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Jan Marcel Leonie Dhaene

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Personal Details

First Name: Jan
Middle Name: Marcel Leonie
Last Name: Dhaene
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RePEc Short-ID: pdh2

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Affiliation

Faculteit Economie en Bedrijfswetenschappen
KU Leuven
Location: Leuven, Belgium
Homepage: http://www.econ.kuleuven.ac.be/
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Postal: Naamsestraat 69, 3000 Leuven
Handle: RePEc:edi:fekulbe (more details at EDIRC)

Works

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Working papers

  1. J. Marin-Solano (Universitat de Barcelona) & O. Roch (Universitat de Barcelona) & J. Dhaene (Katholieke Univerisiteit Leuven) & C. Ribas (Universitat de Barcelona) & M. Bosch-Princep (Universitat de B, 2009. "Buy-and-Hold Strategies and Comonotonic Approximations," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia 213, Universitat de Barcelona. Espai de Recerca en Economia.
  2. Dhaene, Jan & Tsanakas, Andreas & Emiliano, Valdez & Steven, Vanduffel, 2009. "Optimal capital allocation principles," MPRA Paper 13574, University Library of Munich, Germany.
  3. DE SCHEPPER, Ann & GOOVAERTS, Marc & DHAENE, Jan & KAAS, Rob & VYNCKE, David, 2001. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Working Papers 2001037, University of Antwerp, Faculty of Applied Economics.

Articles

  1. Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe, 2014. "Reducing risk by merging counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 58-65.
  2. Landsman, Zinoviy & Pat, Nika & Dhaene, Jan, 2013. "Tail Variance premiums for log-elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 441-447.
  3. Dhaene, Jan & Kukush, Alexander & Luciano, Elisa & Schoutens, Wim & Stassen, Ben, 2013. "On the (in-)dependence between financial and actuarial risks," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 522-531.
  4. Dhaene, Jan & Goovaerts, Marc & Vanmaele, Michèle & Van Weert, Koen, 2012. "Convex order approximations in the case of cash flows of mixed signs," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 249-256.
  5. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
  6. Dhaene, Jan & Linders, Daniël & Schoutens, Wim & Vyncke, David, 2012. "The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 357-370.
  7. Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc, 2012. "Comonotonic approximations for the probability of lifetime ruin," Journal of Pension Economics and Finance, Cambridge University Press, Cambridge University Press, vol. 11(02), pages 285-309, April.
  8. Jan Dhaene & Andreas Tsanakas & Emiliano A. Valdez & Steven Vanduffel, 2012. "Optimal Capital Allocation Principles," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 79(1), pages 1-28, 03.
  9. Shang, Zhaoning & Goovaerts, Marc & Dhaene, Jan, 2011. "A recursive approach to mortality-linked derivative pricing," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 240-248, September.
  10. Van Weert, Koen & Dhaene, Jan & Goovaerts, Marc, 2010. "Optimal portfolio selection for general provisioning and terminal wealth problems," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 90-97, August.
  11. Valdez, Emiliano A. & Dhaene, Jan & Maj, Mateusz & Vanduffel, Steven, 2009. "Bounds and approximations for sums of dependent log-elliptical random variables," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 385-397, June.
  12. Dhaene, Jan & Denuit, Michel & Vanduffel, Steven, 2009. "Correlation order, merging and diversification," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 325-332, December.
  13. Grzegorz Darkiewicz & Griselda Deelstra & Jan Dhaene & Tom Hoedemakers & Michèle Vanmaele, 2009. "Bounds for Right Tails of Deterministic and Stochastic Sums of Random Variables," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 76(4), pages 847-866.
  14. J. Dhaene & R. J. A. Laeven & S. Vanduffel & G. Darkiewicz & M. J. Goovaerts, 2008. "Can a Coherent Risk Measure Be Too Subadditive?," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 75(2), pages 365-386.
  15. Chen, X. & Deelstra, G. & Dhaene, J. & Vanmaele, M., 2008. "Static super-replicating strategies for a class of exotic options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1067-1085, June.
  16. Vanduffel, Steven & Shang, Zhaoning & Henrard, Luc & Dhaene, Jan & Valdez, Emiliano A., 2008. "Analytic bounds and approximations for annuities and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1109-1117, June.
  17. Dhaene, J. & Henrard, L. & Landsman, Z. & Vandendorpe, A. & Vanduffel, S., 2008. "Some results on the CTE-based capital allocation rule," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 855-863, April.
  18. J. Dhaene & S. Vanduffel & M. Goovaerts, 2007. "Comonotonicity," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(2), pages 265-278.
  19. Denuit Michel & Dhaene Jan & Goovaerts Marc & Kaas Rob & Laeven Roger, 2006. "Risk measurement with equivalent utility principles," Statistics & Risk Modeling, De Gruyter, De Gruyter, vol. 24(1/2006), pages 25, July.
  20. Reynaerts, Huguette & Vanmaele, Michele & Dhaene, Jan & Deelstra, Griselda, 2006. "Bounds for the price of a European-style Asian option in a binary tree model," European Journal of Operational Research, Elsevier, Elsevier, vol. 168(2), pages 322-332, January.
  21. Vanduffel, Steven & Dhaene, Jan & Goovaerts, Marc, 2005. "On the evaluation of plans," Journal of Pension Economics and Finance, Cambridge University Press, Cambridge University Press, vol. 4(01), pages 17-30, March.
  22. J. Dhaene, 2005. "Het Actuariaat in Leuven: 2001-2003 en de toekomst," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(1), pages 9-14.
  23. J. Dhaene & S. Vanduffel & M. J. Goovaerts & R. Kaas & D. Vyncke, 2005. "Comonotonic Approximations for Optimal Portfolio Selection Problems," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 72(2), pages 253-300.
  24. D. Vyncke & M. Goovaerts & J. Dhaene & S. Vanduffel, 2005. "Optimal Portfolio Selection for Cash-Flows with Bounded Capital at Risk," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(1), pages 103-114.
  25. J. Beirlant & G. Claeskens & C. Croux & H. Degryse & H. Dewachter & G. Dhaene & J. Dhaene & I. Gijbels & M. Goovaerts & M. Hubert & F. Roodhooft & W. Schouten & M. Willekens, 2005. "Managing Uncertainty: Financial, Actuarial and Statistical Modeling," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(1), pages 23-48.
  26. Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2004. "Some new classes of consistent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 505-516, June.
  27. Hoedemakers, Tom & Beirlant, Jan & Goovaerts, Marc J. & Dhaene, Jan, 2003. "Confidence bounds for discounted loss reserves," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 297-316, October.
  28. Vanduffel, S. & Dhaene, J. & Goovaerts, M. & Kaas, R., 2003. "The hurdle-race problem," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 405-413, October.
  29. D. Vyncke & M. J. Goovaerts & A. De Schepper & R. Kaas & J. Dhaene, 2003. "On the Distribution of Cash Flows Using Esscher Transforms," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 70(3), pages 563-575.
  30. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: applications," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 133-161, October.
  31. De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.
  32. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
  33. J. DHaene & M. Goovaerts & R. Kaas, 2001. "Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(4), pages 545-562.
  34. Denuit, Michel & Dhaene, Jan & Ribas, Carmen, 2001. "Does positive dependence between individual risks increase stop-loss premiums?," Insurance: Mathematics and Economics, Elsevier, vol. 28(3), pages 305-308, June.
  35. M. Goovaerts & J. Dhaene & E. Vanden Borre, 2001. "Some Remarks on IBNR Evaluation Techniques," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(4), pages 525-532.
  36. J. Dhaene, 2001. "De nabije toekomst van het Actuariaat in Leuven," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(4), pages 477-482.
  37. J. DHaene & M. Goovaerts & S. Vanduffel & D. Vyncke, 2001. "How to Determine the Capital Requirement for a Portfolio of Annuity Liabilities," Review of Business and Economics, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, Katholieke Universiteit Leuven, Faculteit Economie en Bedrijfswetenschappen, vol. 0(4), pages 533-544.
  38. Kaas, Rob & Dhaene, Jan & Goovaerts, Marc J., 2000. "Upper and lower bounds for sums of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 27(2), pages 151-168, October.
  39. Simon, S. & Goovaerts, M. J. & Dhaene, J., 2000. "An easy computable upper bound for the price of an arithmetic Asian option," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 175-183, May.
  40. Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
  41. Goovaerts, M. J. & Dhaene, J., 1999. "Supermodular ordering and stochastic annuities," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 281-290, May.
  42. Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
  43. Vanneste, M. & Goovaerts, M. J. & De Schepper, A. & Dhaene, J., 1997. "A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate," Insurance: Mathematics and Economics, Elsevier, vol. 20(1), pages 35-41, June.
  44. Dhaene, J. & Goovaerts, M. J., 1997. "On the dependency of risks in the individual life model," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 243-253, May.
  45. Goovaerts, M. J. & Dhaene, J., 1996. "The compound Poisson approximation for a portfolio of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 81-85, May.
  46. Dhaene, Jan & Vandebroek, Martina, 1995. "Recursions for the individual model," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 31-38, April.
  47. Dhaene, Jan & Pril, Nelson De, 1994. "On a class of approximative computation methods in the individual risk model," Insurance: Mathematics and Economics, Elsevier, vol. 14(2), pages 181-196, May.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2009-02-28. Author is listed
  2. NEP-IAS: Insurance Economics (1) 2009-02-28. Author is listed
  3. NEP-RMG: Risk Management (2) 2009-01-17 2009-02-28. Author is listed

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