Monetaire en Informatie (2008)
Kuleuven Departement, Wiskunde Afdeling, Statistiek Heverlee, Christophe Croux, Hans Dewachter, Kuleuven Centrum Voor, ...
In this paper we give the outline of a research project developed in a cooperation between the actuarial, financial and statistical research groups of the Faculty of Economics and Applied Economics...
Department Accountancy, Finance and Insurance, K.U.Leuven (2008)
Jan Dhaene, Steven Vanduffel, Marc Goovaerts, Steven Vanduffel, Marc Goovaerts
In an actuarial or financial context one often encounters a random variable (r.v.) S of the type n� S = Xi. (1) i=1 For example, for an insurer the different X i may represent the claims from...
Computation of Convex Bounds for Present Value Functions of Random Payments (2008)
Ales Ahcan, Grzegorz Darkiewicz, Marc Goovaerts, Tom Hoedemakers
In this contribution we study the distribution of the present value function of a series of random payments in a stochastic financial environment. Such distributions occur naturally in a wide range...
Reinsurance plays an important role in reducing the risk in an insurance portfolio. In this article we give an overview of the most relevant classical reinsurance concepts from a practical point of...
I. AGGREGATING NON-INDEPENDENT RISKS (2008)
J. Dhaene, S. Vanduffel, M. Goovaerts, Kuleuven Afi, Steven Vanduffel, Kuleuven Afi, ...
In an actuarial or financial context one often encounters the calculation of risk
Marc Goovaerts, Grzegorz Darkiewicz
the use of copulas for calculating the present value of
On the Distribution of Discounted Loss Reserves (2008)
Katrien Antonio, Marc Goovaerts, Tom Hoedemakers
Different factors can delay the payment process of claims. Therefore insurers need to keep reserves. This article gives a brief overview of the statistical models involved in loss reserving and...
Stable Laws And The Present Value Of Fixed Cash-Flows (2007)
Marc Goovaerts, Ann De Schepper, David Vyncke, Jan Dhaene, Rob Kaas
In the current contribution, we consider the present value of a series of fixed cash flows under stochastic interest rates. In order to model these interest rates, we don't use the common...
OceanDocs: Repository Network on Oceanography and Marine Science (2007)
The OdinPubAfrica project (FUST-project: - see) developed a repository for scientific literature of African marine science. During the project other Odin groups, in the first place OdinCarsa were...
A note on measuring overlap (2006)
In measuring the overlap between two sets A and B (e.g. libraries, databases, …) one is obliged to calculate the overlap .....of A with respect to B (i.e. the fraction of elements of B that are...
Risk measurement with equivalent utility principles (2006)
Michel Denuit, Jan Dhaene, Marc Goovaerts, Rob Kaas, Roger Laeven
Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures...
Risk measures and comonotonicity: A review (2006)
Goovaerts, Marc, Kaas, R, Tang, Q, Vyncke, D
In this paper we examine and summarize properties of several well-known risk measures that can be used in the framework of setting solvency capital requirements for a risky business. Special...
E-repository for Africa (2005)
Development of an African repository for electronic publications in marine science and oceanography Realisations in 2004 – Planning of 2005 The goal of OdinPubAfrica is to develop an electronic...
On the evaluation of savingconsumption plans (2005)
Steven Vanduffel, Jan Dhaene, Marc Goovaerts
Knowledge of the distribution function of the stochastically compounded value of a series of future (positive and/or negative) payments is needed for solving several problems in an insurance or...
Accurate Approximations for Life annuity Contracts in a Stochastic Financial Environment (2005)
Tom Hoedemakers, Grzegorz Darkiewicz, Marc Goovaerts
In the traditional approach to life contingencies only decrements are assumed to be stochastic. In this contribution we consider the distribution of a life annuity (and a portfolio of life annuities)...
Applications of delta-function perturbation to the pricing of derivative securities (2004)
Decamps, Marc, De Scheppe, Ann, Goovaerts, Marc
In the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of...
Applications of delta-function perturbation to the pricing of derivative securities (2004)
Decamps, Marc, De Scheppe, Ann, Goovaerts, Marc
In the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of...
Marc Decamps, Marc Goovaerts, Wim Schoutens
In a recent paper, Salminen and Yor (2004b) relate the distribution of the Dufresne’s reflected perpetuity I + � +∞
A Path Integral Approach to Asset-Liability Management (2004)
Functional integrals constitute a powerful tool in the investigation of financial models. In the recent econophysics literature, this technique was succesfully used for the pricing of a number of...
Asymmetric skew Bessel processes and their applications to finance (2004)
Marc Decamps, Marc Goovaerts, Wim Schoutens
In this paper, we extend the Harrison and Shepp’s construction of the skew Brownian motion (1981) and we obtain a diffusion similar to the two-dimensional Bessel process with speed and scale...
Self exciting threshold interest rates models (2004)
Marc Decamps, Marc Goovaerts, Wim Schoutens
In this paper, we study a new class of tractable diffusions suitable for model’s primitives of interest rates. We consider scalar diffusions with scale s(x) and speed m(x) densities discontinuous...
Risk Measures and Dependencies of Risks (2004)
Grzegorz Darkiewicz, Jan Dhaene, Marc Goovaerts
In the last few years the properties of risk measures that can be considered as suiting "best practice" rules in insurance have been studied extensively in the actuarial literature. In...
Applications of δ-Function Perturbation to the Pricing of Derivative Securities (2004)
Marc Decamps, Ann De Schepper, Marc Goovaerts
In the recent econophysics literature, the use of functional integrals is widespread for the calculation of option prices. In this paper, we extend this approach in several directions by means of...
Closed form approximations for transition densities: a path integral approach (2003)
Goovaerts, Marc, De Schepper, Ann, Decamps, Marc
In this paper, we investigate the transition probabilities for diffusion processes. In a first part, we show how transition densities for rather general diffusion processes can always be expressed by...
Closed form approximations for transition densities: a path integral approach (2003)
Goovaerts, Marc, De Schepper, Ann, Decamps, Marc
In this paper, we investigate the transition probabilities for diffusion processes. In a first part, we show how transition densities for rather general diffusion processes can always be expressed by...
Static Hedging of Asian Options under Lévy Models: The Comonotonicity Approach (2003)
Hansjörg Albrecher, Jan Dhaene, Marc Goovaerts, Wim Schoutens
In this paper we present a simple static super-hedging strategy for the payo# of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge...
On the computation of the capital multiplier in the Fortis Credit Economic Capital model (2003)
Jan Dhaene, Steven Vanduffel, Marc Goovaerts, Ruben Olieslagers, Robert Koch
One of the key parameters in the computation of Credit Economic Capital is the so called capital multiplier. In the light of a variancecovariance approach we propose a methodology for computing this...
Coherent Distortion Risk Measures- A Pitfall (2003)
Grzegorz Darkiewicz, Jan Dhaene, Marc Goovaerts
Concave distortion risk measures were introduced in the actuarial literature by Wang (1996). Loosely speaking, such a risk measure assigns a ”distorted expectation”to any distribution function....
Risk and Savings Contracts (2001)
Jan Dhaene, Henk Wolthuis, Michel Denuit, Marc Goovaerts
Following the ”time-capital ” approach of De Vylder (1997) it is shown that a fair life insurance contract can uniquely be separated into a fair savings and a fair pure risk contract. It is also...
Exact credibility for weighted observations (1997)
Rob Kaas, Dennis Dannenburg, Marc Goovaerts
This note generalizes Jewell's theorem on exact credibility from the classical B/Jhlmann model to the (weighted) Bfihlmann-Straub model. 1.
Umted Kingdom EDITORIAL BOARD= (1996)
Paul Embrechts, Swttzet Land, D. Harry Reid, David Wilkie, Bjiirn Ajne, Marc Goovaerts, ...
ASTIN BULL TIN EDITORS: (1987)
Hans Biihlmann, D. Harry Reid, Alois Gisler, Bjiirn Ajne, Klaus Flemming, Marc Goovaerts, ...
The Wiener process with drift between a linear retaining and an absorbing barrier (1981)
Gerber, Hans U., Goovaerts, Marc, DePril, Nelson
The Wiener process with constant drift is modified by a time-dependent retaining barrier that increases at a constant rate and by an absorbing barrier at zero. Explicit expressions in terms of series...
Bounds for present value functions with stochastic interest rates and stochastic volatility
De Schepper, Ann, Goovaerts, Marc, Dhaene, Jan, Kaas, Rob, Vyncke, David
VANDUFFEL, STEVEN, DHAENE, JAN, GOOVAERTS, MARC
Knowledge of the distribution function of the stochastically compounded value of a series of future (positive and or negative) payments is needed for solving several problems in an insurance or...
SELF EXCITING THRESHOLD INTEREST RATES MODELS
MARC DECAMPS, MARC GOOVAERTS, WIM SCHOUTENS
In this paper, we study a new class of tractable diffusions suitable for model's primitives of interest rates. We consider scalar diffusions with scale sâ²(x) and speed m(x) densities discontinuous...
Collaboration and productivity: an investigation in Scientometrics and in a university repository
EGGHE, Leo, GOOVAERTS, Marc, Kretschmer, H.
In this paper we investigate the following problem: for a fixed field or institute, can we prove that, the higher the number of papers of an author (calculated in the total way), the higher his/her...
Spectral decomposition of optimal asset-liability management
Decamps, Marc, De Schepper, Ann, Goovaerts, Marc
This paper concerns optimal asset-liability management when the assets and the liabilities are modeled by means of correlated geometric Brownian motions as suggested in Gerber and Shiu [2003....