papers

2017

  • Updating mechanism for lifelong insurance contracts subject to medical inflation. [pdf]
    M. Denuit, J. Dhaene, H. Hanbali, N. Lucas, J. Trufin (2017). European Actuarial Journal, 7(1), 133-163.
  • Probabilistic solution for a class of deterministic allocation problems. [pdf]
    K. C. Cheung, J. Dhaene, Y. Rong & P. S. C. Yam (2017).
  • Is the capital structure logic of corporate finance applicable to insurers? Review and analysis. [pdf]
    J. Dhaene, C. Van Hulle, C., G. Wuyts, F. Schoubben, W. Schoutens (2017). Journal of Economic Surveys, vol. 31 issue 1, 169-189.
  • Application de l’indice médical dans les contrats d’assurance maladie en Belgique. [pdf]
    H. Hanbali, H. Claassens, M. Denuit, J. Dhaene, J. Trufin (2017). Research report AFI-17114, KU Leuven.
  • Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency. [pdf]
    J. Dhaene, B. Stassen, K. Barigou, D. Linders, Z. Chen (2017). Insurance : Mathematics & Economics, accepted for publication.
  • Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. [pdf]
    J. Dhaene, E. Godecharle, K. Antonio, M. Denuit, H. Hanbali (2017).  ASTIN Bulletin, accepted for publication.
  • Le nouveau mécanisme belge d’indexation des primes des contrats d’assurance hospitalisation. [pdf]
    M. Denuit, J. Dhaene, H. Hanbali, N. Lucas & J. Trufin (2017).  Le Monde de l’Assurance, N°2017.05 mai 2017.
  • Tail mutual exclusivity and tail-var lower bounds. [pdf]
    K.C. Cheung, M. Denuit, J. Dhaene (2017). Scandinavian Actuarial Journal, 2017(1), 88-104.

2016

  • Le nouveau mécanisme belge d’indexation des primes des contrats d’assurance hospitalisation. [pdf]
    M. Denuit, J. Dhaene, H. Hanbali, N. Lucas, J. Trufin (2016). Research report AFI-16109, KU Leuven.
  • Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. [pdf]
    R. Feng, X. Jing, J. Dhaene (2016). Journal of Computational and Applied Mathematics, 311, 272-292.
  • Optimal allocation of policy deductibles for exchangeable risks. [pdf]
    S.F. Manesh, B.-E. Khaledi, J. Dhaene (2016). Insurance : Mathematics & Economics, 71, 87- 92.

2015

  • On an optimization problem related to static super-replicating strategies. [pdf]
    X. Chen, G. Deelstra, J. Dhaene, D. Linders & M. Vanmaele (2015). Journal of Computational and Applied Mathematics, 278, 213-230.
  • Updating mechanisms for lifelong health insurance contracts with reserve- or premium-based surrender values[pdf]
    J. Dhaene, E. Godecharle, K. Antonio, M. Denuit (2015). ASTIN, AFIR/ERM and IACA Colloquia, Sydney.
  • Option prices and model-free measurement of implied herd behavior in stock markets. [pdf]
    D. Linders, J. Dhaene & W. Schoutens (2015). International Journal of Financial Engineering, 2(2), art.nr. 1550012.
  • Ordered random vectors and equality in distribution. [pdf]
    K.C. Cheung, J. Dhaene, A. Kukush & D. Linders (2015). Scandinavian Actuarial Journal, 3, 221-244.
  • The Minimal Entropy Martingale Measure in a market of traded financial and actuarial risks. [pdf]
    J. Dhaene, B. Stassen, P. Devolder & M. Vellekoop (2015). Journal of Computational and Applied Mathematics, 282, 111-133.

2014

  • A multivariate dependence measure for aggregating risks. [PDF version]
    J. Dhaene, D. Linders, W. Schoutens & D. Vyncke (2014). Journal of Computational and Applied Mathematics, 263, 78-87.
  •  Financing choices of insurance companies: A summary of the literature. [PDF version]
    J. Dhaene, M. Saerens, F. Schoubben, C. Van Hulle & G. Wuyts (2014). Review of Business and Economic Literature, 58(4), 286-307.
  • Reducing risk by merging counter-monotonic risks. [PDF version]
    K. C. Cheung, J. Dhaene, A. Lo, Q. Tang (2014). Insurance: Mathematics and Economics, 54(1), 58-65.
  • Reserve-dependent benefits and costs in life and health insurance contracts. [PDF version]
    M. C. Christiansen, M. M. Denuit & J. Dhaene (2014). ISBA, Discussion paper 2014/04.
    Insurance: Mathematics & Economics, 57, 132-137.

2013

  • On the (in-)dependence between financial and actuarial risks. [PDF version]
    J. Dhaene, A. Kukush, E. Luciano, W. Schoutens & B. Stassen (2013). Insurance: Mathematics and Economics, 52(3), 522-531.
  • Premium indexing in lifelong health insurance. [PDF version]
    W. Vercruysse, J. Dhaene, M. Denuit, E. Pitacco & K. Antonio (2013). Far East Journal of Mathematical Sciences. Special Volume 2013, Part IV, 365-384.
  • Swiss Re’s $750m solvency trigger coco is much riskier than it seems. [PDF version]
    J. De Spiegeleer, J. Dhaene & W. Schoutens (2013). Creditflux, April 2013.
  • Tail variance premiums for log-elliptical distributions. [PDF version]
    Z. Landsman, N. Pat & J. Dhaene (2013). Insurance: Mathematics & Economics, 52(3), 441-447.
  • The multivariate Black & Scholes market: conditions for completeness and no-arbitrage. [PDF version]
    J. Dhaene, A. Kukush & D. Linders (2013). Theory of Probability and Mathematical Statistics, No. 88, 2013, 1-14.

2012

  • Comonotonic approximations for the probability of lifetime ruin. [PDF version]
    K. Van Weert, J. Dhaene & M. Goovaerts (2012). Journal of Pension Economics and Finance, 11(2), 285–309.
  • Convex Order Approximations in case of Cash Flows of Mixed Signs. [PDF version]
    J. Dhaene, M. Goovaerts, M. Vanmaele & K. Van Weert (2012). Insurance: Mathematics and Economics, 51, 249-256.
  • Convex order and comonotonic conditional mean risk sharing. [PDF version]
    M. Denuit & J. Dhaene (2012). Insurance: Mathematics and Economics, 51, 265-270.
  • FIX: The Fear Index – Measuring market fear. [PDF version]
    J. Dhaene, J. Dony, M. Forys, D. Linders & W. Schoutens (2012). Topics in Numerical Methods for Finance, Cummins M. et al. (eds.). Springer Proceedings in Mathematics & Statistics.
  • Index options: a model-free approach. [PDF version]
    D. Linders, J. Dhaene, H. Hounnon & M. Vanmaele (2012). Research report AFI-1265, FEB, KU Leuven.
  • Optimal capital allocation principles. [PDF version]
    J. Dhaene, A. Tsanakas, E. Valdez & S. Vanduffel (2012). Journal of Risk and Insurance, 79(1), 1-28.
  • Remarks on quantiles and distortion risk measures. [PDF version]
    J. Dhaene, A. Kukush, D. Linders & Q. Tang (2012). European Actuarial Journal, 2(2), 319-328. Also available at SSRN.
  • The Herd Behavior Index: a new measure for the implied degree of co-movement in financial markets. [PDF version]
    J. Dhaene, D. Linders, W. Schoutens & D. Vyncke (2012). Insurance: Mathematics and Economics, 50(3), 357-370.

2011

  • A recursive approach to mortality-linked derivative pricing. [PDF version]
    Z. Shang, M. Goovaerts & J. Dhaene (2011). Insurance: Mathematics and Economics, 49(2), 240-248.
  • Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. [PDF version]
    K. Van Weert, J. Dhaene & M. Goovaerts (2011). Journal of Computational and Applied Mathematics, 235, 3245-3256.
  • Comonotonic modification of random vector in its own probability space. [PDF version]
    J. Dhaene & A. Kukush (2011). Research report AFI-1151, FEB, K.U.Leuven.

2010

  • An overview of comonotonicity and its applications in finance and insurance. [PDF version]
    G. Deelstra, J. Dhaene & M. Vanmaele (2010). Advanced Mathematical Methods for Finance (editors: Øksendal, B. and  Nunno, G.). Springer, Germany (Heidelberg).
  • Buy-and-hold strategies and comonotonic approximations. [PDF version]
    J. Marin-Solano, O. Roch,  J. Dhaene, C. Ribas, M. Bosch-Princep, S. Vanduffel (2010). Belgian Actuarial Bulletin, 9(1), 17-28.
  • Inequalities for the De Pril approximation to the distribution of the number of policies with claims. [PDF version]
    R. Vernic, J. Dhaene & B. Sundt (2010). Scandinavian Actuarial Journal, 4, 249-267.
  • Optimal portfolio selection for general provisioning and terminal wealth problems. [PDF version]
    K. Van Weert, J. Dhaene & M. Goovaerts (2010). Insurance: Mathematics and Economics, 47, 90-97.
  • The application of an accurate approximation in the risk management of investment guarantees in life insurance. [PDF version]
    K. Bekker & J. Dhaene (2010).

2009

  • A robustification of the chain-ladder method. [PDF version]
    T. Verdonck, M. Van Wouwe & J. Dhaene (2009). North American Actuarial Journal, 13(2), 280-298.
  • Bounds and approximations for sums of dependent log-elliptical random variables. [PDF version]
    E. Valdez, J. Dhaene, M. Maj & S. Vanduffel (2009). Insurance: Mathematics and Economics, 44, 385-397.
  • Bounds for right tails of deterministic and stochastic sums of random variables. [PDF version]
    G. Darkiewicz, G. Deelstra, J. Dhaene, T. Hoedemakers & M. Vanmaele (2009). Journal of Risk and Insurance, 76(4), 847-866.
  • Correlation order, merging and diversification. [PDF version]
    J. Dhaene, M. Denuit & S. Vanduffel (2009). Insurance: Mathematics and Economics, 45, 325-332.

2008

  • Analytic bounds and approximations for annuities and Asian options. [PDF version]
    S. Vanduffel, Z. Shang, L. Henrard, J. Dhaene & E. Valdez (2008). Insurance: Mathematics and Economics, 42(3), 1109-1117.
  • Can a coherent risk measure be too subadditive? [PDF version]
    J. Dhaene, R. Laeven, S. Vanduffel, G. Darkiewicz & M. Goovaerts (2008). Journal of Risk and Insurance, 75(2), 365-386.
  • Comonotonicity. [PDF version]
    J. Dhaene, S. Vanduffel & M. Goovaerts (2008). Encyclopedia of Quantitative Risk Analysis and Assessment, Melnick, E. and Everitt, B. (eds). John Wiley & Sons Ltd, Chichester, UK, 274-279.
  • Modern actuarial risk theory: using R. [website]
    R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit (2008). Springer, pp. 381.
  • Optimal approximations for risk measures of sums of lognormals based on conditional expectations. [PDF version]
    S. Vanduffel, X. Chen, J. Dhaene, M. Goovaerts, L. Henrard & R. Kaas (2008). Journal of Computational and Applied Mathematics, 221(1), 202-218.
  • Some comments on QIS3. [PDF version]
    J. Dhaene, M. Goovaerts & K. Van Weert (2008). Zavarovalniski Horizonti, 3, 73-87.
  • Some results on the CTE based capital allocation rule. [PDF version]
    J. Dhaene, L. Henrard, Z. Landsman, A. Vandendorpe & S. Vanduffel (2008). Insurance: Mathematics and Economics, 42, 855–863.
  • Static super-replicating strategies for a class of exotic options. [PDF version]
    X. Chen, G. Deelstra, J. Dhaene & M. Vanmaele (2008). Insurance: Mathematics and Economics, 42(3), 1067-1085.
  • The use of a stochastic LGD in a credit default economic capital framework. [PDF version]
    J. Dhaene, M. Goovaerts, S. Vanduffel, R. Koch, R. Olieslagers & O. Romijn (2008).
  • Wat is zwaarder: één kilo veren of één kilo lood? [PDF version]
    J. Dhaene, M. Goovaerts & R. Kaas (2008). De actuaris, jaargang 15(3).

2007

  • Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projection. [PDF version]
    M. Denuit, J. Dhaene (2007). Journal of Computational and Applied Mathematics, 203, 169-176.
  • Comonotonicity (long version). [PDF version]
    J. Dhaene, S. Vanduffel & M. Goovaerts (2007). Het tijdschrift voor economie en management, Vol. LII, 2.

2006

  • Bounds for the price of a European-style Asian option in a binary tree model. [PDF version]
    H. Reynaerts, M. Vanmaele, J. Dhaene & G. Deelstra (2006). European Journal of Operational Research, 168 (2), 322-332.
  • Bounds for the price of discrete arithmetic Asian options. [PDF version]
    M. Vanmaele, G. Deelstra, J. Liinev, J. Dhaene & M.J. Goovaerts (2006). Journal of Computational and Applied Mathematics, vol. 185 (1), 51-90.
  • Consistent assumptions for modeling credit loss correlations. [PDF version]
    J. Dhaene, M. Goovaerts, S. Vanduffel, R. Koch, R. Olieslagers & O. Romijn (2006). Journal of Actuarial Practice, vol. 13, 173-182.
  • Discriminatie in (auto)verzekeringen: parabels en feiten. [PDF version]
    J. Dhaene & S. Vanduffel (2006). De Standaard, April 25, 2006.
  • Invloed van IFRS en Solvency 2 op het risicobeheer van verzekeringsmaatschappijen. [PDF version]
    S. Vanduffel, J. Dhaene, M. Goovaerts & R. Kaas (2006). Bank- en Financiewezen, 5.
  • On the characterization of premium principle with respect to pointwise comonotonicity. [PDF version]
    J. Dhaene, A. Kukush, M. Pupashenko (2006). Theory of Stochastic Processes, vol. 12 (28), N3-4, 27-45.
  • Recursions for the individual risk model. [PDF version]
    J. Dhaene, C. Ribas, R. Vernic (2006). Acta Mathematica Applicatae Sinica, English Series, vol. 22 (4), 543-564.
  • Risk measurement with equivalent utility principles. [PDF version]
    M. Denuit, J. Dhaene, M. Goovaerts, R. Kaas & R. Laeven (2006). Statistics & Decisions, Vol. 24 (1), 1-25 .
  • Risk measures and comonotonicity: a review. [PDF version]
    J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas, D. Vyncke & Q.Tang. (2006). Stochastic Models, 22, 573-606.

2005

  • Actuarial theory for dependent risks: measures, orders and models. 
    M. Denuit, J. Dhaene, M. Goovaerts, R. Kaas (2005). Wiley, pp. 440.
  • Aggregating economic capital. [PDF version]
    J. Dhaene, M. Goovaerts, M. Lundin & S. Vanduffel (2005). Belgian Actuarial Bulletin, 5, 14-25.
  • A liability driven approach to asset allocation. [PDF version]
    X. Chen, J. Dhaene, M. Goovaerts, S. Vanduffel (2005). Belgian Actuarial Bulletin, 5, 52-56.
  • Basel II: capital requirements for equity investment portfolios. [PDF version]
    F. Suarez, J. Dhaene, L. Henrard & S. Vanduffel (2005). Belgian Actuarial Bulletin, 5, 37-45.
  • Comonotonic approximations for optimal portfolio selection problems. [PDF version]
    J. Dhaene, S. Vanduffel, M. Goovaerts, R. Kaas & D. Vyncke (2005). Journal of Risk and Insurance, 72 (2), 253-301.
  • Comparing approximations for risk measures of sums of non-independent lognormal random variables. [PDF version]
    S. Vanduffel, T. Hoedemakers & J. Dhaene (2005). North American Actuarial Journal, vol. 9 (4), 71-82.
  • Is one euro of actuaries worth the same as one euro of financial economists? [PDF version]
    J. Dhaene, L. Henrard & S. Vanduffel (2005). Belgian Actuarial Bulletin, 5.
  • On the distribution of discounted loss reserves using generalized linear models. [PDF version]
    T. Hoedemakers, J. Beirlant, M. Goovaerts & J. Dhaene (2005). Scandinavian Actuarial Journal, 2005 (1), 25-45.
  • On the evaluation of ‘saving-consumption’ plans. [PDF version]
    S. Vanduffel, J. Dhaene & M. Goovaerts (2005). Journal of Pension Economics and Finance, 4 (1), 17-30.
  • Optimal portfolio selection for cash-flows with bounded Capital at Risk. [PDF version]
    D. Vyncke, M. Goovaerts, J. Dhaene & S. Vanduffel (2005). Tijdschrift voor Economie en Management, L (1), 103-114.
  • Risk measures and dependencies of risks. [PDF version]
    G. Darkiewicz, J. Dhaene & M. Goovaerts (2005). Brazilian Journal of Probability and Statistics, 19, 155-178.
  • Static hedging of Asian options under Lévy models: the comonotonicity approach. [PDF version]
    H. Albrecher, J. Dhaene, M. Goovaerts & W. Schoutens (2005). The Journal of Derivatives, 12 (3), 63-72.
  • Verzekerden discrimineren betekend niet noodzakelijk hen benadelen. [PDF version]
    J. Dhaene & S. Vanduffel (2005). De Tijd, May 3, 2005.

2004

  • An accurate analytical approximation for the price of a European-style arithmetic Asian option. [PDF version]
    D. Vyncke, M. Goovaerts & J. Dhaene (2004). Finance, 25, 121-139.
  • Capital requirements, risk measures and comonotonicity. [PDF version]
    J. Dhaene, S. Vanduffel, Q.H. Tang, M. Goovaerts, R. Kaas & D. Vyncke (2004). Belgian Actuarial Bulletin, 4, 53-61.
  • Comonotoniciteit als risk management instrument. [PDF version]
    J. Dhaene, M. Goovaerts, S. Vanduffel & C. Van Hulle (2004). Business Inzicht, December 17, 2-3.
  • De IBNR-discussie. [Part 1Part 2]
    T. Hoedemakers, M. Goovaerts & J. Dhaene (2004). De Actuaris, 11(4), 26-29.
  • Distortion risk measures for sums of random variables. [PDF version]
    G. Darkiewicz, J. Dhaene & M. Goovaerts (2004). Blaetter der DGVFM, XXVI (4), 631-641.
  • Proceedings of the second actuarial and financial mathematics day (februari 6, 2004).
    M. Vanmaele, A. De Schepper, J. Dhaene, H. Reynaerts, W. Schoutens, P. Van Goethem (2004). Koninklijke Vlaamse Academie van België voor Wetenschappen en Kunsten, Brussels.
  • Risk measures and optimal portfolio selection (with applications to elliptical distributions). [PDF version]
    J. Dhaene, E. Valdez, T. Hoedemakers (2004). Lecture Notes of the Third conference in Actuarial Science and Finance, Samos, Sep 6-8.
  • Some new classes of consistent risk measures. [PDF version]
    M. Goovaerts, R. Kaas, J. Dhaene & Q. Tang (2004). Insurance: Mathematics and Economics, 34 (3), 505-516.
  • The individual risk model. [PDF version]
    J. Dhaene & D. Vyncke (2004). Encyclopedia of Actuarial Science, Wiley, Vol. II, 871-875.

2003

  • A unified approach to generate risk measures. [PDF version]
    M.J. Goovaerts, R. Kaas, J. Dhaene & Q. Tang (2003). ASTIN Bulletin, 33 (2), 173-192.
  • Coherent distortion risk measures – a pitfall. [PDF version]
    G. Darkiewicz, J. Dhaene & M. Goovaerts (2003). Proceedings of the Seventh International Congress on Insurance: Mathematics and Economics, Lyon.
  • Confidence bounds for discounted loss reserves. [PDF version]
    T. Hoedemakers, J. Beirlant, M. Goovaerts & J. Dhaene (2003). Insurance: Mathematics and Economics, 33 (2), 297-316.
  • Economic capital allocation derived from risk measures. [PDF version]
    J. Dhaene, M.J. Goovaerts & R. Kaas (2003). North American Actuarial Journal, 7 (2), 44-59.
  • IBNR problematiek in historisch perspectief. [PDF version]
    T. Hoedemakers, M. Goovaerts & J. Dhaene (2003). De Actuaris, 11(2), 27-29.
  • On the computation of the capital multiplier in the Fortis credit economic capital model. [PDF version]
    J. Dhaene, S. Vanduffel, M. Goovaerts, R. Olieslagers & R. Koch (2003). Belgian Actuarial Bulletin, 3, 50-57.
  • On the distribution of cash-flows using Esscher transforms. [PDF version]
    D. Vyncke, M. Goovaerts, A. De Schepper, R. Kaas & J. Dhaene (2003). Journal of Risk and Insurance, 70 (3), 563-575.
  • Proceedings of the first Brazilian conference on statistical modelling in insurance and finance. 
    J. Dhaene, N. Kolev, P. Morettin (editors) (2003). Institute of Mathematics and Statistics, University of Sao Paulo.
  • Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. [PDF version]
    M. Denuit & J. Dhaene (2003). Belgian Actuarial Bulletin, 3, 22-27.
  • Stable laws and the present value of cash-flows. [PDF version]
    M. Goovaerts, A. De Schepper, D. Vyncke, J. Dhaene & R. Kaas (2003). North American Actuarial Journal, 7 (4), 32-43.
  • The hurdle-race problem. [PDF version]
    S. Vanduffel, J. Dhaene, M.J. Goovaerts & R. Kaas (2003). Insurance: Mathematics and Economics, 33 (2), 405-413.
  • The valuation of cash-flows in the presence of dividend barriers. [PDF version]
    A. De Schepper, M. Goovaerts, J. Dhaene, D. Vyncke & R. Kaas (2003). Medium Econometrische Toepassingen, 11(2), 18-25 (also in Proceedings Astin Colloquium, Washington, pp. 30, 2001).

2002

  • A simple geometric proof that comonotonic risks have the convex-largest sum. [PDF version]
    R. Kaas, J. Dhaene, D. Vyncke, M. Goovaerts & M. Denuit (2002). ASTIN Bulletin, 32 (1), 71-80.
  • Bounds for present value functions with stochastic interest rates and stochastic volatility. [PDF version]
    A. De Schepper, M. Goovaerts, J. Dhaene, R. Kaas & D. Vyncke (2002). Insurance: Mathematics and Economics, 31 (1), 87-103.
  • Risk and savings contracts. [PDF version]
    J. Dhaene, H. Wolthuis, M. Denuit & M. Goovaerts (2002). Transactions of the 27th International Congress of Actuaries, Cancun, Mexico, March 17-22.
  • The concept of comonotonicity in actuarial science and finance: theory. [PDF version]
    J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke (2002). Insurance: Mathematics & Economics, 31 (1), 3-33.
  • The concept of comonotonicity in actuarial science and finance: applications. [PDF version]
    J. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke (2002).  Insurance: Mathematics & Economics, 31 (2), 133-161.

2001

  • Bonus-malus scales using exponential loss functions. [PDF version]
    M. Denuit & J. Dhaene (2001). Blätter der Deutshce Gesellschaft für Versicherungsmathematik, 25, 13-27.
  • Convex upper and lower bounds for present value functions. [PDF version]
    D. Vyncke, M. Goovaerts & J. Dhaene (2001). Applied Stochastic Models in Business and Industry, 17, 149-164.
  • Does positive dependence between individual risks increase stop-loss premiums? [PDF version]
    M. Denuit, J. Dhaene & C. Ribas (2001). Insurance: Mathematics & Economics, 28 (3), 305-308.
  • Exponential bonus-malus systems integrating a priori risk classification. [PDF version]
    L. Bermúdez, M. Denuit & J. Dhaene (2001). Journal of Actuarial Practice, 9, 84-112.
  • Measuring the impact of a dependence among insured lifelengths. [PDF version]
    M. Denuit, J. Dhaene, C. Le Bailly de Tilleghem & S. Teghem (2001). Belgian Actuarial Bulletin, 1 (1), 18-39.
  • Modern actuarial risk theory.  
    R. Kaas, M. Goovaerts, J. Dhaene, M. Denuit (2001). Kluwer Academic Publishers.
  • Some remarks on IBNR evaluation techniques. 
    M.J. Goovaerts, J. Dhaene, E. Van den Borre and R. Redant (2001). Belgian Actuarial Bulletin,1, 58-60; Tijdschrift voor Economie en Management, XLVI, 525-532.
  • Stochastic approximations of present value functions. [PDF version]
    H. Cossette, M. Denuit, J. Dhaene & E. Marceau (2001). Bulletin of the Swiss Association of Actuaries, 2001 (1), 15-28.

2000

  • An easy computable upper bound for the price of an arithmetic Asian option. [PDF version]
    S. Simon, M. Goovaerts & J. Dhaene (2000). Insurance: Mathematics & Economics, 26 (2-3), 175-184.
  • A note on dependencies in multiple life statuses. [PDF version]
    J. Dhaene, M. Vanneste & H. Wolthuis (2000). Bulletin of the Swiss Association of Actuaries, 2000 (1), 19-34.
  • Comonotonicity and maximal stop-loss premiums. [PDF version]
    J. Dhaene, S. Wang, V.R. Young & M. Goovaerts (2000). Bulletin of the Swiss Association of Actuaries, 2000 (2), 99-113.
  • Stochastic upper bounds for present value functions. [PDF version]
    M. Goovaerts, J. Dhaene & A. De Schepper (2000). The Journal of Risk and Insurance, 67 (1), 1-14.
  • Upper and lower bounds for sums of random variables. [PDF version]
    R. Kaas, J. Dhaene & M. Goovaerts (2000). Insurance: Mathematics & Economics, 27 (2), 151-168.

1999

  • Recursions for distribution functions and stop-loss transforms. [PDF version]
    J. Dhaene, G. Willmot & B. Sundt (1999). Scandinavian Actuarial Journal, 1999 (1), 52-65.
  • Risico en verzekering. [PDF version]
    N. De Pril, J. Dhaene & S. Simon (1999). Liber Amicorum Prof. Dr. R. De Groot, UFSIA.
  • Some positive dependence notions, with applications in actuarial sciences. [PDF version]
    M. Denuit, J. Dhaene & C. Ribas (1999). Research report 9942, department ETEW KULeuven.
  • Supermodular ordering and stochastic annuities. [PDF version]
    M. Goovaerts & J. Dhaene (1999). Insurance: Mathematics & Economics, 24 (3), 281-290.
  • The safest dependence structure among risks. [PDF version]
    J. Dhaene & M. Denuit (1999). Insurance: Mathematics & Economics, 25, 11-21.
  • The economics of insurance: a review and some recent developments. [PDF version]
    M. Denuit, J. Dhaene & M. Van Wouwe (1999). Mitteilungen der Schweiz. Aktuarvereinigung, 1999 (2), 137-175.

1998

  • A note on the stop-loss preserving property of Wang’s premium principle. [PDF version]
    C. Ribas, M. Goovaerts & J. Dhaene (1998). Bulletin of the Swiss Association of Actuaries, 1998 (2), 237-241.
  • Comonotonicity, correlation order and premium principles. [PDF version]
    S. Wang & J. Dhaene (1998). Insurance: Mathematics & Economics, 22 (3), 235-242.
  • On approximating distributions by approximating their De Pril-transforms. [PDF version]
    J. Dhaene & B. Sundt (1998). Scandinavian Actuarial Journal, 1-23.
  • On the characterization of Wang’s class of premium principles. [PDF version]
    M. Goovaerts & J. Dhaene (1998). Transactions of the 26th International Congress of Actuaries 4, 121-134.
  • Some remarks on the definition of the basic building blocks of modern life insurance mathematics. [PDF version]
    N. De Pril & J. Dhaene (1998). Research report OR-9506, K.U.Leuven.
  • Some results on moments and cumulants. [PDF version]
    B. Sundt, J. Dhaene & N. De Pril (1998). Scandinavian Actuarial Journal, 24-40.

1997

  • A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. [PDF version]
    M. Vanneste, M. Goovaerts, A. De Schepper & J. Dhaene (1997). Insurance: Mathematics & Economics, 20, 35-41.
  • On error bounds for approximations to aggregate claim distributions. [PDF version]
    J. Dhaene & B. Sundt (1997). ASTIN Bulletin, 27(2), 243-262.
  • On the dependency of risks in the individual life model. [PDF version]
    J. Dhaene & M. Goovaerts (1997). Insurance: Mathematics & Economics, 19(3), 243-253.
  • Premie-differentiatie, bonus-malus en solidariteit. [PDF version]
    M.J. Goovaerts, J. Dhaene & G. Van Dingenen (1997). Liber Amicorum Prof. R. Dillemans, Boekdeel 2, Kluwer, 157-168. Also published in Jubileum Uitgave 50 jaar Opleiding Actuariële Wetenschappen, Universiteit van Amsterdam, deel 2, 127-139.

1996

  • Dependency of risks and stop-loss order. [PDF version]
    J. Dhaene & M. Goovaerts (1996). ASTIN Bulletin, 26(2), 201-212.
  • On bounds for the difference between the stop loss transforms of two compound distributions. [PDF version]
    B. Sundt & J. Dhaene (1996). ASTIN Bulletin, 26(2), 225-231.
  • Some moment relations for the Hipp approximation. [PDF version]
    J. Dhaene, B. Sundt & N. De Pril (1996). ASTIN Bulletin, 26(1), 117-121.
  • The compound Poisson approximation for a portfolio of dependent risks. [PDF version]
    M. Goovaerts & J. Dhaene (1996). Insurance: Mathematics & Economics, 18(1), 81-85.
  • Actuariële bedenkingen bij een eenvormig opgelegd bonus-malus stelsel. [PDF version]
    J. Dhaene, G. Van Dingenen, O. Kools, S. Vanduffel, R. Verlaak (1996). Research Report DTEW, K.U. Leuven, 9633, pp. 8.

1995

  • Recursions for the individual model. [PDF version]
    J. Dhaene & M. Vandebroek (1995). Insurance: Mathematics & Economics, 16, 31-38.
  • Segmentering. [PDF version]
    N. De Pril & J. Dhaene (1995). Commissie voor Verzekeringen, Ministerie van Economische Zaken.
  • Some remarks on the definition of the basic building blocks in life insurance mathematics.
    N. De Pril, J. Dhaene (1995). 25th International Congress of Actuaries, Brussels, September 10-15, 1995 , vol. 1, 129-136.

1994

  • On a class of approximative computation methods in the individual risk model. [PDF version]
    J. Dhaene & N. De Pril (1994). Insurance: Mathematics & Economics, 14, 181-196.

1992

  • Error bounds for compound Poisson approximations of the individual risk model. [PDF version]
    N. De Pril & J. Dhaene (1992). ASTIN Bulletin, 22 (2), 135-148.
  • Actuarial functions and random rates of return.
    J. Dhaene (1992). Bulletin van de Koninklijke Vereniging van Belgische Actuarissen, 85, 23-36.

1991

  • Approximating the compound negative binomial distribution by the compound Poisson distribution. [PDF version]
    J. Dhaene (1991). Bulletin of the Swiss Association of Actuaries, 117-121.

1990

  • Distributions in life insurance. [PDF version]
    J. Dhaene (1990). ASTIN Bulletin, 20 (1), 81-92.
  • Optimal premium control in a non-life insurance business. [PDF version]
    M. Vandebroek & J. Dhaene (1990). Scandinavian Actuarial Journal, 3-13.

1989

  • Stochastic interest rates and autoregressive integrated moving average processes. [PDF version]
    J. Dhaene (1989). ASTIN Bulletin, 19 (2), 131-138.