| Publication | Date of Publication | Type |
|---|
An axiomatic characterization of the quantile risk-sharing rule
Scandinavian Actuarial Journal | 2026-02-27 | Paper |
Egalitarian pooling and sharing of longevity risk a.k.a. \textit{can an administrator help skin the tontine cat?}
Insurance Mathematics & Economics | 2025-01-17 | Paper |
On the causality-preservation capabilities of generative modelling
Journal of Computational and Applied Mathematics | 2024-12-16 | Paper |
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Scandinavian Actuarial Journal | 2023-04-18 | Paper |
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
Insurance Mathematics & Economics | 2023-02-01 | Paper |
Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages
Communications in Statistics: Theory and Methods | 2022-08-12 | Paper |
Systemic risk: conditional distortion risk measures
Insurance Mathematics & Economics | 2022-03-10 | Paper |
A robustification of the chain-ladder method
North American Actuarial Journal | 2022-02-11 | Paper |
Fair dynamic valuation of insurance liabilities via convex hedging
Insurance Mathematics & Economics | 2021-06-21 | Paper |
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Comonotonic asset prices in arbitrage-free markets
Journal of Computational and Applied Mathematics | 2019-12-16 | Paper |
Fair valuation of insurance liability cash-flow streams in continuous time: theory
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Measuring medical inflation for health insurance portfolios in Belgium
European Actuarial Journal | 2019-09-03 | Paper |
Fair valuation of insurance liability cash-flow streams in continuous time: applications
ASTIN Bulletin | 2019-05-29 | Paper |
A dynamic equivalence principle for systematic longevity risk management
Insurance Mathematics & Economics | 2019-05-23 | Paper |
Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting
Scandinavian Actuarial Journal | 2019-05-10 | Paper |
Tail mutual exclusivity and Tail-VaR lower bounds
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Ordered random vectors and equality in distribution
Scandinavian Actuarial Journal | 2018-07-10 | Paper |
Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation
ASTIN Bulletin | 2018-06-04 | Paper |
An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
Insurance Mathematics & Economics | 2018-04-12 | Paper |
Updating mechanism for lifelong insurance contracts subject to medical inflation
European Actuarial Journal | 2018-04-03 | Paper |
Probabilistic solutions for a class of deterministic optimal allocation problems
Journal of Computational and Applied Mathematics | 2018-02-14 | Paper |
Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
Insurance Mathematics & Economics | 2017-09-19 | Paper |
| Capital requirements, risk measures and comonotonicity | 2017-03-13 | Paper |
| On the computation of the capital multiplier in the Fortis credit economic capital model | 2017-03-13 | Paper |
| Simple characterizations of comonotonicity and countermonotonicity by extremal correlations | 2017-03-13 | Paper |
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Journal of Computational and Applied Mathematics | 2016-12-28 | Paper |
Optimal allocation of policy deductibles for exchangeable risks
Insurance Mathematics & Economics | 2016-12-14 | Paper |
A note on the stop-loss preserving property of Wang's premium principle
Mitteilungen. Schweizerische Aktuarvereinigung (SAV) | 2016-04-07 | Paper |
The minimal entropy martingale measure in a market of traded financial and actuarial risks
Journal of Computational and Applied Mathematics | 2015-02-18 | Paper |
Reserve-dependent benefits and costs in life and health insurance contracts
Insurance Mathematics & Economics | 2015-01-28 | Paper |
On an optimization problem related to static super-replicating strategies
Journal of Computational and Applied Mathematics | 2014-11-27 | Paper |
The multivariate Black \& Scholes market: conditions for completeness and no-arbitrage
Theory of Probability and Mathematical Statistics | 2014-10-15 | Paper |
FIX: the fear index -- measuring market fear
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
A multivariate dependence measure for aggregating risks
Journal of Computational and Applied Mathematics | 2014-07-17 | Paper |
Reducing risk by merging counter-monotonic risks
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Convex order and comonotonic conditional mean risk sharing
Insurance Mathematics & Economics | 2014-04-14 | Paper |
Convex order approximations in the case of cash flows of mixed signs
Insurance Mathematics & Economics | 2014-04-14 | Paper |
On the (in-)dependence between financial and actuarial risks
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Tail variance premiums for log-elliptical distributions
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Risk measures and dependencies of risks
Brazilian Journal of Probability and Statistics | 2013-09-16 | Paper |
Remarks on quantiles and distortion risk measures
European Actuarial Journal | 2013-02-05 | Paper |
The herd behavior index: a new measure for the implied degree of co-movement in stock markets
Insurance Mathematics & Economics | 2012-05-11 | Paper |
Correlation order, merging and diversification
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Optimal portfolio selection for general provisioning and terminal wealth problems
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Inequalities for the De Pril approximation to the distribution of the number of policies with claims
Scandinavian Actuarial Journal | 2011-11-26 | Paper |
An overview of comonotonicity and its applications in finance and insurance
Advanced Mathematical Methods for Finance | 2011-08-08 | Paper |
A recursive approach to mortality-linked derivative pricing
Insurance Mathematics & Economics | 2011-08-02 | Paper |
Comparing approximations for risk measures of sums of nonindependent lognormal random variables
North American Actuarial Journal | 2011-07-02 | Paper |
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
Journal of Computational and Applied Mathematics | 2011-04-13 | Paper |
Some new classes of consistent risk measures
Insurance Mathematics & Economics | 2010-06-20 | Paper |
| Consistent assumptions for modeling credit loss correlations | 2010-06-07 | Paper |
| scientific article; zbMATH DE number 5713267 (Why is no real title available?) | 2010-05-27 | Paper |
| The economics of insurance: a review and some recent developments | 2010-05-27 | Paper |
| Comonotonicity and maximal stop-loss premiums | 2010-05-27 | Paper |
| Stochastic approximations of present value functions | 2010-05-27 | Paper |
| scientific article; zbMATH DE number 5640261 (Why is no real title available?) | 2009-11-27 | Paper |
Bounds and approximations for sums of dependent log-elliptical random variables
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Some results on the CTE-based capital allocation rule
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Optimal approximations for risk measures of sums of lognormals based on conditional expectations
Journal of Computational and Applied Mathematics | 2008-10-22 | Paper |
| scientific article; zbMATH DE number 5321684 (Why is no real title available?) | 2008-09-05 | Paper |
Static super-replicating strategies for a class of exotic options
Insurance Mathematics & Economics | 2008-06-25 | Paper |
Analytic bounds and approximations for annuities and Asian options
Insurance Mathematics & Economics | 2008-06-25 | Paper |
On the distribution of discounted loss reserves using generalized linear models
Scandinavian Actuarial Journal | 2007-12-16 | Paper |
| On the characterization of premium principle with respect to pointwise comonotonicity | 2007-12-16 | Paper |
Bonus-Malus scales using exponential loss functions
Blätter der DGVFM | 2007-10-30 | Paper |
Comonotonic bounds on the survival probabilities in the Lee--Carter model for mortality projection
Journal of Computational and Applied Mathematics | 2007-04-11 | Paper |
Risk Measures and Comonotonicity: A Review
Stochastic Models | 2007-02-15 | Paper |
Risk measurement with equivalent utility principles
Statistics & Risk Modeling | 2007-01-30 | Paper |
Recursions for the individual risk model
Acta Mathematicae Applicatae Sinica. English Series | 2007-01-29 | Paper |
Economic Capital Allocation Derived from Risk Measures
North American Actuarial Journal | 2006-01-05 | Paper |
Stable Laws and the Present Value of Fixed Cash Flows
North American Actuarial Journal | 2006-01-05 | Paper |
Bounds for the price of discrete arithmetic Asian options
Journal of Computational and Applied Mathematics | 2005-10-26 | Paper |
Bounds for the price of a European-style Asian option in a binary tree model
European Journal of Operational Research | 2005-10-17 | Paper |
| scientific article; zbMATH DE number 2188756 (Why is no real title available?) | 2005-07-27 | Paper |
A Unified Approach to Generate Risk Measures
ASTIN Bulletin | 2005-03-30 | Paper |
A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
ASTIN Bulletin | 2005-03-30 | Paper |
| scientific article; zbMATH DE number 2101198 (Why is no real title available?) | 2004-09-21 | Paper |
Confidence bounds for discounted loss reserves.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
The hurdle-race problem.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
The concept of comonotonicity in actuarial science and finance: applications.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Does positive dependence between individual risks increase stop-loss premiums?
Insurance Mathematics & Economics | 2003-11-16 | Paper |
The concept of comonotonicity in actuarial science and finance: theory.
Insurance Mathematics & Economics | 2003-06-25 | Paper |
Bounds for present value functions with stochastic interest rates and stochastic volatility.
Insurance Mathematics & Economics | 2003-06-25 | Paper |
Upper and lower bounds for sums of random variables
Insurance Mathematics & Economics | 2001-12-03 | Paper |
Convex upper and lower bounds for present value functions
Applied Stochastic Models in Business and Industry | 2001-09-16 | Paper |
| scientific article; zbMATH DE number 1234542 (Why is no real title available?) | 2001-05-02 | Paper |
Supermodular ordering and stochastic annuities
Insurance Mathematics & Economics | 2000-08-16 | Paper |
The safest dependence structure among risks.
Insurance Mathematics & Economics | 2000-03-30 | Paper |
On the dependency of risks in the individual life model
Insurance Mathematics & Economics | 2000-02-20 | Paper |
Recursions for Distribution Functions and Stop-Loss Transforms
Scandinavian Actuarial Journal | 1999-09-14 | Paper |
Comonotonicity, correlation order and premium principles
Insurance Mathematics & Economics | 1999-04-08 | Paper |
Some results on moments and cumulants
Scandinavian Actuarial Journal | 1999-03-25 | Paper |
On approximating distributions by approximating their De Pril transforms
Scandinavian Actuarial Journal | 1999-03-25 | Paper |
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate
Insurance Mathematics & Economics | 1998-05-04 | Paper |
The compound Poisson approximation for a portfolio of dependent risks
Insurance Mathematics & Economics | 1997-01-09 | Paper |
Recursions for the individual model
Insurance Mathematics & Economics | 1996-01-07 | Paper |
On a class of approximative computation methods in the individual risk model
Insurance Mathematics & Economics | 1995-01-25 | Paper |
Optimal Premium Control in a Non-life Insurance Business
Scandinavian Actuarial Journal | 1990-01-01 | Paper |
