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

Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Fotograaf: Ineke Oostveen

Bezoekadres
  • Roetersstraat 11
  • Kamernummer: E4.25
Postadres
  • Postbus 15867
    1001 NJ Amsterdam
Contactgegevens
  • Profile

    Present Position

    Professor of Actuarial Science (Actuarial Statistics) 

    Current Research Topics

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

     

  • Teaching

    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.)
  • Other activities

    Various activities

    Managing Editor of Insurance: Mathematics & Economics.

    Member of ASTIN 

  • Publicaties

    2018

    2015

    • 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]
    • Kaas, R., Gerber, H., Goovaerts, M., Shiu, E., & Albrecher, H. (2015). The impact factor of IME. Insurance: Mathematics & Economics, 62, 1-4. https://doi.org/10.1016/j.insmatheco.2015.01.002 [details]

    2011

    2010

    2009

    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. https://doi.org/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. https://doi.org/10.1016/j.insmatheco.2006.07.003 [details]

    2006

    2005

    • 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.
    • 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. https://doi.org/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. https://doi.org/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. https://doi.org/10.1016/j.insmatheco.2005.01.004

    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. https://doi.org/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. https://doi.org/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., Kaas, R., Dhaene, J. L. M., & Tang, Q. (2003). A unified approach to generate risk measures. ASTIN Bulletin, 33(2), 173-191. [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]
    • 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. https://doi.org/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. https://doi.org/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. https://doi.org/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. https://doi.org/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. https://doi.org/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. https://doi.org/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. https://doi.org/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., 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]
    • 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]

    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

    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

    2011

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

    2008

    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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