Publications

A1

2020

BEIRLANT (KU Leuven) / SPREIJ(UvA)

van Berkum, F., Antonio, K., Vellekoop, M. (2020). Quantifying longevity gaps using micro-level lifetime data. Journal of the Royal Statistical Society Series A-Statistics in Society. (accepted) [Impact Factor 2019: 2.21. Citations: 0]

BEIRLANT (KU Leuven) / IN 'T HOUT (UAntwerp) /VANDUFFEL (VUB)

Boudt, K., Cornilly, D., Verdonck, T. (2020) Nearest comoment estimation with unobserved factors. Journal of Econometrics, 217(2): 381-397 [Impact Factor 2019: 1.949. Citations: 2]

Boudt, K., Cornilly, D., Verdonck, T. (2020) A Coskewness shrinkage approach for estimating the skewness of linear combinations of random variables. Journal of Financial Econometrics. 18 (1) :1-23 [Impact Factor 2019: 1.595. Citations: 2]

Boudt, K., Rousseeuw, P., Vanduffel, S., Verdonck, T.. (2020). The Minimum Regularized Covariance Determinant estimator. Statistics and Computing, 30(1): 113-128. [Impact Factor 2019: 3.035. Citations: 4]

SCHOORS (UGent) / RYCKEBUSCH (UGent)

Bramson, A., Hoefman, K., Schoors, K., Ryckebusch, J.. Diplomatic Relations in a Virtual World. Accepted for publication in Political Analysis. [Impact Factor 2019: 3.361. Citations: 0]

Belaza, A.M., Ryckebusch, J., Schoor, K., Rocha, L.E.C., Vandermarliere, B.. On the connection between real-world circumstances and online player behaviour: the case of EVE Online. Under review for PLoS ONE. [Impact Factor 2019: 2.870 ]

van den Heuvel, M., Vandermarliere, B., Schoors, K., Ryckebusch, J., Roukny, T.. Wealth and earlycareer income mobility. Submitted for publication.

2019

BEIRLANT (KU Leuven) / VANDUFFEL (VUB)

Cornilly, D., Vanduffel, S. (2019). Equivalent Distortion Risk Measures on Moment Spaces. Statistics and Probability Letters. 146:187-192. [Impact Factor 2019: 0.68. Citations: 0]

IN 'T HOUT (UAntwerp) / OOSTERLEE (TU Delft)

Von Sydow, L., Milovanović, S., Larsson, E., In 't Hout, K., Wiktorsson, M., Oosterlee, C.W., Shcherbakov, V., Wyns, M., Leitao, A., Jain, S., Haentjens, T., Waldén, J. (2019). BENCHOP–SLV: The BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems, International Journal of Computer Mathematics, 96(10): 1910–1923 [Impact Factor 2019: 1.6. Citations: 1]

SCHOORS (UGent) / RYCKEBUSCH (UGent)

Belaza, A.M., Ryckebusch, J., Bramson, A., Casert, C., Hoefman, K., Schoors, K., van den Heuvel, M., Vandermarliere, B. (2019). Social Stability and Extended Social Balance - Quantifying the Role of Inactive Links in Social Networks. Physica A-Statistical mechanics and its applications, 518: 270-284. [Impact Factor 2019: 2.924. Citations: 5]

Van Soom, M., van den Heuvel, M., Ryckebusch, J., Schoors, K. (2019). Loan maturity aggregation in interbank lending networks obscures mesoscale structure and economic functions. Scientific Reports (Nature research) 9:12512. [Impact factor 2019: 3.998. Citations: 0]

SPREIJ (UvA) / VANMAELE (UGent)

Daveloose, C., Khedher, A., Vanmaele, M. (2019). Representations of conditional expectations with application to pricing and hedging of financial products in Lévy and jump-diffusion setting. Stochastic Analysis and Applications, 37(2): 281-319. [Impact factor 2019: 1.035. Citations: 0]

2018

SCHOORS (UGent) / RYCKEBUSCH (UGent)

Hoefman, K., Bramson, A., Schoors, K., Ryckebusch. J. (2018). The impact of functional and social value on the price of goods. Plos One Plos One 13, (e0207075). [Impact Factor 2018: 2.776. Citations: 0]

BEIRLANT (KU Leuven) / VANDUFFEL (VUB)

Cornilly, D., Ruschendorf, L., Vanduffel, S. (2018). Upper Bounds for Strictly Concave Distortion Risk Measures on Moment Spaces. Insurance: Mathematics and Economics. 82:141-151. [Impact Factor 2018: 1.315. Citations: 3]

Bernard, C., Cornilly, D., Vanduffel, S. (2018). Optimal Portfolio Under a Correlation Constraint. Quantitative Finance, 18(3): 333-345. [Impact Factor 2018: 1.357. Citations: 1]

BEIRLANT (KU Leuven) / DEELSTRA (ULB)

Hanbali, H., Claassens, H., Denuit, M., Dhaene, J., Trufin, J. (2019). Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system. Health Policy, 123(10): 970- 975. [Impact Factor 2018: 2.075. Citations: 0]

Hanbali, H., Denuit, M., Dhaene, J., Trufin, J. (2019). A dynamic equivalence principle for systematic longevity risk management. Insurance: Mathematics & Economics, 86: 158-167. [Impact Factor 2018: 1.315. Citations: 0]

2017

SPREIJ (UvA) / VANMAELE (UGent)

Sun, X., Schulz, T., Khedher, A., and Vanmaele, M. (2017). Model risk and discretisation of locally risk-minimising strategies. Journal of Computational and Applied Mathematics, 311: 38-53. [Impact Factor 2017: 1.632. Citations: 0]

SCHOORS (UGent) / RYCKEBUSCH (UGent)

Belaza, A.M., Hoefman, K., Ryckebusch, J., Bramson, A., van den Heuvel, M., Schoors, K. (2017). Statistical physics of balance theory. PLoS ONE 12(8): e0183696. https://doi.org/10.1371/journal.pone.0183696. [Impact Factor 2017: 2.766. Citations: 4]

Vandermarliere, B., Ryckebusch, J., Schoors, K., Cauwels, P. and Sornette, D. (2017). Discrete Hierarchy of Sizes and Performances in the Exchange-traded Fund Universe. Physica A-statistical Mechanics and Its Applications, 469: 111–123. [Impact Factor 2017: 2.132. Citations: 2]

BEIRLANT (KU Leuven) / SPREIJ (UvA)

van Berkum, F., Antonio, K., Vellekoop, M. (2017). A Bayesian joint model for population and portfolio-specific mortality. Astin Bulletin, 47(3): 681-713. [Impact Factor 2017: 0.906. Citations: 1]

2016

BEIRLANT (KU Leuven) / SPREIJ (UvA)

van Berkum, F., Antonio, K., Vellekoop, M. (2016). The impact of multiple structural changes on mortality predictions. Scandinavian Actuarial Journal, 2016(7), 581-603. [Impact Factor 2016: 1.347. Citations: 19]

SPREIJ (UvA) / VANMAELE (UGent)

Khedher, A., Vanmaele, M. (2016). Discretisation of FBSDEs driven by càdlàg martingales. Journal of Mathematical Analysis and Applications, 435(1): 508-531 [Impact Factor 2016: 1.064. Citations: 3]

Daveloose, C., Khedher, A., Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. Journal of Computational and Applied Mathematics, 296: 56-88 [Impact Factor 2016: 1.357. Citations: 1]

A2 (Journals listed in WoS but no impact factor)

2020

VANMAELE (UGent) / BENTH (Oslo)

Benth, F.E., Khedher, A., Vanmaele, M. (2020). Pricing of commodity derivatives on processes with memory. Risks, 8(1), Article 8, 31 pages (published online (open access) 21 January 2020) [Impact Factor 2019: not available yet Citations: 0]

2018

BEIRLANT (KU Leuven) / VANMAELE (UGent)

Sun, X., Dhaene, J., Vanmaele, M. (2018). Efficient computation of the optimal strikes in the comonotonic upper bound for an arithmetic Asian option. International Journal of Applied Mathematics & Statistics, 57(4):95-106. [Impact Factor: not available yet. Citations: 0]

2017

BEIRLANT (KU Leuven) / DEELSTRA (ULB)

Denuit M., Dhaene, J., Hanbali H., Lucas, N., Trufin J. (2017). Updating mechanism for lifelong insurance contracts subject to medical inflation. European Actuarial Journal, 7(1): 133-163. [Impact Factor: not available yet. Citations: 6]

BEIRLANT (KU Leuven) / SPREIJ (UvA)

Antonio, K., Devriendt, S., de Boer, W., de Vries, R., De Waegenaere, A., Kan, H., Kromme, E., Ouburg, W., Schulteis, T., Slagter, E., van der Winden, M., van Iersel, C., Vellekoop, M. (2017). Producing the Dutch and Belgian mortality projections: a stochastic multi-population standard. European Actuarial Journal, 7(2): 297-336. [Impact Factor 2017: not available yet. Citations: 2]

B2

2017

GÜNTHER (Wuppertal) / IN 'T HOUT (UAntwerp)

In 't Hout, K., Valkov, R.L. (2017). Numerical study of splitting methods for American option valuation. In: Novel Methods in Computational Finance, Eds. Ehrhardt, M., Günther, M., Ter Maten, E.J.W., Springer Series Mathematics in Industry, 373–398.

C1

2016

SPREIJ (UvA) / VANMAELE (UGent) / BENTH (Oslo)

Daveloose, C., Khedher, A., Vanmaele, M. (2016). Quantification of model risk in quadratic hedging strategies in finance. In: Stochastics of Environmental and Financial Economics, Eds. Benth, F.E. and Di Nunno, G., Springer Proceedings in Mathematics and Statistics, 138: 211-241.