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Actuarial Science & Mathematical Finance


Actuarial Science & Mathematical Finance

Key publications

  • Boonen, T. J., Tsanakas, A., & W├╝thrich, M. V. (2017). Capital allocation for portfolios with non-linear risk aggregation. Insurance: Mathematics & Economics, 72, 95-106.

  • Chen, A., Pelsser, A. and Vellekoop, M.H. (2011). Modeling Non-Monotone Risk Aversion Using SAHARA Utility Functions, Journal of Economic Theory 146(5), pp. 2075-2092.

  • Can, S. U., Einmahl, J. H. J., Khmaladze, E. V., & Laeven, R. J. A. (2015). Asymptotically distribution-free goodness-of-fit testing for tail copulas. The Annals of Statistics, 43(2), 878-902.

  • Laeven, R.J. A. & Mitja A. Stadje (2014). Robust portfolio choice and indifference valuation, Mathematics of Operations Research 39, 1109-1141.

  • Shi, P., & Yang, L. (2018). Pair Copula Constructions for Insurance Experience Rating. Journal of the American Statistical Association, 113(521), 122-133.

  • Van Berkum, F., Antonio, K., & Vellekoop, M.H. (2017). A Bayesian joint model for population and portfolio-specific mortality. ASTIN Bulletin, 47(3), 681-713.