Jan Dhaene

Publication Activity (10 Years)

Years Active: 2006-2023
Publications (10 Years): 4

Top Topics

Cumulative Residual Entropy

Portfolio Theory

Top Venues

J. Comput. Appl. Math.

Publications

Yves-Cédric Bauwelinckx, Jan Dhaene, Tim Verdonck, Milan van den Heuvel
On the causality-preservation capabilities of generative modelling. CoRR (2023)
Jan Dhaene, Alexander Kukush, Daniël Linders
Comonotonic asset prices in arbitrage-free markets. J. Comput. Appl. Math. 364 (2020)
Ka Chun Cheung, Jan Dhaene, Yian Rong, Sheung Chi Phillip Yam
Probabilistic solutions for a class of deterministic optimal allocation problems. J. Comput. Appl. Math. 336 (2018)
Runhuan Feng, Xiaochen Jing, Jan Dhaene
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. J. Comput. Appl. Math. 311 (2017)
Jan Dhaene, Ben Stassen, Pierre Devolder, Michel Vellekoop
The minimal entropy martingale measure in a market of traded financial and actuarial risks. J. Comput. Appl. Math. 282 (2015)
Xinliang Chen, Griselda Deelstra, Jan Dhaene, Daniël Linders, Michèle Vanmaele
On an optimization problem related to static super-replicating strategies. J. Comput. Appl. Math. 278 (2015)
Jan Dhaene, Daniël Linders, Wim Schoutens, David Vyncke
A multivariate dependence measure for aggregating risks. J. Comput. Appl. Math. 263 (2014)
Koen Van Weert, Jan Dhaene, Marc J. Goovaerts
Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. J. Comput. Appl. Math. 235 (10) (2011)
Ömer L. Gebizlioglu, Jan Dhaene
Risk measures and solvency - Special Issue: Guest Editors' Foreword. J. Comput. Appl. Math. 233 (1) (2009)
Huguette Reynaerts, Michèle Vanmaele, Jan Dhaene, Griselda Deelstra
Bounds for the price of a European-style Asian option in a binary tree model. Eur. J. Oper. Res. 168 (2) (2006)