CentER

CentER is a world-class research institute that draws on the academic expertise of some of the most outstanding minds in the field of economics and business.

Center

Anja De Waegenaere: Research

Publications

37) De Waegenaere, A. and J.L. Wielhouwer (2011), Pegging approach to Solving Resource Allocation Problems with Bounded variables. Optimization Letters, DOI 10.1007/s11590-011-0288-0.

36) De Waegenaere, A. and J.L. Wielhouwer (2011), On the Effects of the Degree of Discretion in Reporting Managerial Performance. ORSpectrum, 33, 359-392.

35) De Waegenaere, A. and J.L. Wielhouwer (2011), Dynamic tax depreciation strategies, ORSpectrum, 33, 419-444.

34) De Waegenaere, A., B. Melenberg, and R. Stevens (2010), Longevity risk, De Economist 158, 151-192, forthcoming.

33) De Waegenaere, A., and R.C. Sansing (2010), Inconsistent Transfer Prices and the Location of Mobile Capital, National Tax Journal, 63, 1085-1110.

32) Stevens, R., A. De Waegenaere, and B. Melenberg (2010), Longevity risk in pension annuities: the effect of product design, Insurance: Mathematics and Economics 46 (1), 222-234.

31) Blake, David, Anja De Waegenaere, and Theo Nijman (2010), Longevity risk and capital markets: The 2008-2009 update,  Insurance: Mathematics and Economics: editorial. 46 (1), 135-138.
 
30) Gulick, G. van, P.E.M. Borm, A. De Waegenaere and R. Hendrickx (2010), Deposit games with reinvestment, European Journal of Operational Research 200 (3), 788-799.

29) De Waegenaere A. and R.C. Sansing (2008), Taxation of International Investment and Accounting Valuation, Contemporary Accounting Research 25 (Winter), 1045-1066. 

28) Hari, N., A. De Waegenaere, B. Melenberg and T.E. Nijman (2008), Longevity Risk in Portfolios of Pension Annuities, Insurance: Mathematics and Economics 42, 505-519.

27) Hari, N., A. De Waegenaere, B. Melenberg and T.E. Nijman (2008), Estimating the Term Structure of Mortality, Insurance: Mathematics and Economics 42, 492-504 .

26) De Waegenaere, A., R.C. Sansing and J.L. Wielhouwer (2007), Using Bilateral Advance Pricing Agreements to Resolve Tax Transfer Pricing Disputes, National Tax Journal 60, 171-193.

25) Hest, T. van, and A. De Waegenaere (2007), Optimal robust and consistent active implementation of a pension fund's benchmark investment strategy, Journal of Asset Management 8(3), 176-187. 

24) De Waegenaere, A., R.C. Sansing and J.L. Wielhouwer (2006), Who benefits from inconsistent multinational tax transfer pricing rules?, Contemporary Accounting Research  23 (1), Spring, 103-139.

23) Matejka, M. and A. De Waegenaere (2005), Influence costs and implementation of organizational changes, Journal of Management Accounting Research 17, 43-52 .

22) De Waegenaere A., J. Suijs and S.H. Tijs (2005), Stable profit sharing in cooperative investments, OR Spectrum 27, 85-93.

21) De Waegenaere A., R.C. Sansing and J.L. Wielhouwer (2003), Valuation of a firm with a tax loss carryover, Journal of the American Taxation Association 25, supplement, 65-82.

20) De Waegenaere, A., R. Kast, and A. Lapied  (2003), Choquet pricing and equilibrium, Insurance: Mathematics and Economics 32 (3), 359-370.

19) Kort, P.M, P. Verheyen, and A. De Waegenaere (2003), The theory of the new economy firm: A dynamic analysis of human capital investment, Central European Journal of Operations Research 11 (2), 103-114.

18) De Waegenaere A., J. Suijs and P. Borm (2003), Optimal design of pension funds: A mission impossible?, Economic Theory 22 (1), 89-110.

17) De Waegenaere A., H. Polemarchakis and L. Ventura (2002), Asset markets and investment decisions, International Economic Review 43 (3), 857-873.

16) Wielhouwer J.L., A. De Waegenaere and P.M. Kort (2002), Optimal tax depreciation under a progressive tax system, Journal of Economic Dynamics and Control 27, 243-269.

15) De Waegenaere A., and J.L. Wielhouwer (2002), Optimal tax depreciation lives and charges under regulatory constraints, OR Spectrum 24, 151-177.

14) Brekelmans R. and A. De Waegenaere (2001), Approximating the finite-time ruin probability under interest force, Insurance: Mathematics and Economics 29, 217-229.

13) De Waegenaere A. and P.P. Wakker (2001), Nonmonotonic Choquet Integrals, Journal of Mathematical Economics 36, 45-60.

12) Borm P., A. De Waegenaere, Ch. Rafels, J. Suijs, S. Tijs, and J. Timmer (2001), Cooperation in Capital Deposits, OR Spektrum 23, 265-281.

11) Berg M., A. De Waegenaere, and J.L. Wielhouwer (2001), Optimal Tax Depreciation with Uncertain Future Cash-Flows, European Journal of Operational Research 132 (1), 185-197.

10) Matejka M. and A. De Waegenaere (2000), Centralization of the Controlling Department. Effects on Management Accounting Change, Maandblad voor Accountancy en Bedrijfseconomie 74, 55-61.

9) De Waegenaere A. (2000), Arbitrage and Viability in Insurance Markets, Geneva Papers on Risk and Insurance Theory 25 (1), 81-99.

8) Wielhouwer J.L., A. De Waegenaere, and P.M. Kort (2000), Optimal Dynamic Investment Policy for Different Tax Depreciation Rates and Economic Depreciation Rates, Journal of Optimization Theory and Applications 106 (1), 23-48.

7) Suijs J., P. Borm, A. De Waegenaere, and S. Tijs (1999), Cooperative Games with Stochastic Payoffs, European Journal of Operational Research 113, 193-205.

6) Suijs J., A. De Waegenaere, and P. Borm (1998), Stochastic Cooperative Games in Insurance, Insurance: Mathematics and Economics 22 (3), 209-228.

5) De Waegenaere A. (1994), Equilibria in a mixed financial-reinsurance market with constrained trading possibilities, Insurance: Mathematics and Economics 14,  205-218.

4) De Waegenaere A. and F. Delbaen (1992), A dynamic reinsurance theory, Insurance: Mathematics and Economics 11, 31-48.

3) Boogaert P. and A. De Waegenaere (1990), Simulation of ruin probabilities, Insurance: Mathematics and Economics 9, 95-99.

2) Boogaert P. and A. De Waegenaere (1990), Macro-economic version of a classical formula in risk theory, Insurance: Mathematics and Economics 9 155-162.

1) Cuyt A. and A. De Waegenaere (1989), Multivariate Newton-Padé-Hermite approximation, Proceedings of the Romberg Seminar on Quadrature/Interpolation/ Extrapolation, 41-59.

Working papers

1) De Waegenaere A. and R.C. Sansing, Taxing multinational firms: transfer pricing or formulary apportionment. 

2) Stevens, R., A. De Waegenaere, and B. Melenberg, Longevity risk and hedge effects in portfolios of life insurance products: the effect of investment risk.

3) De Waegenaere A., R.C. Sansing, and J.L. Wielhouwer, Multinational taxation and R&D investments.

4) Sanders, L., A. De Waegenaerem and T. Nijman, On the suboptimality of delayed old-age benefit pension claiming.

5) Gulick, van G., A. De Waegenaere, H. Norde, Excess based allocation of risk capital.

6) Gulick, van G., A. De Waegenaere, H. Norde, On handling ruin as a business sector.

7) De Waegenaere A., R.C. Sansing, and J.L. Wielhouwer, Financial accounting measures of tax reporting aggressiveness.

8) De Waegenaere A., R.C. Sansing, and J.L. Wielhouwer, Patent Races and R&D Disclosures under U.S. GAAP and International Accounting Standards.

9) Ben-Tal, A., D. den Hertog, A. De Waegenaere, and B. Melenberg, G.Rennen, Robust solutions of optimization problems affected by uncertain probabilities.

Work in progress

1) De Waegenaere, A., Efficient Determination of Efficient Frontiers.

2) Stevens, R., A. De Waegenaere, and B. Melenberg, Solvency requirements for longevity risk.

3) Wielhouwer, J.L., A. De Waegenaere A., and P. Kort, Goal congruence of investments under residual income performance evaluation: the role of debt.

4) Sanders, L., A. De Waegenaerem and T. Nijman, Welfare implications for couples of annuity markets incompleteness.