Research Domain

In addtion to the randomness of the events in the actuarial context, we try to integrate fluctuating interest in our new actuarial models. It concerns models that are applicable in life insurance, pension insurance, sickness insurance, IBNR, ... . In general, the new methodology based on comonotone risks is applicable to long term insurance contracts, where future random streams of payments are involved.

The stochastic nature of actuarial processes is not only a consequence of the randomness of interest rates and remaining life times (in a general context) involved. Also other effects, such as the evolution of future premium income, the number of insureds and the evolution of mortality rates causes uncertainty which should be taken care of in the actuarial models in practice.

In almost all of the existing actuarial models it is assumed that the different risks involved are mutually independant. We have derived results in terms of extremal distributions when the marginal distributions of the risks are given but when no or only limited assumptions are made concerning the dependency relations between risks insured. The results can be stated in terms of the stop-loss ordering between risks. They can be used to derive 'safe' premiums in the case when only partial or even no information is available concerning the dependency structure.

Also the  solvability of the insurance company is treated from a theretical viewpoint. The existing classical models have been generalized by introducing stochastic models that describe the cyclic character of reserves. Information concerning the fair value and the supervisory value is obtained.

Research Team

Jan Dhaene & Marc Goovaerts

Marc Goovaerts has a Ph D in Mathematical Physics (1971) and a Dr. in Sciences (1975). In 1972 he abtained an actuarial master degree at the University of Leuven. He has been the scientific chairman of the Brussels ICA 1995. He is the author of some 250 papers on mathematical physics and actuarial sciences. He is coauthor of several books in the actuarial field. He is founding-editor of Journal of Computational and Applied Mathematics and of Insurance Mathematics and Economics. He is associate editor of the Astin Bulletin and organiser of several international congresses. He is corresponding member of several National Actuarial Associations. He is a member of the Dutch Tinbergen Institute. He has been the promotor of about 20 Ph D thesisses.

Jan Dhaene has a master degree in mathematics (1985), a master degree in actuarial sciences (1987) and a Ph. D. in Actuarial Sciences (1991). Currently, he is professor of Actuarial Sciences at the Catholic University of Leuven (Belgium). He has been lecturer at the University of Warsaw (Poland), visiting professor at the University of Antwerp (Belgium) and the University of Ghent (Belgium).  Currently, he is Associate Editor of "Insurance: Mathematics & Economics", Editor of the Belgian Actuarial Bulletin and Editor of the "Brussels University Press" / Editions de l’université de Bruxelles, collection actuariat". He is the (co-)author of some 60 scientific publications in the field of actuarial sciences.  He is Fellow of the Belgian Society of Actuaries (ARAB-KVBA) and member of the International Actuarial Association (IAA).

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