Dr. D.H. (Daniel) Linders
Faculty of Economics and Business
Section Quantitative Economics
Visiting address
- Roetersstraat 11
Postal address
- Postbus 15867
1001 NJ Amsterdam
Contact details
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Publications
2023
Linders, D. H. (Accepted/In press). The 3-step hedge-based valuation: fair valuation in the presence of systematic risks. ASTIN Bulletin.
2022
- Barigou, K., Linders, D. H., & Yang, F. (2022). Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2022.2090272
- Hanbali, H., & Linders, D. (2022). Monotone tail functions: Definitions, properties, and application to risk-reducing strategies. Journal of Computational and Applied Mathematics, 416, [114484]. https://doi.org/10.1016/j.cam.2022.114484 [details]
- Hanbali, H., Dhaene, J., & Linders, D. (2022). Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables. Insurance: Mathematics & Economics, 107, 22-37. https://doi.org/10.1016/j.insmatheco.2022.07.008 [details]
- Hanbali, H., Linders, D. H., & Dhaene, J. (2022). Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables. Scandinavian Actuarial Journal. https://doi.org/10.1080/03461238.2022.2092419
- Tavanaie, M., & Linders, D. (2022). Analysis of flood hazard alteration: Definitions, properties and application to risk-reducing strategies. Natural Hazards Review, 23(3), [556]. https://doi.org/10.1061/(ASCE)NH.1527-6996.0000556 [details]
2021
- Tavanaie, M., & Linders, D. (2021). Decomposition of Natural Catastrophe Risks: Insurability Using Parametric CAT Bonds. Risks, 9(12), [215]. https://doi.org/10.3390/risks9120215 [details]
2020
- Dhaene, J., Kukush, A., & Linders, D. (2020). Comonotonic asset prices in arbitrage-free markets. Journal of Computational and Applied Mathematics, 364, [112310]. https://doi.org/10.1016/j.cam.2019.06.026 [details]
2019
- Hanbali, H., & Linders, D. (2019). American-type basket option pricing: a simple two-dimensional partial differential equation. Quantitative Finance, 19(10), 1689-1704. https://doi.org/10.1080/14697688.2019.1588987
- van Bilsen, S., & Linders, D. (2019). Affordable and Adequate Annuities with Stable Payouts: Fantasy or Reality? Insurance: Mathematics & Economics, 86, 19-42. https://doi.org/10.1016/j.insmatheco.2019.01.010 [details]
2017
- Dhaene, J., Stassen, B., Linders, D., Barigou, K., & Chen, Z. (2017). Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. Insurance: Mathematics & Economics, 76, 14-27. https://doi.org/10.1016/j.insmatheco.2017.06.003
- Linders, D., & Yang, F. (2017). Aggregating Risks with Partial Dependence Information. North American Actuarial Journal, 565-579 . https://doi.org/10.1080/10920277.2017.1317603
2016
- Linders, D., & Schoutens, W. (2016). Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model. In K. Glau, Z. Grbac, M. Scherer, & R. Zagst (Eds.), Innovations in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation (pp. 335-367). (Springer Proceedings in Mathematics & Statistics; Vol. 165). Cham: Springer Open. https://doi.org/10.1007/978-3-319-33446-2_16
- Linders, D., & Stassen, B. (2016). The multivariate Variance Gamma model: basket option pricing and calibration. Quantitative Finance, 16(4), 555-572. https://doi.org/10.1080/14697688.2015.1043934
2015
- Chen, X., Dhaene, J., Deelstra, G., Linders, D., & Vanmaele, M. (2015). On an optimization problem related to static super-replicating strategies. Journal of Computational and Applied Mathematics, 278, 213-230. https://doi.org/10.1016/j.cam.2014.10.003
- Cheung, K. C., Dhaene, J., Kukush, A., & Linders, D. (2015). Ordered random vectors and equality in distribution. Scandinavian Actuarial Journal, 15(3), 221-244. https://doi.org/10.1080/03461238.2013.807470
- Guillaume, F., & Linders, D. (2015). Stochastic modelling of herd behaviour indices. Quantitative Finance, 15(12), 1963-1977. https://doi.org/10.1080/14697688.2015.1007075
2014
- Dhaene, J., Linders, D., Schoutens, W., & Vyncke, D. (2014). A multivariate dependence measure for aggregating risks. Journal of Computational and Applied Mathematics, 263, 78-87. https://doi.org/10.1016/j.cam.2013.12.010
- Linders, D., & Schoutens, W. (2014). A framework for robust measurement of implied correlation. Journal of Computational and Applied Mathematics, 271, 39-52. https://doi.org/10.1016/j.cam.2014.03.026
2012
- Dhaene, J., Dony, J., Forys, M., Linders, D., & Schoutens, W. (2012). FIX: The Fear Index—Measuring Market Fear. In M. Cummins, F. Murphy, & J. J. H. Miller (Eds.), Topics in Numerical Methods for Finance (pp. 37-55). (Springer Proceedings in Mathematics & Statistics; Vol. 19). Springer. https://doi.org/10.1007/978-1-4614-3433-7_4
- Dhaene, J., Kukush, A., Linders, D., & Tang, Q. (2012). Remarks on quantiles and distortion risk measures. European Actuarial Journal, 2(2), 319-328. https://doi.org/10.1007/s13385-012-0058-0
- Dhaene, J., Linders, D., Schoutens, W., & Vyncke, D. (2012). The Herd Behavior Index: A new measure for the implied degree of co-movement in stock markets. Insurance: Mathematics & Economics, 50(3), 357-370. https://doi.org/10.1016/j.insmatheco.2012.01.005
- Goovaerts, M., Linders, D., Van Weert, K., & Tank, F. (2012). On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures. Insurance: Mathematics & Economics, 51(1), 10-18. https://doi.org/10.1016/j.insmatheco.2012.02.012, https://doi.org/10.1016/j.insmatheco.2012.02.012 [details]
Prize / grant
- Linders, D. (2021). KU Leuven Internal Funds.
Talk / presentation
- Linders, D. (speaker) (2022). The 3 step hedge-based valuation, Recent developments in dependence modelling with applications in finance and insurance, Agistri.
- Linders, D. (speaker) (2021). Model-free implied dependence and the cross section of Returns, Quantminds in Focus, Barcelona.
Others
- Linders, D. (participant) (2022). Actuarial Research Conference, Champaign (organising a conference, workshop, ...).
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Ancillary activities
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KU Leuven
Ik doceer de cursus Foundations of Quantitative Risk Measurement.
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KU Leuven
Linders, D. H. (Accepted/In press). The 3-step hedge-based valuation: fair valuation in the presence of systematic risks. ASTIN Bulletin.