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Jaap Spreeuw

Personal Details

First Name:Jaap
Middle Name:
Last Name:Spreeuw
Suffix:
RePEc Short-ID:psp59
[This author has chosen not to make the email address public]
http://www.cass.city.ac.uk/faculty/j.spreeuw
Terminal Degree:1999 Faculteit Economie en Bedrijfskunde; Universiteit van Amsterdam (from RePEc Genealogy)

Affiliation

Cass Business School
City University

London, United Kingdom
http://www.cass.city.ac.uk/

: +44 (0) 20 7040 8600

106 Bunhill Row, London EC1Y 8TZ
RePEc:edi:bscituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  2. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  3. Jaap Spreeuw & Henk Wolthuis, 1997. "Unobserved Heterogeneity; Process and Parameter Effects in Life Insurance," Tinbergen Institute Discussion Papers 97-131/4, Tinbergen Institute.

Articles

  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.
  2. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
  3. Spreeuw, Jaap & Owadally, Iqbal, 2013. "Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives," Annals of Actuarial Science, Cambridge University Press, vol. 7(02), pages 236-257, September.
  4. Jaap Spreeuw & Martin Karlsson, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 261-278.
  5. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
  6. Jaap Spreeuw, 2005. "The Probationary Period as a Screening Device: The Monopolistic Insurer," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(1), pages 5-14, June.
  7. J. Spreeuw, 2005. "Upper and Lower Bounds of Present Value Distributions of Life Insurance Contracts with Disability Related Benefi ts," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business, Review of Business and Economic Literature, vol. 0(1), pages 115-160.
  8. Spreeuw, Jaap & Wolthuis, Henk, 2000. "Actuarial Models for Disability Insurance: S. Haberman, E. Pitacco; Chapman & Hall, London, UK, 1999, xviii+280 pp., ISBN 0-8493-0389-3," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 397-398, December.
  9. Spreeuw, Jaap & Goovaerts, Marc, 1998. "Prediction of claim numbers based on hazard rates," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 59-69, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.

    Cited by:

    1. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.

  2. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy).

    Cited by:

    1. Gribkova, Svetlana & Lopez, Olivier & Saint-Pierre, Philippe, 2013. "A simplified model for studying bivariate mortality under right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 181-192.
    2. Schröder, Carsten, 2012. "Profitability of pension contributions – evidence from real-life employment biographies," Journal of Pension Economics and Finance, Cambridge University Press, vol. 11(03), pages 311-336, July.
    3. Triossi, Matteo & Romero Medina, Antonio, 2011. "Games with capacity manipulation : incentives and Nash equilibria," UC3M Working papers. Economics we1125, Universidad Carlos III de Madrid. Departamento de Economía.
    4. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    5. Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou, 2016. "On bivariate lifetime modelling in life insurance applications," Papers 1601.04351, arXiv.org.
    6. Gregory Ponthiere, 2016. "The contribution of improved joint survival conditions to living standards: an equivalent consumption approach," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 46(2), pages 407-449, February.
    7. Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.
    8. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
    9. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    10. Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary, 2017. "Analysis of survivorship life insurance portfolios with stochastic rates of return," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 16-31.
    11. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
    12. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
    13. Svetlana Gribkova & Olivier Lopez, 2015. "Non-parametric Copula Estimation Under Bivariate Censoring," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 925-946, December.
    14. Sanders, Lisanne & Melenberg, Bertrand, 2016. "Estimating the joint survival probabilities of married individuals," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 88-106.
    15. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
    16. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
    17. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.
    18. Lopez, Olivier, 2012. "A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 505-516.
    19. Delong, Łukasz & Chen, An, 2016. "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 342-352.

Articles

  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.

    Cited by:

    1. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.

  2. Spreeuw, Jaap & Owadally, Iqbal, 2013. "Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives," Annals of Actuarial Science, Cambridge University Press, vol. 7(02), pages 236-257, September.

    Cited by:

    1. Gregory Ponthiere, 2016. "The contribution of improved joint survival conditions to living standards: an equivalent consumption approach," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 46(2), pages 407-449, February.
    2. Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.

  3. Jaap Spreeuw & Martin Karlsson, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 261-278.

    Cited by:

    1. Ma, Ben-jiang & Qiu, Chun-guang & Bi, Wen-jie, 2015. "An insurance contract with a low compensation period under adverse selection," Information Economics and Policy, Elsevier, vol. 31(C), pages 67-74.

  4. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
    See citations under working paper version above.
  5. Jaap Spreeuw, 2005. "The Probationary Period as a Screening Device: The Monopolistic Insurer," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(1), pages 5-14, June.

    Cited by:

    1. Jaap Spreeuw & Martin Karlsson, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 261-278.
    2. Ma, Ben-jiang & Qiu, Chun-guang & Bi, Wen-jie, 2015. "An insurance contract with a low compensation period under adverse selection," Information Economics and Policy, Elsevier, vol. 31(C), pages 67-74.

  6. Spreeuw, Jaap & Goovaerts, Marc, 1998. "Prediction of claim numbers based on hazard rates," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 59-69, October.

    Cited by:

    1. Zhao, Xiao Bing & Zhou, Xian & Wang, Jing Long, 2009. "Semiparametric model for prediction of individual claim loss reserving," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 1-8, August.
    2. Zhao, XiaoBing & Zhou, Xian, 2010. "Applying copula models to individual claim loss reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 290-299, April.
    3. Herbst, Tomas, 1999. "An application of randomly truncated data models in reserving IBNR claims," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 123-131, November.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-HEA: Health Economics (2) 2007-09-24 2007-11-24
  2. NEP-ECM: Econometrics (1) 2007-11-24
  3. NEP-RMG: Risk Management (1) 2007-11-24

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