dhr. prof. dr. R. (Rob) Kaas

Lijst

Faculteit Economie en Bedrijfskunde
Sectie Actuarial Science
Valckenierstraat 65
1018 XE Amsterdam
R.Kaas@uva.nl
T: 0205254230
T: 0205254252

Profile
Teaching
Other activities
Publicaties
Nevenwerkzaamheden

Present Position

Professor of Actuarial Science (Actuarial Statistics)

Current Research Topics

Non life actuarial mathematics
Ordering of risks
Generalized Linear Models
Computational methods

Teaching activities

I currently teach the following courses

Schade actuariaat (Introduction to Risk Theory; Chapters 1-4, 6 of Modern A.R.T.)
Caput Insurance (Risk Theory and Non-life Insurance; Chapter 4, 5 and 7 of Modern A.R.T.)
Non-life Insurance: Statistical Techniques; based on Chapters 8-10 of Modern A.R.T.)

Various activities

Managing Editor of Insurance: Mathematics & Economics.

Member of ASTIN

refereed(51)
wetenschappelijk(34)
vakpublicatie(7)
populair wetenschappelijk(1)
working papers / preprints(8)

2015

R. Kaas, H.U. Gerber, M.J. Goovaerts, E.S.W. Shiu & H. Albrecher (2015). Editorial: The Impact Factor of IME. Insurance: Mathematics & Economics, 62, 1-4.
A. Charpentier & R. Kaas (2015). Introduction. In A. Charpentier (Ed.), Computational actuarial science with R (Chapman & Hall/CRC The R Series) (pp. 1-72). Boca Raton: CRC Press.

2011

M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2011). Worst case risk measurement: back to the future? Insurance: Mathematics & Economics, 49 (3), 380-392. doi: 10.1016/j.insmatheco.2011.06.001

2010

M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2010). A note on additive risk measures in rank-dependent utility. Insurance: Mathematics & Economics, 47 (2), 187-189. doi: 10.1016/j.insmatheco.2010.05.003
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2010). Decision principles derived from risk measures. Insurance: Mathematics & Economics, 47 (3), 294-302. doi: 10.1016/j.insmatheco.2010.07.004

2009

S. Vanduffel, X. Chen, J. Dhaene, M. Goovaerts, L. Henrard & R. Kaas (2009). Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Journal of Computational and Applied Mathematics, 221 (1), 202-218.
R. Kaas, R.J.A. Laeven & R.B. Nelsen (2009). Worst VaR scenarios with given marginals and measures of association. Insurance: Mathematics & Economics, 44 (2), 146-158.

2008

S. Vanduffel, X. Chen, J. Dhaene, M. Goovaerts, L. Henrard & R. Kaas (2008). Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Journal of Computational and Applied Mathematics, 221 (1), 202-218.
R. Kaas, M. Goovaerts, J. Dhaene & M. Denuit (2008). Modern actuarial risk theory: using R. Berlin / Heidelberg: Springer Verlag.

2007

M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2007). Decision Principles derived from Risk Measures. Hermis, 8, 109-124.
W.J. Willemse & R. Kaas (2007). Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality. Insurance: Mathematics & Economics, 40 (3), 468-484.

2006

J.L.M. Dhaene, S. Vanduffel, Q. Tang, M.J. Goovaerts, R. Kaas & D. Vyncke (2006). Risk measures and comonotonicity: a review. Stochastic Models, 22 (4), 573-606.
M. Denuit, J.L.M. Dhaene, M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2006). Risk measurement with equivalent utility principles. Statistics & Decisions, 24 (1), 1-25.

2005

J.L.M. Dhaene, S. Vanduffel, M.J. Goovaerts, R. Kaas & D. Vyncke (2005). Comonotonic approximations for optimal portfolio selection problems. The Journal of Risk and Insurance, 72 (2), 253-300.
M.J. Goovaerts, R. Kaas, R.J.A. Laeven, Q. Tang & R.I. Vernic (2005). The tail probability of discounted sums of Pareto-like losses in insurance. Scandinavian Actuarial Journal, 2005 (6), 446-461. doi: 10.1080/03461230500361943
M. Denuit, J.L.M. Dhaene, M.J. Goovaerts & R. Kaas (2005). Actuarial Theory for Dependent Risks - Measures, Orders and Models. Southern Gate, Chichester: Wiley publishers.
R. Kaas & Q. Tang (2005). A large deviation result for aggregate claims with dependent claim occurrences. Insurance: Mathematics & Economics, 36 (3), 251-259.

2004

R. Kaas, M.J. Goovaerts & Q. Tang (2004). Some useful counterexamples regarding comonotonicity. Belgian Actuarial Bulletin, 4, 1-4.
M.J. Goovaerts, R. Kaas, R.J.A. Laeven & Q. Tang (2004). A Comonotonic Image of Independence for Additive Risk Measures. Insurance: Mathematics & Economics, 35 (3), 581-594. doi: 10.1016/j.insmatheco.2004.07.005
M.J. Goovaerts, R. Kaas, J.L.M. Dhaene & Q. Tang (2004). Some new classes of consistent risk measures. Insurance: Mathematics & Economics, 34 (3), 505-516.
J.L.M. Dhaene, M.J. Goovaerts & R. Kaas (2004). Discussion on the paper 'Self Annuitization and Ruin in Retirement'. North American Actuarial Journal, 4, 124-126.
J.L.M. Dhaene, S. Vanduffel, Q. Tang, M.J. Goovaerts, R. Kaas & D. Vyncke (2004). Capital requirements, risk measures and comonotonicity. Belgian Actuarial Bulletin, 4, 53-61.
M.J. Goovaerts & R. Kaas (2004). Risk utility ranking. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, vol III (pp. 1513-1515). New York: Wiley.
R. Kaas (2004). Adjustment coefficient. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol I (pp. 27-30). New York: Wiley.
R. Kaas (2004). Beekman's convolution formula. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol I (pp. 167-169). New York: Wiley.
R. Kaas (2004). Generalized linear models. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol II (pp. 759-769). New York: Wiley.
R. Kaas (2004). Ordering of risks. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol III (pp. 1225-1229). New York: Wiley.

2003

M.J. Goovaerts, A. de Schepper, D. Vyncke, J.L.M. Dhaene & R. Kaas (2003). Stable laws and the present value of cash-flows. North American Actuarial Journal, 7 (4), 32-43.
M.J. Goovaerts, R. Kaas, J.L.M. Dhaene & Q. Tang (2003). A unified approach to generate risk measures. ASTIN Bulletin, 33 (2), 173-191.
J.L.M. Dhaene, M.J. Goovaerts & R. Kaas (2003). Economic capital allocation derived from risk measures. North American Actuarial Journal, 7 (2), 44-59.
D. Vyncke, M.J. Goovaerts, R. Kaas & J.L.M. Dhaene (2003). On the dsitribution of cash-flows using Esscher transforms. The Journal of Risk and Insurance, 70 (3), 563-575.
S. Vanduffel, R. Kaas & J.L.M. Dhaene (2003). The hurdle-race problem. Insurance: Mathematics & Economics, 33 (2), 405-414.
R. Kaas & Q. Tang (2003). Note on the tail behavior or random walk maxima with heavy tails and negative drift. North American Actuarial Journal, 7 (3), 57-61.

2002

J.L.M. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vynke (2002). The concept of comonotonicity an Actuarial Science and Finance: Theory. Insurance: Mathematics & Economics, 31, 3-33.
A. de Schepper, M.J. Goovaerts, J.L.M. Dhaene, D. Vynke & R. Kaas (2002). Bounds for present value functions with stochastic interest raes and stochastic volatility. Insurance: Mathematics & Economics, 31, 87-103.
J.L.M. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vynke (2002). The concept of comonotonicity an Actuarial Science and Finance: Applications. Insurance: Mathematics & Economics, 31, 133-161.
M.J. Goovaerts & R. Kaas (2002). Some problems in actuarial finance involving sums of dependent risks. Statistica Neerlandica, 56, 253-269.
R. Kaas, M.J. Goovaerts, J.L.M. Dhaene & M. Denuit (2002). Modern actuarial risk theory. 2nd edition. Dordrecht: Kluwer Academic Publishers.
R. Kaas, J.L.M. Dhaene, D. Vyncke, M.J. Goovaerts & M. Denuit (2002). A Simple Geometric Proof that Commonotonic risks have a convex largest sum. ASTIN Bulletin, 32, 71-77.

2001

M.J. Goovaerts, J.L.M. Dhaene & R. Kaas (2001). Risk Measures, Measures for Insolvency Risk and Economical Capital Allocation. Tijdschrift voor economie en management, XLVI, 545-562.
R. Kaas, M.J. Goovaerts, J.L.M. Dhaene & M. Denuit (2001). Modern actuarial risk theory. Deventer: Kluwer Academic Publishers.

2000

R. Kaas, J.L.M. Dhaene & M.J. Goovaerts (2000). Upper and lower bounds or sum of random variables. Insurance: Mathematics & Economics, 27, 151-168.

1999

D.R. Dannenburg, R. Kaas & L.N. Usman (1999). Gegeneraliseerde Lineaire Modellen voor IBNR-driehoeken. Verzekerings-Archief, 75 (4), 149-158.

1998

R. Kaas, A.E. van Heerwaarden & M.J. Goovaerts (1998). Ordering of Actuarial Risks (Caire Education Series 1, Caire, Brussels). Amsterdam: Institute for Actuarial Science, University of Amsterdam, Superseded by Modern A.R.T..

1997

M. Vanneste, M.J. Goovaerts, F.E.C. de Vijlder & R. Kaas (1997). A stochastic approach to catastrophic risks. Scandinavian Actuarial Journal, 24, 99-108.
A. de Schepper, M.J. Goovaerts & R. Kaas (1997). A recursive scheme for perpetuities with random positive interest rates, Part 1: Analytical results. Scandinavian Actuarial Journal, 24, 1-10.
R. Kaas, D.R. Danneburg & M.J. Goovaerts (1997). Exact credibility for weighted observations. ASTIN Bulletin, 27, 287-295.

1996

M. Vanneste, M.J. Goovaerts, F.E.C. de Vijlder & R. Kaas (1996). A stochastic approach to catastrophic risks. Scandinavian Actuarial Journal, 99-108.

1995

R. Kaas & O. Hesselager (1995). Ordering claim size distributions and mixed Poisson probabilities. Insurance: Mathematics & Economics, 17 (2), 193-201.

1990

M.J. Goovaerts, R. Kaas, A.E. van Heerwaarden & T. Bauwelinckx (1990). Effective Actuarial Methods. Amsterdam: North-Holland.

1987

R. Kaas (1987). Bounds and approximations for some risk theoretical quantities. Amsterdam: Institute for Actuarial Science, University of Amsterdam.

2007

R. Kaas (2007). De opleiding Actuarile wetenschappen: verleden, heden en toekomst. In A. van Heerwaarden, W.J. Willemse & G. Leuven (Eds.), Sensei in het actuariaat; Liber Amicorum voor prof.dr. Henk Wolthuis AAG. Amsterdam: Universiteit van Amsterdam.

2006

S. Vanduffel, J.L.M. Dhaene, M.J. Goovaerts & R. Kaas (2006). Invloed van IFRS and Solvency 2 op het risicobeheer van verzekeringsondernemingen. Financiëel Forum. Bank- en Financiewezen, 2006 (5).

2005

R. Kaas (2005). Compound Poisson distribution and GLM¿s -- Tweedie¿s distribution. In M. Vermaele (Ed.), Handelingen van het contactforum "3rd Actuarial and Financial Mathematics Day (4 February 2005) (pp. 3-12). Brussel.
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2005). Decision principles derived from risk measures. In Proceedings of the 36th International Astin Colloquium. Zurich, Switzerland.
R. Kaas, M.J. Goovaerts, J.L.M. Dhaene & M. Denuit (2005). Modern Actuarial Risk Theory (Chinese translation). Bejing: Science Press.
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2005). Decision principles derived from risk measures. In Proceedings of the 2nd Brazilian Conference on Statistical Modelling in Insurance and Finance. Ubatuba, Brasil.
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2005). Decision principles derived from risk measures. In Proceedings of the 7th International Hercma Conference. Athens, Greece.

2004

M.J. Goovaerts, R. Kaas, R.J.A. Laeven & Q. Tang (2004). A comonotonic image of independence for additive risk measures. In Proceedings of the 3rd conference in Actuarial Science and Finance. Samos, Greece.
J.L.M. Dhaene, S. Vanduffel, M.J. Goovaerts, R. Kaas & D. Vyncke (2004). Comonotonic approximations for optimal portfolio selection problems: the case of terminal wealth. In Handelingen van het contactforum "2nd Actuarial and Financial Mathematics Day (6 February 2004) (pp. 53-70).
M.J. Goovaerts, R. Kaas, R.J.A. Laeven & Q. Tang (2004). A comonotonic image of independence for additive risk measures. In Proceedings of the 8th International IME conference.

2002

M.J. Goovaerts, R. Kaas & J.L.M. Dhaene (2002). Economic capital allocation derived from risk measures. In Proceedings 6th International Congress on Insurance, Mathematics and Economics. Lisbon, Portugal.
R. Kaas (2002). Actuariële statistiek : verleden en toekomst. Amsterdam: Vossiuspers UvA.
R. Kaas (2002). Actuariële Statistiek - Verleden en Toekomst. . Amsterdam: Vossiuspers AUP.

2001

R. Kaas, J.L.M. Dhaene, D. Vyncke, M.J. Goovaerts & M. Denuit (2001). A simple geometric proof that comonotonic risks have a convex largest sum. In Proceedings of the fifth International Congress on Insurance: Mathematics and Economics. State College.
J.L.M. Dhaene, M. Denuit, M.J. Goovaerts, R. Kaas & D. Vyncke (2001). The concept of comonotonicity in Actuarial Science and Finance: Theory. In Proceedings of the fifth International Congress on Insurance: Mathematics and Economics. State College.
D. Vyncke, M.J. Goovaerts, A. de Schepper, R. Kaas & J.L.M. Dhaene (2001). On the distribution of cash-flows using Esscher transforms. In Proceedings of the Fifth International Congress on Insurance: Mathematics and Economics. State College.
R. Kaas, J.L.M. Dhaene, D. Vyncke, M.J. Goovaerts & M. Denuit (2001). A simple geometric proof that comonotonic risks have the convex-largest sum. (unknown, Research report, no 119). Leuven: Katholieke Universiteit Leuven, Departement Toegepaste Economische Wetenschappen.
A. de Schepper, M.J. Goovaerts, J.L.M. Dhaene, D. Vyncke & R. Kaas (2001). The valuation of cash flows for divident paying securities. In Proceedings Astin Colloquium. Washington.
A. de Schepper, M.J. Goovaerts, J.L.M. Dhaene, R. Kaas & D. Vyncke (2001). Bounds for present value functions with stochastic interest rates and stochastic volatility. In Proceedings of the fifth International Congress on Insurance: Mathematics and Economics. State College.
M.J. Goovaerts, A. de Schepper, D. Vyncke, J.L.M. Dhaene & R. Kaas (2001). Stable laws and the distribution of cash-flows. In Proceedings AFIR colloquium. Toronto.

2000

R. Kaas, M.J. Goovaerts & J.L.M. Dhaene (2000). Upper and lower bounds for sums of random variables. In Proceedings 4th International Congress on Insurance: Mathematics and Economics. Barcelona, Spain.

1998

R. Kaas & M.J. Goovaerts (1998). Inleiding Risicotheorie (second edition). Amsterdam: Institute for Actuarial Science, University of Amsterdam, [Superseded by Modern A.R.T.].

1995

H. Wolthuis & R. Kaas (1995). 1740 Nicholas Struyck : appendix to introduction to general geography. In S. Haberman & T.A. Sibbett (Eds.), History of actuarial science, Volume I Life tables and survival model Part I (pp. 207-241). London: Pickering.
R. Kaas & O. Hesselager (1995). Ordering claim size distributions and mixed Poisson probabilities. (intern rapport, TI discussion paper, no TI 95-165). : .
H. Wolthuis & R. Kaas (1995). 1669 Christiaan and Ludwig Huygens : extracts from letters. In S. Haberman & T.A. Sibbett (Eds.), History of actuarial science, Volume I Life tables and survival model Part I (pp. 129-143). London: Pickering.

1994

R. Kaas, A.E. van Heerwaarden & M.J. Goovaerts (1994). Ordering of actuarial risks (Education Series, 1). Brussels: Caire.

1992

R. Kaas & A.E. van Heerwaarden (1992). Stop-loss order, unequal means, and more dangerous distributions. Insurance: Mathematics and Economics, 11 (1), 71-77.
A.E. van Heerwaarden & R. Kaas (1992). The Dutch premium principle. Insurance: Mathematics and Economics, 11 (2), 129-133.

1990

M.J. Goovaerts, R. Kaas, A.E. van Heerwaarden & T. Bauwelinckx (1990). Effective actuarial methods. Amsterdam: North-Holland.

1989

A. E. van Heerwaarden, R. Kaas & M.J. Goovaerts (1989). Properties of the Esscher premium calculation principle. Insurance : Mathematics and Economics, 8 (4), 261-267.
R. Kaas, A. E. van Heerwaarden & M.J. Goovaerts (1989). Combining Panjer recursion with convolution. Insurance : Mathematics and Economics, 8 (1), 19-21.
A. E. van Heerwaarden, R. Kaas & M.J. Goovaerts (1989). Optimal reinsurance in relation to ordering of risks. Insurance : Mathematics and Economics, 8 (1), 11-17.

1988

R. Kaas, A. E. van Heerwaarden & M.J. Goovaerts (1988). Between individual and collective model for the total claims. (unknown, Actuarial Science and Econometrics Report, no 3/88). Amsterdam: University of Amsterdam, Department of Actuarial Science and Econometrics.

1987

A. E. van Heerwaarden, R. Kaas & M.J. Goovaerts (1987). New upper-bounds for stop-loss premiums for the individual model. Insurance Mathematics and Economics, 6 (4), 289-293.

2011

R. Kaas (2011). The 'R' in modern art. Actuaris, 19 (2), 12-14.

2008

R. Kaas, M.J. Goovaerts, E.S.W. Shiu, H.U. Gerber & D. Vyncke (2008). Editorial: The 10th IME conference in Leuven, 2006. Insurance: Mathematics & Economics, 42 (2), 467.

2005

H. Wolthuis & R. Kaas (2005). Wiley's "Encyclopedia of Actuarial Science". Actuaris, 36-37.

2002

R. Kaas (2002). Actuariële Statistiek - verleden en toekomst. Actuaris, maart, 20-22.

2000

R. Kaas (2000). Het aanzien van 1999 - 2000: de sectie actuariaat varlegt haar koers. Actuaris, July.
R. Kaas (2000). Obituary Bob Alting von Geusau. ASTIN Bulletin, 30, 255-256.

1996

D.R. Dannenburg, R. Kaas & M.J. Goovaerts (1996). Practical actuarial credibility models. Amsterdam: IAE.

1996

R. Kaas & D.R. Dannenburg (1996). Een schade-actuariele truuk met GLIM. Actuaris, 3/4, 37-38.

2013

J.S. Cramer & R. Kaas (2013). Mortality hazard rates and life expectancy. (Preprints, UvA Econometrics Discussion Paper, no 2013-03). Amsterdam: University of Amsterdam.

2009

M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2009). On risk measures and decisions in insurance and finance. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.

2007

R.J.A. Laeven, M.J. Goovaerts & R. Kaas (2007). Worst case risk measurement: back to the future? (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2007). On Risk Measures and Decisions in Insurance and Finance. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.

2006

R.J.A. Laeven & R. Kaas (2006). Worst VaR scenarios with given marginals and measures of association. (intern rapport, working paper). Amsterdam: Faculteit Economie en Bedrijfskunde.
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2006). Decision principles derived from risk measures. (intern rapport, working paper). Amsterdam: Faculteit Economie en Bedrijfskunde.

2005

M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2005). Decision principles derived from risk measures. (intern rapport). onbekend: Afdeling Business Studies.
R.J.A. Laeven, M.J. Goovaerts & R. Kaas (2005). Worst case risk measurement: back to the future? (intern rapport, ACT working paper). onbekend: Afdeling Business Studies.

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