Dhaene Jan
Katholieke Universiteit Leuven
H-index: 47
Europe-Belgium
Top articles of Dhaene Jan
Title | Journal | Author(s) | Publication Date |
---|---|---|---|
'Egalitarian pooling and sharing of longevity risk', aka'The many ways to skin a tontine cat' | arXiv preprint arXiv:2402.00855 | Jan LM Dhaene Moshe A Milevsky | 2024/2/1 |
Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables | Scandinavian Actuarial Journal | Hamza Hanbali Daniël Linders Jan Dhaene | 2023/3/16 |
On the causality-preservation capabilities of generative modelling | arXiv preprint arXiv:2301.01109 | Yves-Cédric Bauwelinckx Jan Dhaene Tim Verdonck Milan van den Heuvel | 2023/1/3 |
COMONOTONICITY AND PARETO OPTIMALITY, WITH APPLICATION TO PEER-TO-PEER INSURANCE | Available at SSRN 4337038 | Michel Denuit Jan Dhaene Mario Ghossoub Christian Robert | 2023 |
Understanding the correlation risk premium | Available at SSRN 4562272 | Jan Dhaene Daniël Linders Biwen Ling Qian Wang | 2023/8/14 |
An Axiomatic Theory for Quantile-Based Risk Sharing | Jan Dhaene Christian Y Robert Ka Chun Cheung Michel Denuit | 2023/7/20 | |
Book review: Pricing insurance risk–theory and practice (by Stephen J. Mildenhall and John A. Major) | Jan Dhaene | 2023/6 | |
astin Bulletin | Mario Wüthrich Yair Babad Arthur Charpentier Marcus Christiansen Griselda Deelstra | 2022 | |
Systemic risk: Conditional distortion risk measures | Insurance: Mathematics and Economics | Jan Dhaene Roger J.A. Laeven Yiying Zhang | 2021/12 |
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables | Insurance: Mathematics and Economics | Hamza Hanbali Jan Dhaene Daniël Linders | 2022/11/1 |
Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages | Communications in Statistics-Theory and Methods | Masoud Amiri Jan Dhaene Muhyiddin Izadi Baha-Eldin Khaledi | 2022/9/17 |
Risk‐sharing rules and their properties, with applications to peer‐to‐peer insurance | Journal of Risk and Insurance | Michel Denuit Jan Dhaene Christian Y Robert | 2022/9 |
Supplement to “Systemic Risk: Conditional Distortion Risk Measures” | Jan Dhaene Roger JA Laeven Yiying Zhang | 2021/12/5 | |
Fair dynamic valuation of insurance liabilities via convex hedging | Insurance: Mathematics and Economics | Ze Chen Bingzheng Chen Jan Dhaene Tianyu Yang | 2021/5/1 |
Special issue'Stochastic modelling with applications in finance and insurance' | MATHEMATICS (BASEL) | Jan Dhaene Michèle Vanmaele | 2021 |
Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach | Scandinavian Actuarial Journal, Forthcoming | Ze Chen Bingzheng Chen Jan Dhaene | 2020 |
Comonotonic asset prices in arbitrage-free markets | Journal of Computational and Applied Mathematics | Jan Dhaene Alexander Kukush Daniël Linders | 2020/1/15 |
Systemic risk: Stochastic orders | Jan Dhaene Roger JA Laeven Yiying Zhang | 2020 |