Fotograaf: Ineke Oostveen

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


  • Faculteit Economie en Bedrijfskunde
    Sectie Quantitative Economics
  • Bezoekadres
    REC E
    Roetersstraat 11  Kamernummer: E4.25
  • Postadres:
    Postbus  15867
    1001 NJ  Amsterdam
  • R.Kaas@uva.nl
    T: 0205254230

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 

2018

2015

  • Kaas, R., Gerber, H., Goovaerts, M., Shiu, E., & Albrecher, H. (2015). The impact factor of IME. Insurance: Mathematics & Economics, 62, 1-4. DOI: 10.1016/j.insmatheco.2015.01.002  [details] 
  • Charpentier, A., & Kaas, R. (2015). Introduction. In A. Charpentier (Ed.), Computational actuarial science with R (pp. 1-72). (Chapman & Hall/CRC The R Series). Boca Raton: CRC Press. [details] 

2011

2010

2009

  • Kaas, R., Laeven, R. J. A., & Nelsen, R. B. (2009). Worst VaR scenarios with given marginals and measures of association. Insurance: Mathematics & Economics, 44(2), 146-158. DOI: 10.1016/j.insmatheco.2008.12.004  [details] 

2008

  • Kaas, R., Goovaerts, M., Dhaene, J., & Denuit, M. (2008). Modern actuarial risk theory: using R. Berlin / Heidelberg: Springer Verlag. [details] 
  • Vanduffel, S., Chen, X., Dhaene, J., Goovaerts, M., Henrard, L., & Kaas, R. (2008). Optimal approximations for risk measures of sums of lognormals based on conditional expectations. Journal of Computational and Applied Mathematics, 221(1), 202-218. DOI: 10.1016/j.cam.2007.10.050  [details] 

2007

  • Goovaerts, M. J., Kaas, R., & Laeven, R. J. A. (2007). Decision Principles derived from Risk Measures. Hermis, 8, 109-124.
  • Willemse, W. J., & Kaas, R. (2007). Rational reconstruction of frailty-based mortality models by a generalisation of Gompertz' law of mortality. Insurance: Mathematics & Economics, 40(3), 468-484. DOI: 10.1016/j.insmatheco.2006.07.003  [details] 

2006

  • Dhaene, J. L. M., Vanduffel, S., Tang, Q., Goovaerts, M. J., Kaas, R., & Vyncke, D. (2006). Risk measures and comonotonicity: a review. Stochastic Models, 22(4), 573-606. DOI: 10.1080/15326340600878016  [details] 
  • Denuit, M., Dhaene, J., Goovaerts, M., Kaas, R., & Laeven, R. (2006). Risk measurement with equivalent utility principles. Statistics & Decisions, 24(1), 1-25. DOI: 10.1524/stnd.2006.24.1.1  [details] 

2005

  • Dhaene, J. L. M., Vanduffel, S., Goovaerts, M. J., Kaas, R., & Vyncke, D. (2005). Comonotonic approximations for optimal portfolio selection problems. The Journal of Risk and Insurance, 72(2), 253-300. DOI: 10.1111/j.1539-6975.2005.00123.x 
  • 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, 2005(6), 446-461. DOI: 10.1080/03461230500361943  [details] 
  • Kaas, R., & Tang, Q. (2005). A large deviation result for aggregate claims with dependent claim occurrences. Insurance: Mathematics & Economics, 36(3), 251-259. DOI: 10.1016/j.insmatheco.2005.01.004 
  • Denuit, M., Dhaene, J. L. M., Goovaerts, M. J., & Kaas, R. (2005). Actuarial Theory for Dependent Risks - Measures, Orders and Models. Southern Gate, Chichester: Wiley.

2004

  • Dhaene, J. L. M., Goovaerts, M. J., & Kaas, R. (2004). Discussion on the paper 'Self Annuitization and Ruin in Retirement'. North American Actuarial Journal, 4, 124-126. [details] 
  • Dhaene, J., Vanduffel, S., Tang, Q., Goovaerts, M., Kaas, R., & Vyncke, D. (2004). Capital requirements, risk measures and comonotonicity. Belgian Actuarial Bulletin, 4(1), 53-61. [details] 
  • Goovaerts, M. J., & Kaas, R. (2004). Risk utility ranking. In J. L. Teugels, & B. Sundt (Eds.), Encyclopedia of Actuarial Science, vol III. (pp. 1513-1515). New York: Wiley. [details] 
  • Goovaerts, M. J., Kaas, R., Dhaene, J. L. M., & Tang, Q. (2004). Some new classes of consistent risk measures. Insurance: Mathematics & Economics, 34(3), 505-516. DOI: 10.1016/j.insmatheco.2004.03.003  [details] 
  • Goovaerts, M. J., Kaas, R., Laeven, R. J. A., & Tang, Q. (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  [details] 
  • Kaas, R. (2004). Adjustment coefficient. In J. L. Teugels, & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol I. (pp. 27-30). New York: Wiley. [details] 
  • Kaas, R. (2004). Beekman's convolution formula. In J. L. Teugels, & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol I. (pp. 167-169). New York: Wiley. [details] 
  • Kaas, R. (2004). Generalized linear models. In J. L. Teugels, & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol II. (pp. 759-769). New York: Wiley. [details] 
  • Kaas, R. (2004). Ordering of risks. In J. L. Teugels, & B. Sundt (Eds.), Encyclopedia of Actuarial Science, Vol III. (pp. 1225-1229). New York: Wiley. [details] 
  • Kaas, R., Goovaerts, M., & Tang, Q. (2004). Some useful counterexamples regarding comonotonicity. Belgian Actuarial Bulletin, 4(1), 1-4. [details] 

2003

  • Dhaene, J. L. M., Goovaerts, M. J., & Kaas, R. (2003). Economic capital allocation derived from risk measures. North American Actuarial Journal, 7(2), 44-59. [details] 
  • Goovaerts, M. J., de Schepper, A., Vyncke, D., Dhaene, J. L. M., & Kaas, R. (2003). Stable laws and the present value of cash-flows. North American Actuarial Journal, 7(4), 32-43. [details] 
  • Goovaerts, M. J., Kaas, R., Dhaene, J. L. M., & Tang, Q. (2003). A unified approach to generate risk measures. ASTIN Bulletin, 33(2), 173-191. [details] 
  • Kaas, R., & Tang, Q. (2003). Note on the tail behavior or random walk maxima with heavy tails and negative drift. North American Actuarial Journal, 7(3), 57-61. [details] 
  • Vanduffel, S., Kaas, R., & Dhaene, J. L. M. (2003). The hurdle-race problem. Insurance: Mathematics & Economics, 33(2), 405-414. DOI: 10.1016/j.insmatheco.2003.08.008  [details] 
  • Vyncke, D., Goovaerts, M. J., Kaas, R., & Dhaene, J. L. M. (2003). On the dsitribution of cash-flows using Esscher transforms. The Journal of Risk and Insurance, 70(3), 563-575. DOI: 10.1111/1539-6975.t01-1-00065  [details] 

2002

  • Dhaene, J. L. M., Denuit, M., Goovaerts, M. J., Kaas, R., & Vynke, D. (2002). The concept of comonotonicity an Actuarial Science and Finance: Applications. Insurance: Mathematics & Economics, 31, 133-161. DOI: 10.1016/S0167-6687(02)00135-X  [details] 
  • Dhaene, J. L. M., Denuit, M., Goovaerts, M. J., Kaas, R., & Vynke, D. (2002). The concept of comonotonicity an Actuarial Science and Finance: Theory. Insurance: Mathematics & Economics, 31, 3-33. DOI: 10.1016/S0167-6687(02)00134-8  [details] 
  • Goovaerts, M. J., & Kaas, R. (2002). Some problems in actuarial finance involving sums of dependent risks. Statistica Neerlandica, 56, 253-269. DOI: 10.1111/1467-9574.03600  [details] 
  • Kaas, R., Dhaene, J. L. M., Vyncke, D., Goovaerts, M. J., & Denuit, M. (2002). A Simple Geometric Proof that Commonotonic risks have a convex largest sum. ASTIN Bulletin, 32, 71-77. [details] 
  • Kaas, R., Goovaerts, M. J., Dhaene, J. L. M., & Denuit, M. (2002). Modern actuarial risk theory. 2nd edition. Dordrecht: Kluwer Academic Publishers. [details] 
  • de Schepper, A., Goovaerts, M. J., Dhaene, J. L. M., Vynke, D., & Kaas, R. (2002). Bounds for present value functions with stochastic interest raes and stochastic volatility. Insurance: Mathematics & Economics, 31, 87-103. DOI: 10.1016/S0167-6687(02)00126-9  [details] 

2001

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

2000

1998

  • Dannenburg, D. R., Kaas, R., & Usman, L. N. (1998). Gegeneraliseerde Lineaire Modellen voor IBNR-driehoeken. Verzekerings-Archief, 75(4), 149-158. [details] 
  • Kaas, R., van Heerwaarden, A. E., & Goovaerts, M. J. (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

  • Kaas, R., Danneburg, D. R., & Goovaerts, M. J. (1997). Exact credibility for weighted observations. ASTIN Bulletin, 27, 287-295. [details] 
  • de Schepper, A., Goovaerts, M. J., & Kaas, R. (1997). A recursive scheme for perpetuities with random positive interest rates, Part 1: Analytical results. Scandinavian Actuarial Journal, 1997(1), 1-10. DOI: 10.1080/03461238.1997.10413974  [details] 

1996

1995

1990

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

1987

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

2007

  • Kaas, R. (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

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

2005

  • Goovaerts, M. J., Kaas, R., & Laeven, R. J. A. (2005). Decision principles derived from risk measures. In Proceedings of the 2nd Brazilian Conference on Statistical Modelling in Insurance and Finance Ubatuba, Brasil.
  • Goovaerts, M. J., Kaas, R., & Laeven, R. J. A. (2005). Decision principles derived from risk measures. In Proceedings of the 36th International Astin Colloquium Zurich, Switzerland.
  • Goovaerts, M. J., Kaas, R., & Laeven, R. J. A. (2005). Decision principles derived from risk measures. In Proceedings of the 7th International Hercma Conference Athens, Greece.
  • Kaas, R. (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.
  • Kaas, R., Goovaerts, M. J., Dhaene, J. L. M., & Denuit, M. (2005). Modern Actuarial Risk Theory (Chinese translation). Bejing: Science Press.

2004

  • Dhaene, J. L. M., Vanduffel, S., Goovaerts, M. J., Kaas, R., & Vyncke, D. (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)
  • Goovaerts, M. J., Kaas, R., Laeven, R. J. A., & Tang, Q. (2004). A comonotonic image of independence for additive risk measures. In Proceedings of the 3rd conference in Actuarial Science and Finance Samos, Greece. [details] 
  • Goovaerts, M. J., Kaas, R., Laeven, R. J. A., & Tang, Q. (2004). A comonotonic image of independence for additive risk measures. In Proceedings of the 8th International IME conference [details] 

2002

  • Goovaerts, M. J., Kaas, R., & Dhaene, J. L. M. (2002). Economic capital allocation derived from risk measures. In Proceedings 6th International Congress on Insurance, Mathematics and Economics Lisbon, Portugal. [details] 

2001

  • Dhaene, J. L. M., Denuit, M., Goovaerts, M. J., Kaas, R., & Vyncke, D. (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. [details] 
  • Goovaerts, M. J., de Schepper, A., Vyncke, D., Dhaene, J. L. M., & Kaas, R. (2001). Stable laws and the distribution of cash-flows. In Proceedings AFIR colloquium Toronto. [details] 
  • Kaas, R., Dhaene, J. L. M., Vyncke, D., Goovaerts, M. J., & Denuit, M. (2001). A simple geometric proof that comonotonic risks have the convex-largest sum. (Research report; No. 119). Leuven: Katholieke Universiteit Leuven, Departement Toegepaste Economische Wetenschappen. [details] 
  • Kaas, R., Dhaene, J. L. M., Vyncke, D., Goovaerts, M. J., & Denuit, M. (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.
  • Vyncke, D., Goovaerts, M. J., de Schepper, A., Kaas, R., & Dhaene, J. L. M. (2001). On the distribution of cash-flows using Esscher transforms. In Proceedings of the Fifth International Congress on Insurance: Mathematics and Economics State College. [details] 
  • de Schepper, A., Goovaerts, M. J., Dhaene, J. L. M., Vyncke, D., & Kaas, R. (2001). The valuation of cash flows for divident paying securities. In Proceedings Astin Colloquium Washington. [details] 
  • de Schepper, A., Goovaerts, M. J., Dhaene, J. L. M., Kaas, R., & Vyncke, D. (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. [details] 

2000

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

1998

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

1995

  • Kaas, R., & Hesselager, O. (1995). Ordering claim size distributions and mixed Poisson probabilities. (TI discussion paper; No. TI 95-165). Unknown Publisher. [details] 
  • Wolthuis, H., & Kaas, R. (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. [details] 
  • Wolthuis, H., & Kaas, R. (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. [details] 

1994

  • Kaas, R., van Heerwaarden, A. E., & Goovaerts, M. J. (1994). Ordering of actuarial risks. (Education Series; No. 1). Brussels: Caire. [details] 

1992

1990

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

1989

  • Kaas, R., van Heerwaarden, A. E., & Goovaerts, M. J. (1989). Combining Panjer recursion with convolution. Insurance: Mathematics & Economics, 8(1), 19-21. DOI: 10.1016/0167-6687(89)90042-5  [details] 
  • van Heerwaarden, A. E., Kaas, R., & Goovaerts, M. J. (1989). Optimal reinsurance in relation to ordering of risks. Insurance: Mathematics & Economics, 8(1), 11-17. DOI: 10.1016/0167-6687(89)90041-3  [details] 
  • van Heerwaarden, A. E., Kaas, R., & Goovaerts, M. J. (1989). Properties of the Esscher premium calculation principle. Insurance: Mathematics & Economics, 8(4), 261-267. DOI: 10.1016/0167-6687(89)90001-2  [details] 

1988

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

1987

  • van Heerwaarden, A. E., Kaas, R., & Goovaerts, M. J. (1987). New upper-bounds for stop-loss premiums for the individual model. Insurance: Mathematics & Economics, 6(4), 289-293. DOI: 10.1016/0167-6687(87)90033-3  [details] 

2011

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

2005

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

2002

  • Kaas, R. (2002). Actuariële Statistiek - Verleden en Toekomst. Amsterdam: Vossiuspers AUP. [details] 
  • Kaas, R. (2002). Actuariële statistiek : verleden en toekomst. (Oratiereeks). Amsterdam: Vossiuspers UvA. [details] 
  • Kaas, R. (2002). Actuariële Statistiek - verleden en toekomst. Actuaris, maart, 20-22. [details] 

2000

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

1996

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

2013

  • Cramer, J. S., & Kaas, R. (2013). Mortality hazard rates and life expectancy. (UvA Econometrics Discussion Paper; No. 2013-03). Amsterdam: University of Amsterdam. [details] 

2009

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

2007

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

2006

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

2005

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