Marc J. Goovaerts

Finance · 2000–2010

A researcher in the Science corpus: 22 papers; trusts 19 researchers and is trusted by 33 researchers here, as inferred from the citation graph.

Subfields

• Finance — 64 citations into it; #1,463 of 10,518 by trust here, #539 by citations
• Economics and Econometrics — 55 citations into it; #10,671 of 23,481 by trust here, #3,311 by citations
• Management Science and Operations Research — 47 citations into it; #1,009 of 11,946 by trust here, #239 by citations
• Demography — 35 citations into it; #411 of 4,236 by trust here, #98 by citations
• Statistics and Probability — 10 citations into it
• General Decision Sciences — 8 citations into it; #1,811 of 1,995 by trust here, #1,374 by citations

Whom Marc J. Goovaerts trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Shaun S. Wang
2. Jan Dhaene
3. Michel Denuit
4. Rob Kaas
5. Paul Embrechts
6. Qihe Tang
7. Vadim Linetsky
8. Alexander Lipton
9. Wim Schoutens
10. Peter P. Carr

Who trusts Marc J. Goovaerts overall

1. Jan Dhaene
2. Michel Denuit
3. Rob Kaas
4. Roger J. A. Laeven
5. Hansjörg Albrecher *
6. Edward Furman
7. Qihe Tang
8. Paul Embrechts
9. Alejandro Balbás
10. Steven Vanduffel

Papers from Marc J. Goovaerts's perspective

Ordered by how strongly the researchers Marc J. Goovaerts trusts endorse each paper. Same corpus, a different order for every researcher.

1. The Pricing of Options and Corporate Liabilities
2. Risk Measures and Comonotonicity: A Review
3. Coherent Risk Measures on General Probability Spaces
4. The Dual Theory of Choice under Risk
5. Convex measures of risk and trading constraints (Finance and Stochastics)
6. On law invariant coherent risk measures
7. Stochastic Orders and Risk Measures: Consistency and Bounds
8. Actuarial Theory for Dependent Risks: Measures, Orders and Models
9. On the significance of expected shortfall as a coherent risk measure
10. Distortion Risk Measures and Economic Capital

Their papers

• The concept of comonotonicity in actuarial science and finance: theory (2002) — 683 citations
• Risk Measures and Comonotonicity: A Review (2006) — 337 citations
• The Tail Probability of Discounted Sums of Pareto-like Losses in Insurance (2005) — 110 citations
• The Concept of Comonotonicity in Actuarial Science and Finance: Applications (2002) — 418 citations
• Upper and lower bounds for sums of random variables (2000) — 237 citations
• An easy computable upper bound for the price of an arithmetic Asian option (2000) — 94 citations
• Comonotonic Approximations for Optimal Portfolio Selection Problems (2005) — 92 citations
• Some New Classes of Consistent Risk Measures (2004) — 106 citations
• A comonotonic image of independence for additive risk measures (2004) — 70 citations
• Stochastic Upper Bounds for Present Value Functions (2000) — 74 citations
• Economic Capital Allocation Derived from Risk Measures (2002) — 204 citations
• Modern Actuarial Risk Theory (2001) — 523 citations
• A Unified Approach to Generate Risk Measures (2003) — 51 citations
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations (2008) — 59 citations
• Comonotonicity and Maximal Stop-Loss Premiums (2010) — 83 citations
• Decision principles derived from risk measures (2010) — 52 citations
• Actuarial Risk Measures for Financial Derivative Pricing (2008) — 91 citations
• Bounds for the price of discrete arithmetic Asian options (2006) — 62 citations
• Risk measurement with equivalent utility principles (2006) — 77 citations
• Self Exciting Threshold Interest Rates Models (2006) — 55 citations