Besides the modest standard funding for conference visits etc. provided by the Research Institute RESAM in 2006 (€ 6.252,-) and an unexpected premium for succesfully defended disserations (€ 6.000,-) from extra funding to RESAM by the Ministry of Education individual researchers have secured several grants and fellowships. Below are several Research fellowships awarded to members of the group.
10/2001 – 09/2006. Concerted Research Action of the K.U.Leuven Research Fund, Project G.O.A./2002/01, Actuarial, financial and statistical aspects of dependencies in insurance and
financial portfolio’s, promoters: Jan Beirlant, Jan Dhaene, Marc Goovaerts (spokesman), Jef Teugels.
€ 1 408 516.
01/2006 – 12/ 2009. FWO Research Project, Project G.0280.06, Modern perspectives in claims
reserving for non-life insurance, promoter: Jan Dhaene, co-promoter: Jan Beirlant, researcher: Tom
Hoedemakers. € 177 716.
02/2006 – 07/2007. Marie Curie Intra-European Fellowship, FP6-2004-Mobility-5, Project MEIF-CT- 2005-024001: CONSOL-M, A consistent solvency model for the insurance undertakings in the
European Single Insurance Market, promoter: Jan Dhaene, researcher: Maciej Sterzynski. € 135 000.
10/2006 – 09/2011. Concerted Research Action of the K.U.Leuven Research Fund, Project G.O.A./2007/, Risk modeling and valuation of insurance and financial cash flows, with applications
to pricing, provisioning and solvency, promoter: Marc Goovaerts, co-promoter: Jan Dhaene. € 60 000
per year.
10/2006 – 9/2011. Fortis Chair on Financial and Actuarial Risk Management, Fortis Central Risk Management, chairholder (with Marc Goovaerts and Steven Vanduffel).
8.5 OUTPUT
Key publications
Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R. & Vyncke, D. (2002). The concept of comonotonicity in Actuarial Science and Finance: Theory. Insurance: Mathematics &
Economics, 31, 3-33.
Kaas, R., Goovaerts, M.J., Dhaene, J. & Denuit, M. (2001). Modern actuarial risk theory. 2nd edition. Kluwer Academic Publishers.
Goovaerts, M.J., Kaas, R., Laeven, R.J.A., Tang, Q. & Vernic, R. (2005). The tail probability of discounted sums of Pareto-like losses in insurance. Scandinavian Actuarial Journal, (6), 446- 461.
Hoedemakers, T., Beirlant, J., Goovaerts, M.J. & Dhaene, J. (2005). On the distribution of discounted loss reserves using generalized linear models. Scandinavian Actuarial Journal, 25-45.
Denuit, M., Dhaene, J., Goovaerts, M.J. & Kaas, R. (2005). Actuarial Theory for Dependent Risks -
Measures, Orders and Models. Wiley.
Laeven, R.J.A., Goovaerts, M.J. & Hoedemakers, T. (2005). Some asymptotic results for sums of dependent random variables, with actuarial applications. Insurance: Mathematics &
Economics, 37, (2), 154-172.
Forthcoming
Decamps, M., Goovaerts, M.J. & Schoutens, W. (2007). A self exciting threshold term structure model. Forthcoming in International Journal of Theoretical and Applied Finance.
Denuit, M. & Dhaene, J. (2006). Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projection. Accepted for publication in Journal of Computational and
Applied Mathematics.
Dhaene, J., Vanduffel, S., Tang, Q., Goovaerts, M.J., Kaas, R. & Vyncke, D. (2007). Risk measures and comonotonicity: a review. To be published in Stochastic Models.
Dhaene, J., Vanduffel, S., Goovaerts, M.J., Koch, R., Olieslagers, O., & Romijn (2007). The use of a stochastic LGD in a credit default economic capital framework. Accepted for publication in
Journal of Actuarial Practice.
Dhaene, J., Laeven, R.J.A., Vanduffel, S., Darkiewicz, G. & Goovaerts, M.J. (2007). Can a coherent risk measure be too subadditive? Forthcoming in Journal of Risk and Insurance.
Genest, C., Gerber, H.U., Goovaerts, M.J. & Laeven .R.J.A. (eds) (2007). Multivariate Insurance
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Goovaerts, M.J. & Laeven, R.J.A. (2007). Insurance pricing. Forthcoming in Encyclopedia of
Quantitative Risk Assessment. Wiley.
Goovaerts, M.J., De Schepper, A. & Decamps, M. (2007). Transition probabilities for diffusion equations by mens of path integrals. Journal of Computational and Applied Mathematics. Goovaerts, M.J. & Laeven, R.J.A. (2007). Actuarial risk measures for financial derivative pricing.
forthcoming in Insurance: Mathematics and Economics.
Hoedemakers, T., Darkiewics, G., Dhaene, J. & Goovaerts, M.J. (2007). On the distribution of life annuities with stochastic interest rates. Forthcoming in Insurance: Mathematics &
Economics.
Pelsser, A. & Lord, R. (2007). Level-slope-curvature - fact or artefact? Forthcoming in Applied
Mathematical Finance.
Pietersz, R. & Pelsser, A. (2007). Comparison of Single-Factor Markov-functional and Multi-Factor Market Models. Forthcoming in Review of Derivatives.
Willemse, W.J. & Kaas, R. (2007). Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality. Forthcoming in Insurance: Mathematics and
Economics.
Publications in numbers
Academic publications (excluding publications in/of books) – refereed
A Schrager, D. (2006). Affine stochastic mortality. Insurance: Mathematics & Economics, 38, 81-97. [A].
B Ahcan, A., Darkiewicz, G., Goovaerts, M.J. & Hoedemakers, T. (2006). Computation of convex bounds for present value functions with random payments. Journal of Computational and
Applied Mathematics, 186, 23-42. [B].
Decamps, M., De Schepper, A. & Goovaerts, M.J. (2006). A path integral approach to asset-liability management. Physica A, 363, 404-416. [B].
Decamps, M., Goovaerts, M.J. & Schoutens, W. (2006). Asymmetric skew Bessel processes and their applications to finance. Journal of Computational and Applied Mathematics, 186, 130-147. [B].
Actuarial Science 2006
1) Academic publications a) in refereed journals A 1
B 7 C 7 b) in other journals 5 c) book chapters A - B 1 C - Other 2 d) proceedings Other 5 5 Total 28 2) Monographs A - B - C - Other 0 3) Ph.D. theses 0 4) Professional publications 2 5) Popular publications 2 6) Working papers 14 Total 46 15 1 0
Dhaene, J. Vanduffel, S. Tang, Q. Goovaerts, M.J. Kaas, R. & Vyncke, D. (2006). Risk measures and comonotonicity: a review. Stochastic Models, 22, 573-606. [B].
Goovaerts, M.J., Vandewalle, S. & Wuytack, L. (2006). Special Issue: Proceedings of the 11th International Congress on Computational and Applied Mathematics. Journal of
Computational and Applied Mathematics, 186, 1-1. [B].
Reynaerts, H., Vanmaele, M., Dhaene, J. & Deelstra, G. (2006). Bounds for the price of a European- style Asian option in a binary tree model. European Journal of Operational Research, 168, (2), 322-332. [B].
Schrager, D. & Pelsser, A.A.J. (2006). Pricing Swaptions and Coupon Bond Optuions in Affine Term Structure Models. Mathematical Finance,16, 673-694. [B].
C Chen, X., Dhaene, J., Goovaerts, M. & Vanduffel, S. (2005). A liability driven approach to asset allocation. Belgian Actuarial Bulletin, 5, 52-56. [C].
Denuit, M., Dhaene, J., Goovaerts, M., Kaas, R. & Laeven, R. (2006). Risk measurement with equivalent utility principles. In Rüschendorf, L. (ed.), Risk Measures: General Aspects and
Applications, special issue of, Statistics & Decisions, 24, (1), 1-25. [C].
Dhaene, J., Ribas, C. & Vernic, R. (2006). Recursions for the individual model. Acta Mathematica
Applicatae Sinica, English Series, 22, (4), 631-652. [C].
Dhaene, J., Goovaerts, M., Lundin, M. & Vanduffel, S. (2005). Aggregating economic capital.
Belgian Actuarial Bulletin, 5, 14-25. [C].
Suarez, F., Dhaene, J., Henrard, L. & Vanduffel, S. (2005). Basel II: Capital requirements for equity investment portfolios. Belgian Actuarial Bulletin, 5, 37-45. [C].
Vyncke, D., Goovaerts, M., Dhaene, J. & Vanduffel, S. (2005). Optimal portfolio selection for cash flows with bounded capital at risk. Tijdschrift voor Economie en Management, 50, 103-114. [C]
Vanduffel, S. & Dhaene, J. (2005). Is het discrimineren van verzekerden discriminatie? Belgian
Actuarial Bulletin, 5, 57-58. [C].
Academic publications (in/of books) – refereed
Boeijen, D., Jansen, C., Kortleve, N. & Tamerus, J. (2006). Leeftijdsolidariteit in de doorsneepremie. In Lecq, S.G. van der & Steenbeek, O.W. (eds), Kosten en baten van collectieve
pensioensystemen (147-165). Vereniging voor Bedrijfstakpensioenfondsen, Kluwer. [B].
Academic publications (in proceedings) – non-refereed
Chen, X., Deelstra, G., Dhaene, J. & Vanmaele, M. (2006). Static super-replicating strategies for exotic options. 4th Conference in Actuarial Science & Finance in Samos, Karlovassi, Greece. Dhaene, J., Laeven, R., Vanduffel, S., Darkiewicz, G. & Goovaerts, M.J. (2006). Can a coherent risk
measure be too subadditive? 28th International Congress of Actuaries, AFIR, Paris.
Vanmaele, M., DeSchepper, A., Dhaene, J., Reynaerts, H., Schoutens, W. & VanGoethem, P. (2005).
Proceedings of the ‘second Actuarial and Financial Mathematics Day (February, 2005),
Royal Flemish Academy of Belgium for Science and Arts, Brussels.
Vanmaele, M., DeSchepper, A., Dhaene, J., Reynaerts, H., Schoutens, W., & VanGoethem, P. (2006).
Proceedings of the ‘third Actuarial and Financial Mathematics Day (February, 2006), Royal
Flemish Academy of Belgium for Science and Arts, Brussels.
Willemse, W.J. & Wolthuis, H. (2006). Risk based solvency norms and their validity, 28th
International Congress of Actuaries, AFIR, Paris.
Academic publications (excluding publications in/of books) – non-refereed
Darkiewicz, G., Dhaene, J. & Goovaerts, M. (2005). Risk measures and dependencies of risks.
Brazilian Journal of Probability and Statistics, 19, 155-178.
Kuné, J.B. (2006). Takaful, islamitisch pensioenalternatief. Pensioen Bestuur & Management, 3, 51- 53.
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Kuné, J.B. (2006). Storm in een glas water (column). Tijdschrift voor Pensioenvraagstukken, October 122.
Kuné, J.B. (2006). Meditatie maakt oude dag ook prettig. Socialisme en democratie, 63, (9), 45-48. Vanduffel, S., Dhaene, J., Goovaerts, M.J. & Kaas, R. (2006). Invloed van IFRS and Solvency 2 op
het risicobeheheer van verzekeringsondernemingen. Bank- en Financiewezen, 5. Academic publications (in/of books) – non-refereed
Kaas, R., Goovaerts, M.J., Dhaene, J. & Denuit, M. (2005). Modern Actuarial Risk Theory (Chinese
translation) (pp. 235). Bejing: Science Press. [D]. (English edition appeared by Kluwer
Academic Publishers).
Kuné, J.B. (2006). Solidariteiten in collectieve pensioenregelingen. In Lecq, S.G. van der & Steenbeek, O.W. (eds), Kosten en baten van collectieve pensioenregelingen, (pp. 23-46). Deventer: Kluwer.
Academic publications (working- and discussion papers
)
Denuit, M., Dhaene, J., Goovaerts, M., Kaas, R. & Laeven, R. (2005). Risk measurement with the
equivalent utility principles. Research Report OR 0582. Department of Applied Economics,
K.U. Leuven, 26 p.
Denuit, M. & Laeven, R.J.A. (2006). The diversification theorem restated, working paper.
Goovaerts, M.J. & Laeven, R.J.A. (2006). On transition densities for general diffusion processes,
working paper.
Goovaerts, M.J., Kaas, R. & Laeven, R.J.A. (2006). Decision principles derived from risk measures,
working paper.
Hoedemakers, T., Darkiewicz, G., Deelstra, G., Dhaene, J. & Vanmaele, M. (2005). Bounds for stop-
loss premiums of stochastic sums (with applications to life contingencies). Research Report OR 052., Department of Applied Economics, K.U. Leuven, 26 p.
Laeven, R.J.A. & Kaas, R. (2006). Worst VaR scenarios with given marginals and measures of
association, working paper.
Laeven, R.J.A. & Perotti, E.C. (2006). Optimal insurance risk management, working paper.
Laeven, R.J.A. (2006). Families of Archimedean copulas for modeling heterogeneity in dependent
data, working paper.
Laeven, R.J.A. (2006). An axiomatic characterization of the upper and lower Choquet expectation,
working paper.
Pelsser, A.A.J. & Laeven, R.J.A. (2006). Optimal dividends and ALM under unhedgeable risk,
working paper.
Vanduffel, S., Dhaene, J., Valdez, E. & Mao, Y. (2005). Closed-form approximations for constant
continuous annuities. Research Report OR 0518, Department of Applied Economics, K.U.
Leuven, 18 p.
Willemse, W.J. (2006). Fair value and the concept of prudence, ACT Working Paper. Universiteit van Amsterdam, 18 p.
Willemse, W.J. (2006). Aantekeningen bij het smoothing-algoritme van het AG, ACT Working Paper. Universiteit van Amsterdam, 12 p.
Wolthuis, H. (2006). Application of Stieltjes integration in life insurance mathematics, Part 1, ACT
Working Paper. Universiteit van Amsterdam, 49 p.
Professional publications
Kuné, J.B. (2006). Book review in Tijdschrift voor Pensioenvraagstukken, October.
Laeven, R.J.A. (2006). Stochastische afhankelijkheid en het meten van risico: uitdagingen in kwantitatief risicomanagement. Aenorm, 51.
Popular publications
Dhaene, J., Henrard, L. & Vanduffel, S. (2005). Is one Euro of actuaries worth the same as one Euro of financial economists? Belgian Actuarial Bulletin, 5, 59-60.
Dhaene, J., Henrard, L. & Vanduffel, S. (2005). Is one Euro of actuaries worth the same as one Euro of financial economists? Contingencies, American Society of Actuaries, November/December 2005.
Contributions to academic conferences, workshops and seminars
Chen, X., Deelstra, G., Dhaene, J. & Vanmaele, M. (2006, 18-20 July). Static super-replicating strategies for exotic options. 10th International Congress on Insurance: Mathematics & Economics, Leuven, Belgium.
Chen, X., Deelstra, G., Dhaene, J. & Vanmaele, M. (2006, 17-20 August). Static super-replicating strategies for exotic options. 4th World Congress of the Bachelier Finance Society, Tokyo, Japan.
Dhaene, J. (2005, 8 April). On the coherence of risk measures. Departement of Mathematical Statistics, University of the Free State, Bloemfontein, South-Africa.
Dhaene, J., Tsanakas, A., Valdez, E., Vanduffel, S. (6-8 July 2005). Optimal capital allocation principles. 9th International Congress on Insurance: Mathematics & Economics, Québec, Canada.
Dhaene, J. (2006, 7 March). Portfolio selection and comonotonicity. Department of Economics, University of Ljubljana, Slovenia.
Dhaene, J. (2006, 19 April). Unit-linked insurance. Department of Mathematical Statistics, University of the Free State, Bloemfontein, South-Africa.
Dhaene, J. (2006, December). Risk measures, Faculté des HEC, Université de Lausanne, Switzerland. Laeven, R.J.A. (2006, 23-25 January). On the tail probability for discounted sums of heavy-tailed
losses, Invited speaker, 5th Winter School on Mathematical Finance, Lunteren, The
Netherlands.
Laeven, R.J.A. (2006, 10 March). Worst case risk measurement: old ideas and new insights, Invited speaker, Insurance and Finance Seminar, Catholic University of Leuven, Belgium.
Laeven, R.J.A. (2006, 10-11 May). Optimal dividends and ALM under unhedgeable risk, International Symposium on Insurance and Finance, Bergen, Norway.
Laeven, R.J.A. (2006, 18-20 July). Worst case risk measurement: old ideas and new insights, 10th International IME Conference, Leuven, Belgium.
Laeven, R.J.A. (2006, 17-20 August). Knightian measures of risk, 4th World Congress of the Bachelier Finance Society, Tokyo, Japan.
Schrager, D. (2006, 4-5 December). Fair value for life insurance actuaries, Paramaribo, Suriname. Willemse, W.J. & Wolthuis, H. (2006, 28 May – 2 June). Risk based solvency norms and their
validity, 28th International Congress of Actuaries, AFIR, Paris.
Willemse, W.J. (2006, 14 December). Risk governance in Solvency II, AG Permanente educatie: Solvency voor verzekeraars, Maarssen.
Organisational contributions to conferences, workshops and seminars
Dhaene, J. (2006). Co-organizer of 4th Actuarial and Financial Mathematics Day, Brussels, Royal Flemish Academy of Belgium for Science and the Arts, February 10, 2006. (jointly organized by Universiteit Gent, Universiteit Antwerpen, Vrije Universiteit Brussel, K.U.Leuven).
Dhaene, J. (2006). Chairman of the Scientific Committee of the 10th International Congress on Insurance: Mathematics & Economics, Leuven, July 18-20, 2006.
Dhaene, J. (2006). Member of the Organizing Committee of the “Fourth conference in actuarial science and finance”, University of the Aegean, Samos, Greece, September 14-17, 2006.
67 Participation in academic networks & fellowships Goovaerts, M.J. (2006). Fellow Tinbergen Institute. Editor or member of editorial board
Dhaene, J. (2006). Associate editor Insurance: Mathematics & Economics, Elsevier, Editor Belgian
Actuarial Bulletin.
Goovaerts, M.J. (2006). Editor Insurance: Mathematics & Economics, Elsevier, Editor Journal of
Computational and Applied Mathematics, Elsevier, Elsevier editor Financial Mathematics and Economics, Elsevier, associate editor ASTIN-Bulletin and Journal of Financial Economics.
Kaas, R. (2006). Managing editor Insurance: Mathematics & Economics, Elsevier.
Kuné, J.B. (2005). Co-editor of Vergezichten; over beleggen, pensioenen en toezicht (liber amicorum J.M.G. Frijns). Driebergen: Riskmatrix.
Wolthuis, H. (2006). Associate editor Insurance: Mathematics & Economics, Elsevier. Referee activities
Dhaene, J. (2006). Referee for ASTIN Bulletin, Insurance: Mathematics & Economics, Scandinavian
Actuarial Journal, North American Actuarial Journal, Bulletin of the Swiss Association of Actuaries, Decisions in Economics and Finance, Annals of Operations Research, Tijdschrift voor Economie en Management, Belgian Actuarial Bulletin.
Goovaerts, M.J. (2006). Referee for ASTIN bulletin, Insurance: Mathematics& Economics, Journal of
Computational and Applied Mathematics, North American Actuarial Journal, Belgian Actuarial Bulletin.
Kaas, R. (2006). Referee for Insurance: Mathematics & Economics.
Laeven, R.J.A. (2006). Referee for Insurance: Mathematics and Economics, Journal of Banking and
Finance, Mathematical Reviews, North American Actuarial Journal.
Membership of academic committees (including Ph.D. committees outside the FEB)
Dhaene, J. (2006, June). Member doctoral commission of Arthur Charpentier, Faculteit Wetenschappen, K.U. Leuven.
Dhaene, J. (2006, August). Invited external examiner promotion committee of Jin Wang, Faculty of Graduate Studies, York University, Toronto, Canada.
Grants, prizes and honours
Dhaene, J. (2006). Appointment as visiting professor, University of the Free State, Department of Mathematical Statistics, South Africa. November 1, 2006 – October 31, 2009.
Laeven, R.J.A. (2006). VENI Research Grant 2006, Netherlands Organization for Scientific Research (NWO), EUR 208.000,-.
Beirlant, J., Dhaene, J., Goovaerts, M.J. & Teugels, (2001-2006). Concerted Research Action of the K.U.Leuven Research Fund, Project G.O.A./2002/01, Actuarial, financial and statistical
aspects of dependencies in insurance and financial portfolio’s, promoters: Jan Beirlant, Jan
Dhaene, Marc Goovaerts (spokesman), Jef Teugels. € 1 408 516.
Dhaene, J., Beirlant, J. & Hoedemakers, T. (2006-2009). FWO Research Project, Project G.0280.06,
Modern perspectives in claims reserving for non-life insurance, promoter: Jan Dhaene, co-
promoter: Jan Beirlant, researcher: Tom Hoedemakers. € 177 716.
Dhaene, J. & Sterzynski, M. (2006-2007). Marie Curie Intra-European Fellowship, FP6-2004- Mobility-5, Project MEIF-CT-2005-024001: CONSOL-M, A consistent solvency model for
the insurance undertakings in the European Single Insurance Market, promoter: Jan Dhaene,
researcher: Maciej Sterzynski. € 135 000.
Goovaerts, M.J. & Dhaene, J. (2006-2011). Concerted Research Action of the K.U.Leuven Research Fund, Project G.O.A./2007/, Risk modeling and valuation of insurance and financial cash
flows, with applications to pricing, provisioning and solvency, promoter: Marc Goovaerts, co-
promoter: Jan Dhaene. € 60 000 per year.
Goovaerts, M.J. & Vanduffel, S. (2006-2011). Fortis Chair on Financial and Actuarial Risk Management, Fortis Central Risk Management, chairholder (with Marc Goovaerts and Steven Vanduffel).
Various activities
Dhaene, J. (2006). Member of the Education Committee of KVBA-ARAB (Royal Society of Belgian Actuaries).
Dhaene, J. (2006). External examiner of the course “Actuarial Science” and “External moderator” of the course “wiskundige statistiek (mathematical statistics)”, Department of Mathematical Statistics, University of the Free State, South Africa.
Laeven, R.J.A. (2006). Various consultancy activities in cooperation with Watson Wyatt Insurance Consulting.
Wolthuis, H. (2006). Editor International Actuarial Linkpage and Actuarial History. http://www1.fee.uva.nl/ke/act/actuariallinks.htm
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