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Jaap Spreeuw

Personal Details

First Name:Jaap
Middle Name:
Last Name:Spreeuw
Suffix:
RePEc Short-ID:psp59
[This author has chosen not to make the email address public]
https://www.cass.city.ac.uk/faculties-and-research/experts/jaap-spreeuw
Terminal Degree:1999 Faculteit Economie en Bedrijfskunde; Universiteit van Amsterdam (from RePEc Genealogy)

Affiliation

Bayes Business School
City University

London, United Kingdom
http://www.bayes.city.ac.uk/
RePEc:edi:bscituk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  2. Spreeuw, Jaap & Karlsson, Martin, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34403, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  3. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto.
  4. Jaap Spreeuw & Henk Wolthuis, 1997. "Unobserved Heterogeneity; Process and Parameter Effects in Life Insurance," Tinbergen Institute Discussion Papers 97-131/4, Tinbergen Institute.

Articles

  1. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
  2. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.
  3. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.
  4. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
  5. Spreeuw, Jaap & Owadally, Iqbal, 2013. "Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives," Annals of Actuarial Science, Cambridge University Press, vol. 7(2), pages 236-257, September.
  6. Jaap Spreeuw & Martin Karlsson, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 261-278, June.
  7. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
  8. Jaap Spreeuw, 2006. "Types of dependence and time-dependent association between two lifetimes in single parameter copula models," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2006(5), pages 286-309.
  9. Jaap Spreeuw, 2005. "The Probationary Period as a Screening Device: The Monopolistic Insurer," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(1), pages 5-14, June.
  10. J. Spreeuw, 2005. "Upper and Lower Bounds of Present Value Distributions of Life Insurance Contracts with Disability Related Benefi ts," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(1), pages 115-160.
  11. Spreeuw, Jaap & Wolthuis, Henk, 2000. "Actuarial Models for Disability Insurance: S. Haberman, E. Pitacco; Chapman & Hall, London, UK, 1999, xviii+280 pp., ISBN 0-8493-0389-3," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 397-398, December.
  12. Spreeuw, Jaap & Goovaerts, Marc, 1998. "Prediction of claim numbers based on hazard rates," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 59-69, October.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.

    Cited by:

    1. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.

  2. Spreeuw, Jaap & Karlsson, Martin, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34403, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).

    Cited by:

    1. Ben‐jiang Ma & Jing‐yu Ye & Yuan‐ji Huang & Muhammad Farhan Bashir, 2020. "Research of two‐period insurance contract model with a low compensation period under adverse selection," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(3), pages 293-307, April.
    2. Ma, Ben-jiang & Qiu, Chun-guang & Bi, Wen-jie, 2015. "An insurance contract with a low compensation period under adverse selection," Information Economics and Policy, Elsevier, vol. 31(C), pages 67-74.
    3. Ben‐jiang Ma & Jing‐yu Ye & Geng Liu & Yuan‐ji Huang, 2020. "Adverse selection, limited compensation, and the design of environmental liability insurance contract in the case of enterprise bankruptcy," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(7), pages 1327-1337, October.

  3. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto.

    Cited by:

    1. Karim Barigou & Lukasz Delong, 2021. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Post-Print hal-02896141, HAL.
    2. Triossi, Matteo, 2011. "Games with capacity manipulation : incentives and Nash equilibria," UC3M Working papers. Economics we1125, Universidad Carlos III de Madrid. Departamento de Economía.
    3. Sangita Kulathinal & Isha Dewan, 2023. "Weighted U-statistics for likelihood-ratio ordering of bivariate data," Statistical Papers, Springer, vol. 64(2), pages 705-735, April.
    4. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    5. Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou, 2016. "On bivariate lifetime modelling in life insurance applications," Papers 1601.04351, arXiv.org.
    6. Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.
    7. Elisa Luciano & Luca Regis & Elena Vigna, 2011. "Delta and Gamma hedging of mortality and interest rate risk," ICER Working Papers - Applied Mathematics Series 01-2011, ICER - International Centre for Economic Research.
    8. Grégory Ponthière, 2015. "The contribution of improved joint survival conditions to living standards: An equivalent consumption approach," Working Papers halshs-01194427, HAL.
    9. Chen, Li & Lin, Luyao & Lu, Yi & Parker, Gary, 2017. "Analysis of survivorship life insurance portfolios with stochastic rates of return," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 16-31.
    10. Souto Arias, Luis A. & Cirillo, Pasquale, 2021. "Joint and survivor annuity valuation with a bivariate reinforced urn process," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 174-189.
    11. Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A., 2023. "Joint lifetime modeling with matrix distributions," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-22, January.
    12. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.
    13. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
    14. Svetlana Gribkova & Olivier Lopez, 2015. "Non-parametric Copula Estimation Under Bivariate Censoring," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 925-946, December.
    15. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
    16. Wei, Jiaqin & Cheng, Xiang & Jin, Zhuo & Wang, Hao, 2020. "Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 244-256.
    17. Carsten Schröder, 2010. "Profitability of Pension Contributions: Evidence from Real-Life Employment Biographies," Discussion Papers of DIW Berlin 1057, DIW Berlin, German Institute for Economic Research.
    18. Lopez, Olivier, 2012. "A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 505-516.
    19. Karim Barigou & Lukasz Delong, 2020. "Pricing equity-linked life insurance contracts with multiple risk factors by neural networks," Papers 2007.08804, arXiv.org, revised Nov 2021.
    20. Gribkova, Svetlana & Lopez, Olivier & Saint-Pierre, Philippe, 2013. "A simplified model for studying bivariate mortality under right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 181-192.
    21. Philippe Artzner & Karl-Theodor Eisele & Thorsten Schmidt, 2020. "Insurance-Finance Arbitrage," Papers 2005.11022, arXiv.org, revised Nov 2022.
    22. Khouzeima Moutanabbir & Hassan Abdelrahman, 2022. "Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1093-1118, June.
    23. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
    24. Wang, Chou-Wen & Huang, Hong-Chih & Hong, De-Chuan, 2013. "A feasible natural hedging strategy for insurance companies," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 532-541.
    25. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
    26. LUCIANO, Elisa & VIGNA, Elena, 2008. "Mortality risk via affine stochastic intensities: calibration and empirical relevance," MPRA Paper 59627, University Library of Munich, Germany.
    27. Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.
    28. Sanders, Lisanne & Melenberg, Bertrand, 2016. "Estimating the joint survival probabilities of married individuals," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 88-106.
    29. Joanna Dębicka & Stanisław Heilpern & Agnieszka Marciniuk, 2023. "Pricing Marriage Insurance with Mortality Dependence," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 15(1), pages 31-64, March.
    30. Luciano, Elisa & Regis, Luca & Vigna, Elena, 2012. "Delta–Gamma hedging of mortality and interest rate risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 402-412.
    31. Zhang, Yuxin & Brockett, Patrick, 2020. "Modeling stochastic mortality for joint lives through subordinators," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 166-172.
    32. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
    33. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.
    34. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
    35. Delong, Łukasz & Chen, An, 2016. "Asset allocation, sustainable withdrawal, longevity risk and non-exponential discounting," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 342-352.

Articles

  1. Jaap Spreeuw & Iqbal Owadally & Muhammad Kashif, 2022. "Projecting Mortality Rates Using a Markov Chain," Mathematics, MDPI, vol. 10(7), pages 1-18, April.

    Cited by:

    1. Zhenmin Cheng & Wanwan Si & Zhiwei Xu & Kaibiao Xiang, 2022. "Prediction of China’s Population Mortality under Limited Data," IJERPH, MDPI, vol. 19(19), pages 1-13, September.

  2. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2016. "Spouses’ Dependence across Generations and Pricing Impact on Reversionary Annuities," Risks, MDPI, vol. 4(2), pages 1-18, May.

    Cited by:

    1. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    2. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
    3. Agnieszka Marciniuk & Emília Zimková & Vlastimil Farkašovský & Colin W. Lawson, 2020. "Valuation of Equity Release Contracts in Czech Republic, Republic of Poland and Slovak Republic," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(5), pages 505-521.
    4. Manuel Ventura-Marco & Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González, 2022. "Life care annuities to help couples cope with the cost of long-term care," Documentos de Trabajo del ICAE 2022-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Joanna Dębicka & Stanisław Heilpern & Agnieszka Marciniuk, 2023. "Pricing Marriage Insurance with Mortality Dependence," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 15(1), pages 31-64, March.

  3. Spreeuw, Jaap, 2014. "Archimedean copulas derived from utility functions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 235-242.

    Cited by:

    1. Nappo Giovanna & Spizzichino Fabio, 2020. "Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property," Dependence Modeling, De Gruyter, vol. 8(1), pages 1-33, January.
    2. Liu, Ruixuan & Yu, Zhengfei, 2022. "Sample selection models with monotone control functions," Journal of Econometrics, Elsevier, vol. 226(2), pages 321-342.
    3. Nappo Giovanna & Spizzichino Fabio, 2020. "Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property," Dependence Modeling, De Gruyter, vol. 8(1), pages 1-33, January.
    4. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.

  4. Spreeuw, Jaap & Owadally, Iqbal, 2013. "Investigating the Broken-Heart Effect: a Model for Short-Term Dependence between the Remaining Lifetimes of Joint Lives," Annals of Actuarial Science, Cambridge University Press, vol. 7(2), pages 236-257, September.

    Cited by:

    1. Jevtić, P. & Hurd, T.R., 2017. "The joint mortality of couples in continuous time," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 90-97.
    2. Safari-Katesari Hadi & Zaroudi Samira, 2021. "Analysing the impact of dependency on conditional survival functions using copulas," Statistics in Transition New Series, Statistics Poland, vol. 22(1), pages 217-226, March.
    3. Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.
    4. Grégory Ponthière, 2015. "The contribution of improved joint survival conditions to living standards: An equivalent consumption approach," Working Papers halshs-01194427, HAL.
    5. Albrecher Hansjörg & Bladt Martin & Müller Alaric J. A., 2023. "Joint lifetime modeling with matrix distributions," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-22, January.
    6. Manuel Ventura-Marco & Carlos Vidal-Meliá & Juan Manuel Pérez-Salamero González, 2022. "Life care annuities to help couples cope with the cost of long-term care," Documentos de Trabajo del ICAE 2022-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    7. Kira Henshaw & Waleed Hana & Corina Constantinescu & Dalia Khalil, 2023. "Dependence Modelling of Lifetimes in Egyptian Families," Risks, MDPI, vol. 11(1), pages 1-25, January.
    8. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
    9. Ventura-Marco, Manuel & Vidal-Meliá, Carlos & Pérez-Salamero González, Juan Manuel, 2023. "Joint life care annuities to help retired couples to finance the cost of long-term care," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 122-139.

  5. Jaap Spreeuw & Martin Karlsson, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 261-278, June.
    See citations under working paper version above.
  6. Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October.
    See citations under working paper version above.
  7. Jaap Spreeuw, 2006. "Types of dependence and time-dependent association between two lifetimes in single parameter copula models," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2006(5), pages 286-309.

    Cited by:

    1. Sabrina Mulinacci, 2022. "A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2455-2484, December.

  8. Jaap Spreeuw, 2005. "The Probationary Period as a Screening Device: The Monopolistic Insurer," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 30(1), pages 5-14, June.

    Cited by:

    1. Spreeuw, Jaap & Karlsson, Martin, 2009. "Time Deductibles as Screening Devices: Competitive Markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 34403, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    2. Ben‐jiang Ma & Jing‐yu Ye & Yuan‐ji Huang & Muhammad Farhan Bashir, 2020. "Research of two‐period insurance contract model with a low compensation period under adverse selection," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(3), pages 293-307, April.
    3. Ma, Ben-jiang & Qiu, Chun-guang & Bi, Wen-jie, 2015. "An insurance contract with a low compensation period under adverse selection," Information Economics and Policy, Elsevier, vol. 31(C), pages 67-74.
    4. Ben‐jiang Ma & Jing‐yu Ye & Geng Liu & Yuan‐ji Huang, 2020. "Adverse selection, limited compensation, and the design of environmental liability insurance contract in the case of enterprise bankruptcy," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(7), pages 1327-1337, October.

  9. Spreeuw, Jaap & Goovaerts, Marc, 1998. "Prediction of claim numbers based on hazard rates," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 59-69, October.

    Cited by:

    1. Zhao, Xiao Bing & Zhou, Xian & Wang, Jing Long, 2009. "Semiparametric model for prediction of individual claim loss reserving," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 1-8, August.
    2. Zhao, XiaoBing & Zhou, Xian, 2010. "Applying copula models to individual claim loss reserving methods," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 290-299, April.
    3. Herbst, Tomas, 1999. "An application of randomly truncated data models in reserving IBNR claims," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 123-131, November.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-HEA: Health Economics (2) 2007-09-24 2007-11-24
  2. NEP-ECM: Econometrics (1) 2007-11-24
  3. NEP-RMG: Risk Management (1) 2007-11-24

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