Research

Journal articles

Tontine meets Tobin: a portfolio-theoretic view of retirement income design
Joint work with An Chen and Peter Hieber · Scandinavian Actuarial Journal.
- Tontines
- Annuities
- Portfolio choice
Liquidity shocks, homeownership, and income inequality: impact of early pension withdrawals and reduced deposit
Joint work with Gaurav Khemka and Himasha Warnakulasooriya · The Journal of Real Estate Finance and Economics.
- Homeownership
- Pension withdrawals
- Deposit requirements

Time-varying Pareto optimal risk sharing for annuities
Joint work with Himasha Warnakulasooriya and Jessica Wai Yin Leung · ASTIN Bulletin, 55, 695-720.
- Annuities
- Pareto optimality
- Risk sharing
Insurance cycles detection using neural networks
Annals of Actuarial Science, 19, 350-371.
- Underwriting cycles
- Neural networks
- Motor insurance
Mean-variance longevity risk-sharing for annuity contracts
Insurance: Mathematics and Economics, 120, 207-235.
- Longevity risk
- Annuity design
- Mean-variance preferences
- Risk sharing

COAALA: A novel approach to understanding extreme stock-bond comovement
Joint work with Anne-Florence Allard and Kristien Smedts · Journal of Financial Econometrics, 22, 1532-1557.
- Copulas
- Tail dependence
- Stock and bond returns

Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
Joint work with Daniël Linders and Jan Dhaene · Scandinavian Actuarial Journal, 2023, 219-243.
- Value-at-Risk
- Countermonotonicity
- Risk aggregation

Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
Joint work with Jan Dhaene and Daniël Linders · Insurance: Mathematics and Economics, 107, 22-37.
- Dependence bounds
- Stop-loss payoffs
Monotone tail functions: definitions, properties, and application to risk-reducing strategies
Joint work with Daniël Linders · Journal of Computational and Applied Mathematics, 416, 114484.
- Monotone tail functions
- Upper comonotonicity
- Value-at-Risk
Pricing insurance policies with offsetting relationship
Annals of Actuarial Science, 16, 261-287.
- Joint pricing
- Diversification
- Price sensitivity
- Competition
- Natural hedging

Once covered, forever covered: the actuarial challenges of the Belgian private health insurance system
Joint work with Hubert Claassens, Michel Denuit, Jan Dhaene and Julien Trufin · Health Policy, 123, 970-975.
- Private health insurance
- Lifetime cover
- Belgian health policy
American-type basket option pricing: a simple two-dimensional partial differential equation
Joint work with Daniël Linders · Quantitative Finance, 19, 1689-1704.
- Basket options
- Early exercise
- Partial differential equations
- Comonotonicity
A dynamic equivalence principle for systematic longevity risk management
Joint work with Michel Denuit, Jan Dhaene and Julien Trufin · Insurance: Mathematics and Economics, 86, 158-167.
- Longevity risk
- Dynamic equivalence principle
- Risk sharing
Measuring medical inflation for health insurance portfolios in Belgium
Joint work with Jan Dhaene · European Actuarial Journal, 9, 139-153.
- Medical inflation
- Health insurance

Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation
Joint work with Jan Dhaene, Els Godecharle, Katrien Antonio and Michel Denuit · ASTIN Bulletin, 47, 803-836.
- Lifetime health insurance
- Surrender values
- Medical inflation
Updating mechanism for lifelong insurance contracts subject to medical inflation
Joint work with Michel Denuit, Jan Dhaene, Nathalie Lucas and Julien Trufin · European Actuarial Journal, 7, 133-163.
- Medical inflation
- Premium adjustments
- Lifetime cover