Major
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
published 2022 · Insurance Mathematics and Economics · 1 citations
with Hamza Hanbali, Daniël Linders
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
published 2022 · Scandinavian Actuarial Journal · 6 citations
with Hamza Hanbali, Daniël Linders
Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance
published 2022 · Journal of Risk & Insurance · 61 citations
Systemic risk: Conditional distortion risk measures
published 2021 · Insurance Mathematics and Economics · 8 citations
Fair dynamic valuation of insurance liabilities via convex hedging
published 2021 · Insurance Mathematics and Economics · 11 citations · first circulated 2019
with Ze Chen, Bingzheng Chen, Tianyu Yang
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
published 2020 · Scandinavian Actuarial Journal · 12 citations
with Ze Chen, Bingzheng Chen
Fair valuation of insurance liability cash-flow streams in continuous time: Theory
published 2019 · Insurance Mathematics and Economics · 23 citations · first circulated 2018
with Łukasz Delong, Karim Barigou
Comonotonic asset prices in arbitrage-free markets
published 2019 · Journal of Computational and Applied Mathematics · 11 citations · first circulated 2018
with Alexander Kukush, Daniël Linders
Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market-and time-consistency
published 2019 · Insurance Mathematics and Economics · 28 citations · first circulated 2018
with Karim Barigou, Ze Chen
FAIR VALUATION OF INSURANCE LIABILITY CASH-FLOW STREAMS IN CONTINUOUS TIME: APPLICATIONS
published 2019 · Astin Bulletin · 30 citations · first circulated 2018
with Łukasz Delong, Karim Barigou
Measuring medical inflation for health insurance portfolios in Belgium
published 2019 · European Actuarial Journal · 7 citations
with Hamza Hanbali
A dynamic equivalence principle for systematic longevity risk management
published 2019 · Insurance Mathematics and Economics · 18 citations
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
published 2018 · Scandinavian Actuarial Journal · 36 citations
with Karim Barigou
Probabilistic solutions for a class of deterministic optimal allocation problems
published 2018 · Journal of Computational and Applied Mathematics · 6 citations
with Ka Chun Cheung, Yian Rong, Sheung Chi Phillip Yam
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
published 2018 · Insurance Mathematics and Economics · 17 citations
with Ming Zhou, Jing Yao
Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency
published 2017 · Insurance Mathematics and Economics · 65 citations
with Ben Stassen, Karim Barigou, Daniël Linders, Ze Chen
LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION
published 2017 · Astin Bulletin · 9 citations
Updating mechanism for lifelong insurance contracts subject to medical inflation
published 2017 · European Actuarial Journal · 9 citations · first circulated 2016
Optimal allocation of policy deductibles for exchangeable risks
published 2016 · Insurance Mathematics and Economics · 8 citations · first circulated 2015
with Sirous Fathi Manesh, Baha-Eldin Khaledi
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
published 2016 · Journal of Computational and Applied Mathematics · 19 citations · first circulated 2015
with Runhuan Feng, Xiaochen Jing
Tail mutual exclusivity and Tail-VaR lower bounds
published 2015 · Scandinavian Actuarial Journal · 6 citations
IS THE CAPITAL STRUCTURE LOGIC OF CORPORATE FINANCE APPLICABLE TO INSURERS? REVIEW AND ANALYSIS
published 2015 · Journal of Economic Surveys · 22 citations
with Cynthia Van Hulle, Gunther Wuyts, Frederiek Schoubben, Wim Schoutens
Option prices and model-free measurement of implied herd behavior in stock markets
published 2015 · International Journal of Financial Engineering · 12 citations · first circulated 2014
with Daniël Linders, Wim Schoutens
The minimal entropy martingale measure in a market of traded financial and actuarial risks
published 2015 · Journal of Computational and Applied Mathematics · 14 citations · first circulated 2014
with Ben Stassen, Pierre Devolder, Michel Vellekoop, Michael J. Vellekoop
On an optimization problem related to static super-replicating strategies
published 2014 · Journal of Computational and Applied Mathematics · 18 citations
with Xinliang Chen, Griselda Deelstra, Daniël Linders, Michèle Vanmaele
Dependent Risks
published 2014 · Wiley StatsRef: Statistics Reference Online
Individual Risk Model: Overview
published 2014 · Wiley StatsRef: Statistics Reference Online
with David Vyncke
Comonotonicity
published 2014 · Wiley StatsRef: Statistics Reference Online
with Steven Vanduffel, Marc Goovaerts
The multivariate Black & Scholes market: conditions for completeness and no-arbitrage
published 2014 · Theory of Probability and Mathematical Statistics · 15 citations · first circulated 2012
with Alexander Kukush, Daniël Linders
Reserve-dependent benefits and costs in life and health insurance contracts
published 2014 · Insurance Mathematics and Economics · 21 citations · first circulated 2013
A multivariate dependence measure for aggregating risks
published 2013 · Journal of Computational and Applied Mathematics · 28 citations
with Daniël Linders, Wim Schoutens, David Vyncke
Reducing risk by merging counter-monotonic risks
published 2013 · Insurance Mathematics and Economics · 24 citations
with Ka Chun Cheung, Ambrose Lo, Qihe Tang
Ordered random vectors and equality in distribution
published 2013 · Scandinavian Actuarial Journal · 22 citations
with Ka Chun Cheung, Alexander Kukush, Daniël Linders
On the (in-)dependence between financial and actuarial risks
published 2013 · Insurance Mathematics and Economics · 47 citations
with Alexander Kukush, Elisa Luciano, Wim Schoutens, Ben Stassen
Tail Variance premiums for log-elliptical distributions
published 2013 · Insurance Mathematics and Economics · 12 citations
with Zinoviy Landsman, Nika Pat
Remarks on quantiles and distortion risk measures
published 2012 · European Actuarial Journal · 139 citations
with Alexander Kukush, Daniël Linders, Qihe Tang
Convex order and comonotonic conditional mean risk sharing
published 2012 · Insurance Mathematics and Economics · 77 citations · first circulated 2010
Convex order approximations in the case of cash flows of mixed signs
published 2012 · Insurance Mathematics and Economics · 5 citations
with Marc Goovaerts, Michèle Vanmaele, Koen Van Weert
The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets
published 2012 · Insurance Mathematics and Economics · 74 citations
with Daniël Linders, Wim Schoutens, David Vyncke
FIX: The Fear Index—Measuring Market Fear
published 2012 · Springer proceedings in mathematics & statistics · 28 citations · first circulated 2011
with Julia Dony, Monika B. Forys, Daniël Linders, Wim Schoutens
A recursive approach to mortality-linked derivative pricing
published 2011 · Insurance Mathematics and Economics · 16 citations
with Zhaoning Shang, Marc Goovaerts
Optimal Capital Allocation Principles
published 2011 · Journal of Risk & Insurance · 226 citations · first circulated 2009
with Andreas Tsanakas, Emiliano A. Valdez, Steven Vanduffel
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
published 2011 · Journal of Computational and Applied Mathematics · 9 citations · first circulated 2009
with Koen Van Weert, Marc Goovaerts
Optimal portfolio selection for general provisioning and terminal wealth problems
published 2010 · Insurance Mathematics and Economics · 13 citations · first circulated 2009
with Koen Van Weert, Marc Goovaerts
Inequalities for the De Pril approximation to the distribution of the number of policies with claims
published 2009 · Scandinavian Actuarial Journal
with Raluca Vernic, Bjørn Sundt
Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables
published 2009 · Journal of Risk & Insurance · 7 citations
with Grzegorz Darkiewicz, Griselda Deelstra, Tom Hoedemakers, Michèle Vanmaele
Correlation order, merging and diversification
published 2009 · Insurance Mathematics and Economics · 2 citations
Risk measures and solvency — Special Issue
published 2009 · Journal of Computational and Applied Mathematics · 2 citations
with Ömer L. Gebizlioğlu
A Robustification of the Chain-Ladder Method
published 2009 · North American Actuarial Journal · 39 citations · first circulated 2007
Bounds and approximations for sums of dependent log-elliptical random variables
published 2008 · Insurance Mathematics and Economics · 13 citations · first circulated 2007
with Emiliano A. Valdez, Mateusz Maj, Steven Vanduffel, E Valdez
Can a Coherent Risk Measure Be Too Subadditive?
published 2008 · Journal of Risk & Insurance · 112 citations
Analytic bounds and approximations for annuities and Asian options
published 2008 · Insurance Mathematics and Economics · 14 citations
with Steven Vanduffel, Zhaoning Shang, Luc Henrard, Emiliano A. Valdez
Static super-replicating strategies for a class of exotic options
published 2008 · Insurance Mathematics and Economics · 90 citations · first circulated 2006
with Xianmei Chen, Griselda Deelstra, Michèle Vanmaele, X. Chen, Xinliang Chen
Optimal approximations for risk measures of sums of lognormals based on conditional expectations
published 2007 · Journal of Computational and Applied Mathematics · 12 citations
with Steven Vanduffel, Xinliang Chen, Marc Goovaerts, Luc Henrard, Rob Kaas
Some results on the CTE-based capital allocation rule
published 2007 · Insurance Mathematics and Economics · 87 citations · first circulated 2006
with Luc Henrard, Zinoviy Landsman, Antoine Vandendorpe, Steven Vanduffel
Corrigendum
published 2007 · Scandinavian Actuarial Journal
with Gordon E. Willmot, Bjørn Sundt
Buy and hold strategies in optimal portfolio selection problems: Comonotonic approximations
published 2006 · Insurance Mathematics and Economics · 2 citations
with Jesús Marín-Solano, Manuela Bosch Príncep, Carme Ribas, Oriol Roch, Steven Vanduffel
no link
Risk Measures and Comonotonicity: A Review
published 2006 · Stochastic Models · 65 citations
with Steven Vanduffel, M. J. Goovaerts, R. Kaas, Q. Tang, David Vyncke
Risk measurement with equivalent utility principles
published 2006 · Statistics & Risk Modeling · 70 citations
Comonotonic bounds on the survival probabilities in the Lee–Carter model for mortality projection
published 2006 · Journal of Computational and Applied Mathematics · 38 citations
Comparing Approximations for Risk Measures of Sums of Nonindependent Lognormal Random Variables
published 2005 · North American Actuarial Journal · 32 citations
with Steven Vanduffel, Tom Hoedemakers
Comonotonic Approximations for Optimal Portfolio Selection Problems
published 2005 · Journal of Risk & Insurance · 75 citations · first circulated 2004
with Steven Vanduffel, Marc Goovaerts, R. Kaas, David Vyncke, Rob Kaas
Bounds for the price of discrete arithmetic Asian options
published 2005 · Journal of Computational and Applied Mathematics · 70 citations
with Michèle Vanmaele, Griselda Deelstra, Jan Liinev, Marc Goovaerts
Static Hedging of Asian Options under Lévy Models
published 2005 · The Journal of Derivatives · 79 citations
with Hansjörg Albrecher, Marc Goovaerts, Wim Schoutens
On the distribution of discounted loss reserves using generalized linear models
published 2005 · Scandinavian Actuarial Journal · 18 citations · first circulated 2003
with Tom Hoedemakers, Jan Beirlant, Marc Goovaerts
Het Actuariaat in Leuven: 2001-2003 en de toekomst
published 2005 · Review of Business and Economic Literature (Printed)/Review of Business and Economic Literature (Online)
no link
Bounds for the price of a European-style Asian option in a binary tree model
published 2004 · European Journal of Operational Research · 23 citations
with Huguette Reynaerts, Michèle Vanmaele, Griselda Deelstra
Some new classes of consistent risk measures
published 2004 · Insurance Mathematics and Economics · 5 citations
with Marc Goovaerts, Rob Kaas, Qihe Tang
A Unified Approach to Generate Risk Measures
published 2003 · Astin Bulletin · 49 citations
with Marc Goovaerts, Rob Kaas, Qihe Tang, M.J. Goovaerts, R. Kaas, QH Tang
Bounds for sums of non-independent log-elliptical random variables
published 2003 · Insurance Mathematics and Economics · 12 citations
with E Valdez
no link
The hurdle-race problem
published 2003 · Insurance Mathematics and Economics
with Steven Vanduffel, Marc Goovaerts, Rob Kaas
Stable Laws and the Present Value of Fixed Cash Flows
published 2003 · North American Actuarial Journal
with Marc Goovaerts, Ann De Schepper, David Vyncke, Rob Kaas
Confidence bounds for discounted loss reserves
published 2003 · Insurance Mathematics and Economics · 25 citations
with Tom Hoedemakers, Jan Beirlant, Marc Goovaerts
On the Distribution of Cash Flows Using Esscher Transforms
published 2003 · Journal of Risk & Insurance · 10 citations
with David Vyncke, Marc Goovaerts, Ann De Schepper, R. Kaas, Rob Kaas
Risk measures and optimal portfolio selection
published 2003 · Insurance Mathematics and Economics · 3 citations
with Steven Vanduffel, QH Tang, M.J. Goovaerts, R. Kaas, David Vyncke
no link
Economic Capital Allocation Derived from Risk Measures
published 2003 · North American Actuarial Journal · 47 citations
with Mark J. Goovaerts, Rob Kaas
The concept of comonotonicity in actuarial science and finance: applications
published 2002 · Insurance Mathematics and Economics · 37 citations
The concept of comonotonicity in actuarial science and finance: theory
published 2002 · Insurance Mathematics and Economics · 632 citations
Bounds for present value functions with stochastic interest rates and stochastic volatility
published 2002 · Insurance Mathematics and Economics · 10 citations · first circulated 2001
with Ann De Schepper, Marc Goovaerts, Rob Kaas, David Vyncke
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
published 2002 · Astin Bulletin · 8 citations · first circulated 2001
Does positive dependence between individual risks increase stop-loss premiums?
published 2001 · Insurance Mathematics and Economics · 79 citations
Bonus-Malus scales using exponential loss functions
published 2001 · Blätter der DGVFM · 10 citations
Convex upper and lower bounds for present value functions
published 2001 · Applied Stochastic Models in Business and Industry · 5 citations
with David Vyncke, Marc Goovaerts
Upper and lower bounds for sums of random variables
published 2000 · Insurance Mathematics and Economics · 11 citations
with Rob Kaas, Marc Goovaerts
Self-Annuitization and Ruin in Retirement”, Moshe Arye Milevsky and Chris Robinson, October 2000
published 2000 · North American Actuarial Journal
with Marc Goovaerts, Rob Kaas
An easy computable upper bound for the price of an arithmetic Asian option
published 2000 · Insurance Mathematics and Economics · 87 citations
with Steven L. Simon, Marc Goovaerts
Stochastic Upper Bounds for Present Value Functions
published 2000 · Journal of Risk & Insurance · 18 citations
with Marc Goovaerts, Ann De Schepper
The safest dependence structure among risks
published 1999 · Insurance Mathematics and Economics · 128 citations
Recursions for Distribution Functions and Stop-Loss Transforms
published 1999 · Scandinavian Actuarial Journal · 16 citations
with Gordon E. Willmot, Bjørn Sundt
Comonotonicity, correlation order and premium principles
published 1998 · Insurance Mathematics and Economics · 161 citations
with Shaoyu Wang
On approximating distributions by approximating their De Pril transforms
published 1998 · Scandinavian Actuarial Journal · 30 citations
with Bjørn Sundt
Some results on moments and cumulants
published 1998 · Scandinavian Actuarial Journal · 19 citations
with Bjørn Sundt, Nelson De Pril
On Error Bounds for Approximations to Aggregate Claims Distributions
published 1997 · Astin Bulletin · 19 citations
with Bjørn Sundt
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
published 1997 · Insurance Mathematics and Economics · 15 citations
with Michiel Vanneste, Marc Goovaerts, Ann De Schepper
On the dependency of risks in the individual life model
published 1997 · Insurance Mathematics and Economics · 2 citations
with M.J. Goovaerts
Dependency of Risks and Stop-Loss Order
published 1996 · Astin Bulletin · 235 citations
with Marc Goovaerts
On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions
published 1996 · Astin Bulletin · 5 citations
with Bjørn Sundt
The compound Poisson approximation for a portfolio of dependent risks
published 1996 · Insurance Mathematics and Economics · 38 citations
with Marc Goovaerts
Some Moment Relations for the Hipp approximation
published 1996 · Astin Bulletin · 11 citations
with Bjørn Sundt, Nelson De Pril
Some remarks on the definition of the basic building blocks of modern life insurance mathematics
published 1995 · Insurance Mathematics and Economics
with Nelson De Pril
Recursions for the individual model
published 1995 · Insurance Mathematics and Economics · 37 citations
On a class of approximative computation methods in the individual risk model
published 1994 · Insurance Mathematics and Economics · 52 citations
with Nelson De Pril
Error Bounds for Compound Poisson Approximations of the Individual Risk Model
published 1992 · Astin Bulletin · 37 citations
with Nelson De Pril
Distributions in Life Insurance
published 1990 · Astin Bulletin · 11 citations
Optimal Premium Control in a Non-life Insurance Business
published 1990 · Scandinavian Actuarial Journal · 13 citations
Stochastic Interest Rates and Autoregressive Integrated Moving Average Processes
published 1989 · Astin Bulletin · 45 citations
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