prof. dr. M.J. (Marc) Goovaerts

Faculty of Economics and Business
Section Actuarial Science
Valckenierstraat 65
1018 XE Amsterdam
M.J.Goovaerts@uva.nl
T: 0205254230
T: 0205254217

Publications
Ancillary activities

refereed(106)
academic(60)
professional(12)
popular scientific(6)
working papers / preprints(12)

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.

2012

M.J. Goovaerts, R.J.A. Laeven & Z. Shang (2012). Transform analysis and asset pricing for diffusion processes: a recursive approach. Journal of Computational Finance, 16 (1), 47-81.
K. van Weert, J. Dhaene & M.J. Goovaerts (2012). Comonotonic approximations for the probability of lifetime ruin. Journal of Pension Economics and Finance, 11 (2), 285-309. doi: 10.1017/S1474747211000217
J. Dhaene, M.J. Goovaerts, M. Vanmaele & K. van Weert (2012). Convex order approximations in case of cash flows of mixed signs. Insurance: Mathematics & Economics, 51 (2), 249-256. doi: 10.1016/j.insmatheco.2012.04.003
M.J. Goovaerts, D. Linders, K. van Weert & F. Tank (2012). On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Insurance: Mathematics & Economics, 51 (1), 10-18. doi: 10.1016/j.insmatheco.2012.02.012

2011

K. van Weert, J. Dhaene & M. Goovaerts (2011). Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection. Journal of Computational and Applied Mathematics, 235 (10), 3245-3256. doi: 10.1016/j.cam.2011.01.012
Z. Shang, M. Goovaerts & J. Dhaene (2011). A recursive approach to mortality-linked derivative pricing. Insurance: Mathematics & Economics, 49 (2), 240-248. doi: 10.1016/j.insmatheco.2011.03.003
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

K. van Weert, J. Dhaene & M. Goovaerts (2010). Optimal portfolio selection for general provisioning and terminal wealth problems. Insurance: Mathematics & Economics, 47 (1), 90-97.
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

C. Genest, H.U. Gerber, M.J. Goovaerts & R.J.A. Laeven (2009). Modeling and Measurement of Multivariate Risk in Insurance and Finance. Insurance: Mathematics & Economics, 44 (2), 143-145. doi: 10.1016/j.insmatheco.2008.10.005
M. Decamps, A. de Schepper & M. Goovaerts (2009). Spectral decomposition of optimal asset-liability management. Journal of Economic Dynamics & Control, 33 (3), 710-724.
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.

2008

R. Kaas, M. Goovaerts, J. Dhaene & M. Denuit (2008). Modern actuarial risk theory: using R. Berlin / Heidelberg: Springer Verlag.
J. Dhaene, R.J.A. Laeven, S. Vanduffel, G. Darkiewicz & M.J. Goovaerts (2008). Can a coherent risk measure be too subadditive? The Journal of Risk and Insurance, 75 (2), 365-386. doi: 10.1111/j.1539-6975.2008.00264.x
R.J.A. Laeven & M.J. Goovaerts (2008). Premium calculation and insurance pricing. In E.L. Melnick & B.S. Everitt (Eds.), Encyclopedia of quantitative risk analysis and assessment. - Vol. 3 (pp. 1302-1314). Chichester [etc.]: Wiley.
M.J. Goovaerts & R.J.A. Laeven (2008). Actuarial risk measures for financial derivative pricing. Insurance: Mathematics & Economics, 42 (2), 540-547.[go to publisher's site]
J. Dhaene, S. Vanduffel & M.J. Goovaerts (2008). Comonotonicity. In E.L. Melnick & B.S. Everitt (Eds.), Encyclopedia of quantitative risk analysis and assessment. - Vol. 1 (pp. 274-279). Chichester [etc.]: Wiley.
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.

2007

M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2007). Decision Principles derived from Risk Measures. Hermis, 8, 109-124.

2006

M.J. Goovaerts, S. Vandewalle & L. Wuytack (2006). Special Issue: Proceedings of the 11th International Congress on Computational and Applied Mathematics. Journal of Computational and Applied Mathematics, 189 (1-2), 1-1.
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.
M. Decamps, M.J. Goovaerts & W. Schoutens (2006). Asymmetric skew Bessel processes and their applications to finance. Journal of Computational and Applied Mathematics, 186 (1), 130-147.
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.
A. Ahcan, G. Darkiewicz, M.J. Goovaerts & T. Hoedemakers (2006). Computation of covex bounds for present value functions with random payments. Journal of Computational and Applied Mathematics, 186, 23-42.
M. Decamps, A. de Schepper & M.J. Goovaerts (2006). A path integral approach to asset-liability management. Physica A : Statistical Mechanics and its Applications, 363 (2), 404-416.

2005

R.J.A. Laeven, M.J. Goovaerts & T. Hoedemakers (2005). Some asymptotic results for sums of dependent random variables, with actuarial applications. Insurance: Mathematics & Economics, 37 (2), 154-172. doi: 10.1016/j.insmatheco.2005.05.009
M. Decamps, A. de Schepper, M.J. Goovaerts & W. Schoutens (2005). A note on some new perpetuities. Scandinavian Actuarial Journal, 4, 261-270.
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.J. Goovaerts, E. van den Borre & R.J.A. Laeven (2005). Managing economic and virtual economic capital within financial conglomerates. North American Actuarial Journal, 9 (3), 77-89.
T. Hoedemakers, J. Beirlant, M.J. Goovaerts & J.L.M. Dhaene (2005). On the distribution of discounted loss reserves using generalised linear models. Scandinavian Actuarial Journal, 2005 (1), 25-45.
M. Vanmaele, G. Deelstra, J. Liinev, J.L.M. Dhaene & M.J. Goovaerts (2005). Bounds for the price of discrete arithmetic Asian options. Journal of Computational and Applied Mathematics, 185 (1), 51-90.
J. Beirlant, G. Claeskens, C. Croux, H. Degryse, H. Dewachter, J.L.M. Dhaene, I. Gijbels, M.J. Goovaerts, M. Hubert, F. Roodhoofd, W. Schoutens & M. Willekens (2005). Managing uncertainty: Financial, Actuarial and Statistical Modelling. Tijdschrift voor economie en management, 50 (1), 23-49.
M. Decamps, A. de Schepper & M.J. Goovaerts (2005). Pricing exotic options under local volatility. Tijdschrift voor economie en management, 50 (1), 49-68.
M.J. Goovaerts, A. de Schepper, Y. Hua, G. Darkiewicz & D. Vyncke (2005). On the use of copula for calculating the present value of a general cash flow. Tijdschrift voor economie en management, 50 (1), 69-94.
S. Vanduffel, J.L.M. Dhaene & M.J. Goovaerts (2005). Comonotonic approximations for the savings-retirement problem. Journal of Pension Economics and Finance, 4 (1), 17-30.
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.
X. Chen, J.L.M. Dhaene, M.J. Goovaerts & S. Vanduffel (2005). A liability driven approach to asset allocation. Belgian Actuarial Bulletin, 5, 52-56.
J.L.M. Dhaene, M.J. Goovaerts, S. Lundin & S. Vanduffel (2005). Aggregating economic capital. Belgian Actuarial Bulletin, 5 (1), 14-25.
T. Hoedemakers, G. Darkiewicz & M.J. Goovaerts (2005). Approximations for life annuity contracts in a stochastic financial environment. Insurance: Mathematics & Economics, 37 (2), 239-269.
D. Vyncke, M.J. Goovaerts, J.L.M. Dhaene & S. Vanduffel (2005). Optimal portfolio selection for cashflows with bounded capital at risk. Tijdschrift voor economie en management, 50 (1), 103-114.

2004

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.
M.J. Goovaerts & D. Vyncke (2004). Reinsurance forms. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, vol III (pp. 1403-1404). New York: Wiley.
M.J. Goovaerts (2004). Insurance, mathematics and economics. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, vol II (pp. 908-908). New York: Wiley.
M.J. Goovaerts (2004). Collective risk models. In J.L. Teugels & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol I (pp. 290-292). New York: Wiley.
R. Kaas, M.J. Goovaerts & Q. Tang (2004). Some useful counterexamples regarding comonotonicity. Belgian Actuarial Bulletin, 4, 1-4.
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, A. De Schepper & M. Decamps (2004). Closed form apporximations for diffusion densities: a path integral approach. Journal of Computational and Applied Mathematics, 165, 337-364.
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.
M. Decamps, A. DeSchepper & M.J. Goovaerts (2004). Applications of delta-functions perturbation to the pricing of derivative securities. Physica A : Statistical Mechanics and its Applications, 342 (3-4), 677-692.
R.J.A. Laeven & M.J. Goovaerts (2004). An Optimization Approach to the Dynamic Allocation of Economic Capital. Insurance: Mathematics & Economics, 35 (2), 299-319. doi: 10.1016/j.insmatheco.2004.04.002
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.
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

2003

M. Decamps & M.J. Goovaerts (2003). Discussion on "Geometric Brownian Motions Models fro Assets and Liabilities: From Pension Funding to Optimal Dividends"by Hans Gerber and Elias Shui. North American Actuarial Journal, 7 (3), 18-19.
M. Decamps & M.J. Goovaerts (2003). Discussion on "Pricing lookback options and dynamic guarantess" by Hans Herber and Elias Shiu. North American Actuarial Journal, 94-95.
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.
J.L.M. Dhaene, S. Vanduffel, M.J. Goovaerts, R. Olieslagers & R. Koch (2003). On the computation of the capital multiplier in the Fortis Credit Economic Capital model. Belgian Actuarial Bulletin, 3, 50-57.
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.
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.
T. Hoedemakers, J. Beirlant, M.J. Goovaerts & J.L.M. Dhaene (2003). Confidence bounds for discounted loss reserves. Insurance: Mathematics & Economics, 33 (2), 297-316.
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.

2002

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: Theory. Insurance: Mathematics & Economics, 31, 3-33.
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.
J.L.M. Dhaene, M.J. Goovaerts, S. Vanduffel & D. Vynke (2001). How to determine the Capital Requirements for a Portfolio of Annuity Liabilities. Tijdschrift voor economie en management, XLVI, 533-544.
M.J. Goovaerts, J.L.M. Dhaene, E. Vanden Borre & R. Redant (2001). Some remarks on IBNR Evaluation Techniques. Tijdschrift voor economie en management, XLVI, 525-533.
J.L.M. Dhaene, S. Wang, V. Young & M.J. Goovaerts (2001). Comonotonicity and maximal stop-loss premiums. Mitteilungen der Schweiz Actuarvereinigung, 99-113.
M.J. Goovaerts, J.L.M. Dhaene, E. van den Borre & R. Redant (2001). Some remarks on IBNR evaluation techniques. Belgian Actuarial Bulletin, 58-60.
R. Kaas, M.J. Goovaerts, J.L.M. Dhaene & M. Denuit (2001). Modern actuarial risk theory. Deventer: Kluwer Academic Publishers.
D. Vyncke, M.J. Goovaerts & J.L.M. Dhaene (2001). Convex upper and lower bounds for present value functions. Applied Stochastic Models in Business and Industry, 17, 149-164.

2000

M.J. Goovaerts, J.L.M. Dhaene & A. de Schepper (2000). Stochastic upper bounds for present value functions. The Journal of Risk and Insurance, 67, 1-15.
F.E.C. De Vylder & M.J. Goovaerts (2000). Homogeneous risk model with equalised claim amounts. Insurance: Mathematics & Economics, 26, 223-238.
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.
S. Simons, J.L.M. Dhaene & M.J. Goovaerts (2000). An easy computable upper bound for the price of an arithmatic Asian Option. Insurance: Mathematics & Economics, 26, 175-183.

1999

C. Ribas, M.J. Goovaerts & J.L.M. Dhaene (1999). A note on the sop-loss order preserving property of Wang's premium principle. Mitteilungen, 237-241.
A. de Schepper, M.J. Goovaerts & B. Heijnen (1999). A recursive scheme for perpetuities with positive random positive interest rates. Scandinavian Actuarial Journal, 1-14.
A. de Schepper & M.J. Goovaerts (1999). The GARCH (1,1)-M model: results for the density and the mean. Insurance: Mathematics & Economics, 24 (1-2), 83-94.
M.J. Goovaerts & J.L.M. Dhaene (1999). Supermodular ordering and stochastic annuities. Insurance: Mathematics & Economics, 24 (3), 281-290.
F.E.C. de Vijlder & M.J. Goovaerts (1999). Explicit Finite Time Ruin Probablities in the Continuous Case. Insurance: Mathematics & Economics, 24 (3), 155-172.
F.E.C. de Vijlder & M.J. Goovaerts (1999). Inequality Extensions of Prabhu's Formula in Ruin Theory. Insurance: Mathematics & Economics, 24 (3), 249-271.
F.E.C. de Vijlder & M.J. Goovaerts (1999). Solvency Margins and Equalization Reserves. Insurance: Mathematics & Economics, 24 (1-2), 103-115.
M.J. Goovaerts & R. Redant (1999). On the distribution of IBNR-reserves. Insurance: Mathematics & Economics, 25 (1), 1-10.

1998

J. Spreeuw & M.J. Goovaerts (1998). Prediction of claim numbers based on hazard rates. Insurance: Mathematics & Economics, 23, 59-69.
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..
F.E.C. de Vijlder & M.J. Goovaerts (1998). Discussion of paper On the time value of ruin. North American Actuarial Journal, 2, 72-74.
F.E.C. de Vijlder & M.J. Goovaerts (1998). Discussion of paper On a class of renewall processes. North American Actuarial Journal, 2, 68-70.

1997

J.L.M. Dhaene & M.J. Goovaerts (1997). Dependency of risks and stop-loss order. ASTIN Bulletin, 26, 201-212.
J.L.M. Dhaene & M.J. Goovaerts (1997). On the dependency of risks in the individual life model. Insurance: Mathematics & Economics, 19, 243-254.
M.J. Goovaerts & J.L.M. Dhaene (1997). The compound Poisson approximation for a portfolio of dependent risks. Insurance: Mathematics & Economics, 18, 81-86.
M.J. Goovaerts & A. de Schepper (1997). IBNR reserves under stochastic interest rates. Insurance: Mathematics & Economics, 21, 225-244.
R. Kaas, D.R. Danneburg & M.J. Goovaerts (1997). Exact credibility for weighted observations. ASTIN Bulletin, 27, 287-295.
M. Vanneste, M.J. Goovaerts, A. de Schepper & J.L.M. Dhaene (1997). A straightforward calculation of the distribution of an annuity certain with stochastic interest rate. Insurance: Mathematics & Economics, 20, 35-42.
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.
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.
J.L.M. Dhaene & M.J. Goovaerts (1997). On the dependency of risks in the individual life model. Insurance: Mathematics & Economics, 19, 243-253.
F.E.C. de Vijlder & M.J. Goovaerts (1997). The numerical solution of Schmitter's problem. Insurance: Mathematics & Economics, 20 (1), 43-58.
F.E.C. de Vijlder, M.J. Goovaerts & E. Marceau (1997). The bi-atomic extremal solution of Schmitter's problem. Insurance: Mathematics & Economics, 20 (1), 59-78.

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.
M.J. Goovaerts & J.L.M. Dhaene (1996). The compound Poisson approximations for a portfolio of dependent risks. Insurance: Mathematics & Economics, 18, 81-86.

1990

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

2008

J. Dhaene, M. Goovaerts & K. Weert (2008). Some comments on QIS3. Zavarovalniški Horizonti, 3, 73-87.

2006

J.L.M. Dhaene, R.J.A. Laeven, S. Vanduffel, G. Darkiewicz & M.J. Goovaerts (2006). Can a coherent risk measure be too subadditive? In 28th International Congress of Actuaries.
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

G. Darkiewicz, J.L.M. Dhaene & M.J. Goovaerts (2005). Risk measures and dependencies if risks. Brazilian Journal of Probability and Statistics, 19, 155-178.
H. Albrecher, J.L.M. Dhaene, M.J. Goovaerts & W. Schoutens (2005). Static hedging of Asian options under Levy Models: the Comonotonicity Approach. Journal of Derivatives, 12 (3), 63-72.
S. Vanduffel, J.L.M. Dhaene & M.J. Goovaerts (2005). On the evaluation of saving-consumption plans. Journal of Pension Economics and Finance, 4 (1), 17-30.
M. Decamps, M.J. Goovaerts & A. de Schepper (2005). Applications of Jensen's inequality to interest rate derivatives. In Proceedings IWAP 2004 (pp. 101-103). Athene.
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.
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. Denuit, J.L.M. Dhaene, M.J. Goovaerts & R.J.A. Laeven (2005). Risk measurement with equivalent utility principles. (intern rapport, Research Report, no OR 0582). Amsterdam: Faculteit Economie en Bedrijfskunde.

2004

G. Darkiewicz, T. Hoedemakers, A. Ahcan, J.L.M. Dhaene & M.J. Goovaerts (2004). Multi-period portfolio selection for stochastic liabilities. In Proceedings of the 3rd conference in Actuarial Science and Finance.
J.L.M. Dhaene, M.J. Goovaerts, S. Vanduffel & D. Vyncke (2004). Comonotonic approximations for optimal portfolio selection problems. In Proceedings of Stochastic Finance. Lisbon.
A. Ahcan, G. Darkiewicz, J.L.M. Dhaene, M.J. Goovaerts & T. Hoedemakers (2004). Optimal portfolio selection: applications in insurance business. In Proceedings of the 8th International Insurance Mathematics and Economics Conference (pp. 1-41).
G. Darkiewicz, J.L.M. Dhaene & M.J. Goovaerts (2004). Distortion risk measures for sums of random variables. Blätter der Deutschen Gesellschaft fur Versicherungsmathematik, 26 (4), 631-641.
S. Vanduffel, J.L.M. Dhaene & M.J. Goovaerts (2004). Comonotonic approximations for the savings-retirement problem. In Proceedings of the 8th International Congress on Insurance: Mathematics & Economics (June 14-16). Rome.
M. Decamps, M.J. Goovaerts & W. Schoutens (2004). A bimodal Vasicek short rate model. In Handelingen van het contactforum "2nd Actuarial and Financial Mathematics Day (6 February 2004) (pp. 45-52).
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).
K. Antonio, M.J. Goovaerts & T. Hoedemakers (2004). On the distribution of Discounted Loss Reserves. Medium Econometrische Toepassingen, 12 (3), 12-16.
J.L.M. Dhaene, R.J.A. Laeven, S. Vanduffel, G. Darkiewicz & M.J. Goovaerts (2004). Can a cohorent risk measure be too subadditive? In Proceedings of the 14th International AFIR Conference.
R.J.A. Laeven, M.J. Goovaerts & T. Hoedemakers (2004). Some asymptotic results for sums of depedant random variables with actuarial applications. In Proceedings of the 8th International IME conference.
T. Hoedemakers, G. Darkiewicz, J.L.M. Dhaene & M.J. Goovaerts (2004). On the distribution of life annuities with stochastic interest rates. In Proceedings of the 8th International IME conference.
M.J. Goovaerts, E. van den Borre & R.J.A. Laeven (2004). Managing economic and virtual economic capital within financial conglomerates. In Proceedings of the 35th International ASTIN Conference.
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.
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.
S. Vanduffel, J.L.M. Dhaene & M.J. Goovaerts (2004). On the evaluation of 'saving-consumption' plans. In Proceedings of the 3rd Conference in Actuarial Science and Finance. Samos, Greece.

2002

M.J. Goovaerts, A. De Schepper & M. Decamps (2002). Transition probabilities for diffusion processes by means of path-integrals. In Proceedings 6th International Congress on Insurance: Mathematics and Economics. Lisbon, Portugal.
J.L.M. Dhaene, H. Wolthuis, M. Denuit & M.J. Goovaerts (2002). Risk and savings contracts. In Proceedings 27th International Congess of Actuaries. Cancun.
T. Hoedemakers, J. Beirlant, M.J. Goovaerts & J.L.M. Dhaene (2002). Confidence Bounds for discounted Loss Reserves. In Proceedings 6th International Congress on Insurance: Mathematics and Economics. Lisbon, Portugal.
P. de Boeck, M.J. Goovaerts, R. Piessens & L. Wuytack (2002). Preface Proceedings van het 9e ICCAM. Juli 2000. Journal of Computational and Applied Mathematics, 140 (1-2), xi-xii.
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.

2001

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.
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.
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 a convex largest sum. 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.
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.
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.

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.
F. Broeckx, M.J. Goovaerts, R. Piessens & L. Wuytack (2000). Proceedings of the 8th ICCAM. Dordrecht: Elsevier.

1999

M.J. Goovaerts & J.L.M. Dhaene (1999). Ervaringstarifering als actuarieel instrument. In ? ? (Ed.), Liber Amicorum Hubert Claassens. Verzekering: Theorie en praktijk, CRIS (pp. 387-392). Leuven: Maklu-Uitgevers nv/Academia-Bruylant.
M.J. Goovaerts, J.L.M. Dhaene & A. de Schepper (1999). Stochastic upper bounds for present value functions. In ? ? (Ed.), XXXth Int. Astin Colloquium Proceedings (pp. ?-?). Tokyo: ASTIN.
M.J. Goovaerts (1999). Actuariële Wiskunde: Retro- en Prospectief. In J. Dhaene, S. Simon & N. de Pril (Eds.), Risico en verzekering. Liber Amicorum R. de Groot (pp. 45-62). Antwerpen: UFSIA.
M.J. Goovaerts (1999). The Belgian case. In ? ? (Ed.), International Benefits IBN Yearbook (pp. 40-48). London: ?.

1998

M.J. Goovaerts & J.L.M. Dhaene (1998). On the characterization of Wang's class of premium principles. 26th ICA Proceedings, 4, 121-134.
M.J. Goovaerts (1998). Supermodular orders and stochastic annuities. Proceedings ASTIN Colloquium Glasgow, 637-650.
R. Kaas & M.J. Goovaerts (1998). Inleiding Risicotheorie (second edition). Amsterdam: Institute for Actuarial Science, University of Amsterdam, [Superseded by Modern A.R.T.].

1997

M.J. Goovaerts, C.L. Smid & H. Wolthuis (1997). Actuariele leerstoelen, retro- en prospectief. Verzekerings-Archief, 74, 123-130.
M. Teunen & M.J. Goovaerts (1997). Stochastic loss reserves based on the separation method. Giornale dell' Instituto Italiano degli Attuarii, LVII Roma, 9-17.
M.J. Goovaerts & J.L.M. Dhaene (1997). Actuarial applications of financial models. CWI Quarterly, 10, 55-64.

1995

J.L.M. Dhaene & M.J. Goovaerts (1995). On the dependency of risks in the individual life model. (extern rapport, Onderzoeksrapport D.T.E.W., no 9539). Leuven, Belgie: KU Leuven.
M.J. Goovaerts & J.L.M. Dhaene (1995). Dependency of risks and stop-loss order. (extern rapport, Onderzoeksrapport D.T.E.W., no 9545). Leuven, Belgie: K.U. Leuven.

1994

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

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). Optimal reinsurance in relation to ordering of risks. Insurance : Mathematics and Economics, 8 (1), 11-17.
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). Properties of the Esscher premium calculation principle. Insurance : Mathematics and Economics, 8 (4), 261-267.

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.

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.

2007

J.L.M. Dhaene, S. Vanduffel & M.J. Goovaerts (2007). Comonotonicity. Tijdschrift voor economie en management, 52 (2), 265-278.

2002

A. Brender, H. van Broekhoven, J.L.M. Dhaene, M.J. Goovaerts, T. Monnik, G. Meyers, H. Panjer, O. Sandberg, H. Shoeman, S. van Veurne, S. Wason & H. Waszink (2002). Report on Solvency working party. IAA-report, 95, 1-95.
M.J. Goovaerts & T. Bauwelinckx (2002). Praktijkgids 2002 Aanvullende bedrijfspensioenen. Dordrecht: Kluwer.

2001

T. Bouwelinckx & M.J. Goovaerts (2001). Aanvullende Bedrijfspensioenen. Deventer: Kluwer.

1998

M.J. Goovaerts & J.L.M. Dhaene (1998). Ervaringstarifering als actuarieel instrument, Liber Amicorum Hubert Claassens. In Verzekering: theorie en praktijk (pp. 387-392). CRIS; Maklu-Uitgevers nv; Academia-Bruylant.
T. Bauwelinckx & M.J. Goovaerts (1998). Aanvullende bedrijfspensioenen, Praktijkgids 1998. Diegem: Ced Samson.
M.J. Goovaerts (1998). Intermnational Benefits Yearbook 1999. London: Sweet & Maxwell.

1997

M.J. Goovaerts & J.L.M. Dhaene (1997). Premiedifferentiatie, bonus-malus en solidariteit. In Liber Amicorum Prof. R. Dillemans, II (pp. 157-168). Belgie: Kluwer Bedrijfswetenschappen.
H. Wolthuis & M.J. Goovaerts (Eds.). (1997). Reserving and Solvency in insurance in the EC. Amsterdam: IAE.
T. Bauwelinckx & M.J. Goovaerts (Eds.). (1997). Praktijkgids aanvullende bedrijfspensioenen 1997. Diegem: Ced. Samson.

1996

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

1995

L. Teunen & M.J. Goovaerts (1995). Evaluation of interest randomness for pension valuation. In . ICA (Ed.), Transactions of the 25th International congress of actuaries (pp. 689-709). Brussel: ICA.
M.J. Goovaerts (1995). Ontwikkelingen in het schadeactuariaat. Athenaeum Illustre, 4, 13-16.
M.J. Goovaerts & L. Teunen (1995). Evaluation of randomness due to growth factors for reserving in liability insurance. In . ICA (Ed.), Transactions of the 25th international congress of actuaries (pp. 89-95). Brussel: ICA.
M.J. Goovaerts & A. de Schepper (1995). A recursive scheme for perpetuities with random interest. (extern rapport). Leuven, Belgie: Astin colloqium.
M.J. Goovaerts (1995). ICA 95. Actuaris, 3 (2), 2-4.
M.J. Goovaerts & A. de Schepper (1995). Distribution of actuarial functions with random interest. In . ICA (Ed.), Transactions of the 25th international congress of actuaries (pp. 165-188). Brussel: ICA.

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.
K. van Weert, J. Dhaene & M. Goovaerts (2009). Optimal portfolio selection for general provisioning and terminal wealth problems. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.

2007

M.J. Goovaerts, R.J.A. Laeven & Z. Shang (2007). A New Iterative Algorithm for Calculating the Transition Densities for General Diffusion Process. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
M.J. Goovaerts & Z. Shang (2007). Upper and Lower Bound Approximation for Transition Densities by Path Integral. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
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

M.J. Goovaerts & R.J.A. Laeven (2006). On transition densities for general diffusion processes. (intern rapport, Working Paper Universiteit van Amsterdam). 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.J.A. Laeven (2005). Actuarial risk measures for financial derivative pricing. (intern rapport). onbekend: Afdeling Business Studies.
M.J. Goovaerts, R. Kaas & R.J.A. Laeven (2005). Decision principles derived from risk measures. (intern rapport). onbekend: Afdeling Business Studies.
J.L.M. Dhaene, R.J.A. Laeven, S. Vanduffel, G. Darkiewicz & M.J. Goovaerts (2005). Can a coherent risk measure be too subadditive? (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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