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Researcher
Jan Dhaene
Profile
Projects
Publications
Activities
Awards & Distinctions
40
Results
2008
Static super-replicating strategies for a class of exotic options
Xinliang Chen
Griselda Deelstra
Jan Dhaene
Michèle Vanmaele
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2008
2007
5th Actuarial and financial mathematics day, 9 februari 2007
Book editor
2007
2006
4th Actuarial and financial mathematics day, 10 februari 2006
Book editor
2006
Bounds for the price of a European-style Asian option in a binary tree model
Huguette Reynaerts
Michèle Vanmaele
Jan Dhaene
Griselda Deelstra
A1
Journal Article
in
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
2006
Bounds for the price of discrete arithmetic Asian options
Michèle Vanmaele
Griselda Deelstra
Jan Liinev
Jan Dhaene
M Goovaerts
A1
Journal Article
in
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
2006
Minimization of the (conditional) Value-at-Risk for a coupon bearing bond using a bond put option
Jan Annaert
Griselda Deelstra
Dries Heyman
Michèle Vanmaele
C1
Conference
2006
Risk measures and comonotonicity: A review
Jan Dhaene
S VANDUFFEL
MJ GOOVAERTS
R KAAS
Q TANG
David Vyncke
A1
Journal Article
in
STOCHASTIC MODELS
2006
2005
3rd Actuarial and financial mathematics day, 4 februari 2005
Book editor
2005
Comonotonic approximations for optimal portfolio selection problems
Jan Dhaene
S VANDUFFEL
MJ GOOVAERTS
R KAAS
David Vyncke
A1
Journal Article
in
JOURNAL OF RISK AND INSURANCE
2005
Optimal portfolio selection for cash-flows with bounded capital at risk
David Vyncke
M Goovaerts
Jan Dhaene
S Vanduffel
A2
Journal Article
in
TIJDSCHRIFT VOOR ECONOMIE EN MANAGEMENT
2005
2004
2nd Actuarial and financial mathematics day, 6 februari 2004
Book editor
2004
An accurate analytical approximation for the price of a European-style arithmetic Asian option
David Vyncke
M GOOVAERTS
Jan Dhaene
A2
Journal Article
in
FINANCE
2004
Bounds for stop-loss premiums of life annuities with random interest rates
G Darkiewicz
Griselda Deelstra
Jan Dhaene
T Hoedemakers
Michèle Vanmaele
C3
Conference
2004
Forward wap market models with jumps
Jan Liinev
E Eberlein
C1
Conference
2004
The individual risk model
Jan Dhaene
David Vyncke
Bookchapter
in
Encyclopedia of Actuarial Science
2004
2003
On the distribution of cash flows using Esscher transforms
David Vyncke
MJ GOOVAERTS
A DE SCHEPPER
R KAAS
Jan Dhaene
A1
Journal Article
in
JOURNAL OF RISK AND INSURANCE
2003
The valuation of cash-flows in the presence of dividend barriers
A De Schepper
M Goovaerts
Jan Dhaene
David Vyncke
R Kaas
A4
Journal Article
in
MEDIUM ECONOMETRISCHE TOEPASSINGEN
2003
2002
A simple geometric proof that comonotonic risks have the convex-largest sum
R KAAS
Jan Dhaene
David Vyncke
M GOOVAERTS
M DENUIT
A2
Journal Article
in
ASTIN Bulletin
2002
Bounds for present value functions with stochastic interest rates and stochastic volatility
A DE SCHEPPER
M GOOVAERTS
Jan Dhaene
R KAAS
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2002
Bounds for the price of a European-style Asian option in a binary tree model
Huguette Reynaerts
Michèle Vanmaele
Jan Dhaene
Griselda Deelstra
C1
Conference
2002
Bounds for the price of discretely sampled arithmetic Asian options
Michèle Vanmaele
Griselda Deelstra
Jan Liinev
Jan Dhaene
MJ Goovaerts
C3
Conference
2002
The concept of comonotonicity in actuarial science and finance: applications
Jan Dhaene
M DENUIT
MJ GOOVAERTS
R KAAS
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2002
The concept of comonotonicity in actuarial science and finance: theory
Jan Dhaene
A DENUIT
MJ GOOVAERTS
R KAAS
David Vyncke
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
2002
2001
Convex upper and lower bounds for present value functions
David Vyncke
M GOOVAERTS
Jan Dhaene
A1
Journal Article
in
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
2001
How to determine the capital requirements for a portfolio of annuity liabilities
Jan Dhaene
M Goovaerts
S Vanduffel
David Vyncke
A2
Journal Article
in
TIJDSCHRIFT VOOR ECONOMIE EN MANAGEMENT
2001
1999
Supermodular ordering and stochastic annuities.
MJ GOOVAERTS
Jan Dhaene
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
1999
The safest dependence structure among risks.
Jan Dhaene
M DENUIT
A1
Journal Article
in
INSURANCE MATHEMATICS & ECONOMICS
1999
1998
On approximating distributions by approximating their De Pril-transforms
Jan Dhaene
B SUNDT
A2
Journal Article
in
SCANDINAVIAN ACTUARIAL JOURNAL
1998
Some results on moments and cumulants
B SUNDT
Jan Dhaene
N DE PRIL
A2
Journal Article
in
SCANDINAVIAN ACTUARIAL JOURNAL
1998
1997
Actuariële aspecten van aanvullende pensioenen
Jan Dhaene
A VERLINDEN
[0-9]{2}
1997
A note on the stop-loss preserving property of Wang's premium principle. Bulletin of the Swiss Association of Actuaries, 1998 (2), 237-241.
C RIBAS
MJ GOOVAERTS
Jan Dhaene
[0-9]{2}
A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. Insurance: Mathematics & Economics, 20, 1997, pp. 35-41.
M VANNESTE
MJ GOOVAERTS
A DE SCHEPPER
Jan Dhaene
[0-9]{2}
Actuarial applications of financial models. CWI Quarterly, 10(1), 1997, pp. 55-64.
M GOOVAERTS
Jan Dhaene
[0-9]{2}
Comonotonicity, correlation order and premium principles. Insurance: Mathematics & Economics, 22 (3), 1998, 235-242.
S WANG
Jan Dhaene
[0-9]{2}
Ervaringstarifering als actuarieel instrument. Liber Amicorum Hubert Claassens. Verzekering: theorie en praktijk. CRIS, Maklu Uitgevers nv en Academia-Bruylant, 1998, 387-392.
M GOOVAERTS
Jan Dhaene
Bookchapter
On error bounds for approximations to aggregate claims distributions. ASTIN Bulletin, 27(2), 1997, pp. 243-262.
Jan Dhaene
B SUNDT
[0-9]{2}
On the characterization of Wang's class of premium principles. Transactions of the 26th International Congress of Actuaries, vol. 4, 1998, 121-134.
M GOOVAERTS
Jan Dhaene
C1
Conference
On the dependency of risks in the individual life model. Insurance: Mathematics & Economics, 19(3), 1997, pp. 243-253.
Jan Dhaene
MJ GOOVAERTS
[0-9]{2}
Premie-differentiatie, bonus-malus en solidariteit. Liber Amicorum Prof. R. Dillemans, Boekdeel 2, Kluwer, 1997, pp. 157-168.
M GOOVAERTS
Jan Dhaene
[0-9]{2}
The safest dependence structure among risks. Research Report IS-P 1998-33 (116), Institut de Statistique et de Recherche Operationelle, Université Libre de Bruxelles, 1998.
Jan Dhaene
M DENUIT
[0-9]{2}