User profiles for Jan Dhaene
Dhaene JanOrdinary Professor Actuarial Science, KU Leuven Verified email at kuleuven.be Cited by 11100 |
[BOOK][B] Modern actuarial risk theory: using R
Modern Actuarial Risk Theory contains what every actuary needs to know about non-life
insurance mathematics. It starts with the standard material like utility theory, individual and …
insurance mathematics. It starts with the standard material like utility theory, individual and …
Optimal capital allocation principles
This article develops a unifying framework for allocating the aggregate capital of a financial
firm to its business units. The approach relies on an optimization argument, requiring that the …
firm to its business units. The approach relies on an optimization argument, requiring that the …
Upper and lower bounds for sums of random variables
In this contribution, the upper bounds for sums of dependent random variables X 1 +X 2 +⋯+X
n derived by using comonotonicity are sharpened for the case when there exists a random …
n derived by using comonotonicity are sharpened for the case when there exists a random …
On the (in-) dependence between financial and actuarial risks
Probability statements about future evolutions of financial and actuarial risks are expressed
in terms of the ‘real-world’ probability measure P, whereas in an arbitrage-free environment, …
in terms of the ‘real-world’ probability measure P, whereas in an arbitrage-free environment, …
[BOOK][B] Actuarial theory for dependent risks: measures, orders and models
The increasing complexity of insurance and reinsurance products has seen a growing
interest amongst actuaries in the modelling of dependent risks. For efficient risk management, …
interest amongst actuaries in the modelling of dependent risks. For efficient risk management, …
The concept of comonotonicity in actuarial science and finance: theory
In an insurance context, one is often interested in the distribution function of a sum of random
variables. Such a sum appears when considering the aggregate claims of an insurance …
variables. Such a sum appears when considering the aggregate claims of an insurance …
The concept of comonotonicity in actuarial science and finance: applications
In an insurance context, one is often interested in the distribution function of a sum of
random variables (rv’s). Such a sum appears when considering the aggregate claims of an …
random variables (rv’s). Such a sum appears when considering the aggregate claims of an …
Risk measures and comonotonicity: a review
In this paper we examine and summarize properties of several well-known risk measures that
can be used in the framework of setting solvency capital requirements for a risky business. …
can be used in the framework of setting solvency capital requirements for a risky business. …
Dependency of Risks and Stop-Loss Order1
J Dhaene, MJ Goovaerts - ASTIN Bulletin: The Journal of the IAA, 1996 - cambridge.org
The correlation order, which is defined as a partial order between bivariate distributions with
equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness …
equal marginals, is shown to be a helpfull tool for deriving results concerning the riskiness …
Economic capital allocation derived from risk measures
We examine properties of risk measures that can be considered to be in line with some “best
practice” rules in insurance, based on solvency margins. We give ample motivation that all …
practice” rules in insurance, based on solvency margins. We give ample motivation that all …