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Publications by Jan Dhaene

Optimal Capital Allocation Principles

Journal of Risk and Insurance

English

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits With Dynamic Policyholder Behavior

Journal of Computational and Applied Mathematics

Computational Mathematics

Applied Mathematics

English

Updating Mechanism for Lifelong Insurance Contracts Subject to Medical Inflation

European Actuarial Journal

English

Remarks on Quantiles and Distortion Risk Measures

European Actuarial Journal

English

Tail Mutual Exclusivity and Tail-VaR Lower Bounds

SSRN Electronic Journal

English

The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks

SSRN Electronic Journal

English

On an Optimization Problem Related to Static Super-Replicating Strategies

SSRN Electronic Journal

English

Error Bounds for Compound Poisson Approximations of the Individual Risk Model

English

Some Moment Relations for the Hipp Approximation

English

Bounds for Present Value Functions With Stochastic Interest Rates and Stochastic Volatility

Insurance: Mathematics and Economics

English