ISBA
Voie du Roman Pays 20/L1.04.01
1348 Louvain-la-Neuve
Michel Denuit
Professeur ordinaire
SSH/ESPO -- Faculty of Economic, Social and Political Sciences and Communication
SSH/ESPO/ECON -- Ecole des Sciences économiques/Economics School of Louvain
SSH/IDAM -- Louvain Institute of Data Analysis and Modeling in economics and statistics (IDAM)
SSH/IDAM/ISBA -- Institut de Statistique, Biostatistique et Sciences Actuarielles
-
"Assurances soins de santé et longévité" Chair, UCL-DKV partnership directed by Prof. Pierre Devolder (2009-12, 2014-18)
- KULeuven "AG Insurance Chair in Health Insurance" directed by Prof. Jan Dhaene (2010-14, 2016-20)
- UNIL "Chaire Pensions et Longévité" funded by Retraites Populaires, directed by Prof. François Dufresne (2011-2014)
- Co-founder (with Alexandre Jacobs, Julien Trufin and Anthony Weemaels) of Detralytics, an actuarial consulting office based in Brussels, offering a talent accelerator program to young graduates, see www.detralytics.eu
- Co-founder (with Pierre Devolder, Xavier Maréchal and Jean-François Walhin) of Reacfin, UCL spin-off, see www.reacfin.com
- Denuit M. & Pinquet J. (2001). Produits multigaranties: techniques de réévaluation des risques en cours. Winterthur Europe.
- Brounhs N., Delwarde A. & Denuit M. (2002). Méthodes d'élaboration de tables de mortalité prospectives, ou comment tarifer des rentes viagères lorsque la mortalité évolue. Association Royale des Actuaires Belges.
- Brouhns, N., & Denuit M. (2004). Datawarehouse des pensions du secteur public: Analyse des besoins externes. Projet SSTC AG/10/077, SPP Politique scientifique.
- Delwarde, A., & Denuit M. (2004). Mortalité des pensionnés du secteur public: Analyse actuarielle et démographique. Projet SSTC AG/10/078, SPP Politique scientifique.
- Denuit, M., & Goderniaux, A.-C. (2004). Loss distribution approach for operational risk: Analysis of the Euroclear Bank Historical Internal Losses Data and ORX Database.
- Delwarde, A., & Denuit, M. (2005). Méthodes relationnelles en assurance vie (SCOR Vie).
- Denuit, M., Marechal, X., & Closon, J.-P. (2005). Etude relative aux coûts potentiels liés à une éventuelle modification des règles du droit de la responsabilité médicale. Phase II: Développement d'un modèle actuariel et premières estimations. KCE Reports - Centre Fédéral d'Expertise des Soins de Santé, Volume 16B.
Available from http://www.centredexpertise.fgov.be - Denuit, M., & Delwarde, A. (2005). Loss distribution approach for operational risk: Analysis of the 1999-2004 Euroclear Bank Historical Internal Losses Data and ORX Database.
- Marechal, X., Denuit, M., Vinck, I., & Closon, J.-P. (2006). Etude relative aux coûts potentiels liés à une éventuelle modification des règles du droit de la responsabilité médicale. Phase III: Affinement des estimations. KCE Reports - Centre Fédéral d'Expertise des Soins de Santé, Volume 35B.
Available from http://www.centredexpertise.fgov.be - Denuit, M., & Marechal, X. (2007). Market Cycles Modelling (AXA International).
- Marechal, X., Denuit, M., Vinck, I., & Closon, J.-P. (2007). Indemnisation des dommages résultant de soins de santé - Clé de répartition entre le Fonds et les assureurs. KCE Reports - Centre Fédéral d'Expertise des Soins de Santé.
Available from http://www.centredexpertise.fgov.be - Devolder, P., Denuit, M., Marechal, X., Yerna, B.-L., Closon, J.-P., Leonard, C., Senn, A., & Vinck, I. (2008). Construction d'un index médical pour les contrats privés d'assurance maladie. KCE Reports - Centre Fédéral d'Expertise des Soins de Santé.
Available from http://www.centredexpertise.fgov.be - Yerna, B.-L., Marechal, X., Denuit, M., Closon, J.-P., & Vinck, I. (2009). Indemnisation des dommages résultant de soins de santé: impact budgétaire de la transposition du système français en Belgique. KCE Reports - Centre Fédéral d'Expertise des Soins de Santé.
Available from http://www.centredexpertise.fgov.be - Henry de Frahan, B., Saegerman, Cl., Denuit, M., Dubuisson, B., Ledoux, O., Pigeon, M., Vandeputte, S., & Weynants, S. (2011). Etude de la possibilité et proposition de mise en place de mécanismes assurantiels ou de mutualisation des risques dans le secteur agricole en Région wallonne. Marché de services de recherche et de développement D31-1251, Financement de la Direction générale opérationnelle de l'agriculture, des ressources naturelles et de l'environnement, Service Public de Wallonie.
Scientific Advisor for
Technology Transfer
Some selected applied research reports
Full-time research and teaching positions
- 1999-date
Full-time Professor of Probability, Statistics and Actuarial Mathematics, UCLouvain, Louvain-la-Neuve, Belgium - 1994-99
Full-time Teaching and Research Assistant in Probability and Statistics, ULB, Brussels, Belgium
Invited research and teaching positions
- AFI Leuven Research Center - Actuarial Science research group, KULeuven (Leuven, Belgium, 2008-2017)
- Department of Mathematics, Université Libre de Bruxelles (Bruxelles, Belgium, 2015-16)
- Département de Sciences Actuarielles, Faculté des HEC, UNIL (Lausanne, Switzerland, 2011-14)
- Institut de Science Financière et d'Assurances (ISFA), Université Claude Bernard - Lyon 1 (Lyon, France, 2000-05)
- Institute of Mathematics, Université de Liège (Liège, Belgium, 1997-99)
- National Institute of Statistics and Applied Economics - INSEA (Rabat, Marocco, 1997-2003)
Main professional duties
- 2009-date: Head of the UCLouvain master program in actuarial science
- 2019-date: Research Director of the UCLouvain Institute of Statistics, Biostatistics and Actuarial Science
- 2006-2009: Chairman of the UCLouvain Institute of Statistics
- 2002-2009: Vice-Chairman of the UCLouvain Institute of Actuarial Science
- 1999-date
- Diploma
Year Label Educational Organization 1992 Candidat en sciences - groupe sciences mathématiques Université Libre de Bruxelles 1994 Licencié en sciences - groupe sciences mathématiques Université Libre de Bruxelles 1996 Licencié en sciences actuarielles Université Libre de Bruxelles 1997 Docteur en sciences - orientation statistique Université Libre de Bruxelles
Actuarial education reports
- Denuit, M., & Dhaene, J. (1999). Education Project KVBA-ARAB Universities. Report to the Directorial Board of the Royal Society of Belgian Actuaries.
- Denuit, M., & Dhaene, J. (2000). Towards an Internationally Recognized Actuarial Qualification in Belgium. Report to the President of the Royal Society of Belgian Actuaries.
- Denuit, M., Dhaene, J., & Van Wouwe, M. (2002). Linking a university-based actuarial education system to a professional organisation: The Belgian case. Report to the Education Committee of the International Actuarial Association.
- Denuit, M., & Devolder, P. (2003). Harmonisation européenne de la structure des études supérieures (3-5-8, Bologne ou BaMa). Opportunité ou menace pour les sciences actuarielles en Belgique? Rapport au Président du Comité Education de l'Association Royale des Actuaires Belges.
Evaluation of actuarial master programs
- Member of the Assessment Committee for the actuarial laboratory LSFA, University of Lyon, for the French Haut Conseil de l'Evaluation de la Recherche et de l'Enseignement Supérieur (HCERES), Groupe Economie - Gestion (SHS 1), 2014-15
- Member of the Statistics Assessment Committee (Actuarial and Financial Engineering) of the Flemish Interuniversity Council-VLIR (2007-08)
- Chairman of the Actuarial Assessment Committee of the Flemish Interuniversity Council-VLIR (2010-11)
CPD for
-
Euroclear Bank
-
AXA
- Munich Re
- Swiss Association of Actuaries
- Groupe Consultatif Actuariel Européen
- Dutch Actuarial Society - Actuarieel Genootschap
- Institute of Actuaries in Belgium (IABE)
- Courses
Research interests
- Stochastic inequalities: Stochastic orders, stochastic extrema, dependence concepts
- Mathematical risk theory: Insurance microeconomics, risk measures
- Statistics applied to insurance: Risk classification, reserving, credibility, bonus-malus systems, life tables, mortality forecasting, multistate models for health and disability policies
Prizes and honours
- PhD awarded "Olbrechts-Tyteca Prize 1997"
- Awarded Annual Prize 2000 of the Académie Royale des Sciences de Belgique (group : mathematics) "Lauréat de l'Académie Royale de Belgique"
- Nominee third most cited author in actuarial science over the period 1996-2000 according to the bibliometric study appeared in the journal Insurance: Mathematics & Economics (Vol 30, pp. 293-296)
- Co-author of 5 out the 20 most cited papers of all 674 published in Insurance: Mathematics & Economics over 1998-2008 (ranks 1-2-12-18-20)
- Awarded 2003 Casualty Actuarial Society (CAS) Prize for the best article published in the Journal of Risk and Insurance (for "Bonus-malus scales in segmented tariffs with stochastic migration between segments" co-authored with N. Brouhns, M. Guillen & J. Pinquet)
- Awarded 2006 Giuseppe Ottaviani Prize in Insurance by the Italian Institute of Actuaries for the paper "Lee-Carter goes risk-neutral: An application to the Italian annuity market" (with Enrico Biffis, appeared in Giornale dell'Istituto Italiano degli Attuari)
- Honorary Professor, Faculty of Actuarial Science and Statistics, Cass Business School, City University, London (2007-2013)
- SCOR - The Geneva Risk and Insurance Review best paper award 2016 for "Tradeoffs for downside risk-averse decision-makers and the self-protection decision'', co-authored with Louis Eeckhoudt, Liqun Liu and Jack Meyer
- ARIA's Brockett-Shapiro Actuarial Journal Award 2019, awarded by the American Risk and Insurance Association - ARIA - for "Extreme value analysis of mortality at the oldest ages: A case study based on individual ages at death" co-authored with Luc Dal, Samuel Gbari and Michel Poulain
- Harris Schlesinger Prize for Research Excellence 2019, awarded by the European Group of Risk and Insurance Economists - EGRIE - for "Tradeoffs for downside risk-averse decision-makers and the self-protection decision" co-authored with Louis Eeckhoudt, Liqun Liu and Jack Meyer
Current editorial activities
- Associate Editor for Insurance: Mathematics and Economics (2008-date)
- Referee for journals in actuarial science, applied probability, statistics, mathematical economics, and operations research
Past editorial activities
- Associate Editor for Methodology and Computing in Applied Probability (2008-2013)
- Co-Editor for ASTIN Bulletin (2007-2012)
- Proceedings Editor for Insurance: Mathematics and Economics (1999-2008)
- Founding Editor of the Belgian Actuarial Bulletin (1999-2003), now included in the European Actuarial Journal
- Member of the Advisory Board for the Wiley Encyclopedia of Actuarial Science (2002-2003), in charge of the "Insurance Economics" Section (with Marco Scarsini)
- Member of the Advisory Board for the Wiley Encyclopedia of Quantitative Risk Analysis and Assessment (2006-2008), in charge of the "Insurance/Actuarial Risk" Section
- Associate Editor of the Australian and New Zealand Journal of Statistics (2003-2008)
- Reviewer of book proposals for the Wiley Series in Probability and Statistics
Research projects and grants
- Committee on Knowledge Extension Research (CKER), American Society of Actuaries (SOA), Actuarial aspects of dependencies in insurance portfolios (in collaboration with Professors Dhaene and Goovaerts, KULeuven, 1999-2002)
- Fonds Spéciaux de Recherche (UCL), Insurance ratemaking: Towards a unified approach (2000-2002)
- Royal Society of Belgian Actuaries, Building projected life tables for Belgium (2002)
- SSTC-Agora (Belgian Federal Government), Datawarehouse for pensions of the public sector: Analysis of external needs (in collaboration with Professors Kolp and Saerens, IAG UCL, 2003-2004)
- SSTC-Agora (Belgian Federal Government), Mortality of pensioners from the public sector: Actuarial and demographic analysis (in collaboration with Professors Dhaene and Goovaerts, KULeuven, 2003-2004)
- Fonds Spéciaux de Recherche (UCL), Nouvelles méthodes de gestion des risques assuranciels et financiers (2003-2004)
- First Spin-off programme, Walloon Government, Développement de solutions informatiques dans le domaine de la gestion des risques (2003-2006)
- Fonds pour la Formation à la Recherche dans l'Industrie et l'Agriculture (FRIA), Méthodes statistiques modernes d'évaluation du risque (2003-2005)
- Projet d'Actions de Recherche Concertées (PARC), Modern Risk Management Models for Insurance Companies and Pension Funds (in collaboration with Professors Devolder, Rolin and Smeers, 2004-2009)
- DGARNE, Walloon Government, Mécanismes assurantiels ou de mutualisation des risques agricoles en Région wallonne (in collaboration with Professor Bruno Henry de Frahan, Earth and Life Institute UCL, 2011)
- FWO (Research Foundation - Flanders), Stochastisch modelleren van ziekteverzekeringsproducten (in collaboration with Professors Antonio and Dhaene, KULeuven, 2012-2015)
-
Projet d'Actions de Recherche Concertées (PARC), Stochastic modelling of dependence: Systems under stress (in collaboration with Professors Hafner, Johannes, Bauwens, von Sachs and Van Bellegem, 2012-2017)
-
Actuarial dynamic approach of customer in P&C insurance (2016-2019), Joint Research Initiative, AXA Research Fund (in collaboration with AXA Belgium)
- Individual research grants: Grantee "Fondation Agathon De Potter", Académie Royale de Belgique, Grantee "Fonds National de la Recherche Scientifique" (FNRS - Crédit aux Chercheurs), Grantee "Banque Nationale de Belgique" (BNB), Grantee "Secura Re"
PhD theses supervised
- Abdelaouid Tajar (PhD in Science, optional Statistics, defended in February 2003), now in private consulting
- Oana Purcaru (PhD in Science, optional Statistics, defended in August 2005), now in private consulting
- Natacha Brouhns (PhD in Science, optional Actuarial Science, defended in December 2005), now in private consulting
- Antoine Delwarde (PhD in Science, optional Actuarial Science, defended in March 2006), formerly in private consulting, now at a major Belgian insurance company
- Arthur Charpentier (PhD in Science, optional Statistics, defended in June 2006, co-promoted with Jan Beirlant, KULeuven) now professor at the Université du Québec à Montréal, Department of Mathematics
- Jean-Philippe Boucher (PhD in Science, optional Actuarial Science, defended in May 2007), now professor at the Université du Québec à Montréal, Department of Mathematics
- Cindy Courtois (PhD in Science, optional Actuarial Science, defended in June 2007), now at the supervisory authority for the Belgian financial sector, banks and insurance companies
- Sandra Pitrebois (PhD in Science, optional Actuarial Science, defended in November 2008), now in the Reinsurance industry
- Julien Trufin (PhD in Science, optional Actuarial Science, defended in March 2010), formerly in private consulting, professor at Laval University, School of Actuarial Sciences, Quebec, now professor at ULB, Brussels, Department of Mathematics
- Mathieu Pigeon (PhD in Science, optional Actuarial Science, defended in June 2014), now professor at the Université du Québec à Montréal, Department of Mathematics
- Anna Kiriliouk (PhD in Science, optional Statistics, started in September 2012, co-promoted with Johan Segers)
- Samuel Gbari (PhD in Science, optional Actuarial Science, defended in September 2017)
- Nathalie Lucas (PhD in Science, optional Actuarial Science, started in September 2015)
- Florian Pechon (PhD in Science, optional Actuarial Science, started in September 2015, co-promoted with Julien Trufin)
- Antoine Soetewey (PhD in Science, optional Statistics, started in September 2017, co-promoted with Catherine Legrand)
Post-doctoral fellowship supervision
- Ana Cebrian (2003-2004, now professor at the University of Zaragoza, Spain) supported by the "Prix FSR 2000" (with Professors I. Gijbels and Ph. Lambert)
- Marcus Christiansen (2009-2010, formerly assistant professor at the University of Rostock, Germany, junior professor at the University of Ulm, Germany, now professor at Heriot-Watt University, UK) supported by a Deutsche Forschungsgemeinschaft - DFG research grant
2024
Huyghe, Julie ; Trufin, Julien ; Denuit, Michel. Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking. In: Scandinavian Actuarial Journal, Vol. 2024, no.5, p. 417-439 (2024). doi:10.1080/03461238.2023.2258135.
2024
Denuit, Michel ; Robert, Christian Y.. Conditional Mean Risk Sharing of Independent Discrete Losses in Large Pools. In: Methodology and Computing in Applied Probability, Vol. 26, p. 36 (2024). doi:10.1007/s11009-024-10106-w.
2024
Denuit, Michel ; Trufin, Julien. Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments. In: Insurance: Mathematics and Economics, Vol. 118, p. 123-128 (2024). doi:10.1016/j.insmatheco.2024.06.003.
2024
Denuit, Michel ; Huyghe, Julie ; Trufin, Julien ; Verdebout, Thomas. Testing for auto-calibration with Lorenz and Concentration curves. In: Insurance: Mathematics and Economics, Vol. 117, p. 130-139 (2024). doi:10.1016/j.insmatheco.2024.04.003.
2023
Denuit, Michel ; Robert, Christian Y.. Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model. In: Insurance: Mathematics and Economics, Vol. 112, p. 23-32 (2023). doi:10.1016/j.insmatheco.2023.05.008.
2023
Ciatto, Nicolas ; Verelst, Harrison ; Trufin, Julien ; Denuit, Michel. Does autocalibration improve goodness of lift?. In: European Actuarial Journal, Vol. 13, no.1, p. 479-486 (2023). doi:10.1007/s13385-022-00330-4.
2023
Denuit, Michel ; Robert, Christian Y.. From risk reduction to risk elimination by conditional mean risk sharing of independent losses. In: Insurance: Mathematics and Economics, Vol. 108, p. 46-59 (2022). doi:10.1016/j.insmatheco.2022.11.003.
2023
Denuit, Michel ; Trufin, Julien. Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration. In: European Actuarial Journal, Vol. 13, no.2, p. 871-878 (2023). doi:10.1007/s13385-023-00353-5.
2023
Cadena, Meitner ; Denuit, Michel. Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models. In: Decisions in Economics and Finance : a journal of applied mathematics, Vol. 46, no.2, p. 569-582 (2023). doi:10.1007/s10203-023-00391-4.
2022
Seck, Ndeye Arame ; Denuit, Michel. Adaptive Splines for Continuous Features in Risk Assessment. In: CAS E-Forum, Vol. Summer (2022).
2022
Denuit, Michel ; Robert, Christian Y.. Collaborative Insurance with Stop-Loss Protection and Team Partitioning. In: North American Actuarial Journal, Vol. 26, no.1, p. 143-160 (2022). doi:10.1080/10920277.2020.1855199.
2022
Denuit, Michel ; Robert, Christian Y.. Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses. In: Methodology and Computing in Applied Probability, Vol. 24, p. 1953-1985 (2022). doi:10.1007/s11009-021-09888-0.
2022
Denuit, Michel ; Robert, Christian Y.. Conditional mean risk sharing in the individual model with graphical dependencies. In: Annals of Actuarial Science, Vol. 16, no. 1, p. 183-209 (2022). doi:10.1017/s1748499521000166.
2022
Corradin, Alexandre ; Denuit, Michel ; Detyniecki, Marcin ; Grari, Vincent ; Sammarco, Matteo ; Trufin, Julien. Joint modeling of claim frequencies and behavioral signals in motor insurance. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 52, no.1, p. 33-54 (2022). doi:10.1017/asb.2021.24.
2022
Denuit, Michel ; Hieber, Peter ; Robert, Christian Y.. Mortality credits within large survivor funds. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 52, no.3, p. 813-834 (2022). doi:10.1017/asb.2022.13.
2022
Denuit, Michel ; Robert, Christian. Peering ahead. In: The Actuary, no. January-February, p. 38-39 (2022).
2022
Denuit, Michel ; Robert, Christian Y.. Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses. In: Methodology and Computing in Applied Probability, Vol. 24, p. 693-711 (2022). doi:10.1007/s11009-021-09881-7.
2022
Hainaut, Donatien ; Trufin, Julien ; Denuit, Michel. Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link. In: Scandinavian Actuarial Journal, Vol. 2022, no.10, p. 841-866 (2022). doi:10.1080/03461238.2022.2037016.
2022
Denuit, Michel ; Dhaene, Jan ; Robert, Christian Y.. Risk-sharing rules and their properties, with applications to peer‐to‐peer insurance. In: Journal of Risk and Insurance, Vol. 89, no.3, p. 615-667 (2022). doi:10.1111/jori.12385.
2022
Soetewey, Antoine ; Legrand, Catherine ; Denuit, Michel ; Silversmit, Geert. Semi-markov modeling for cancer insurance. In: European Actuarial Journal, Vol. 12, p. 813–837 (2022). doi:10.1007/s13385-022-00308-2.
2021
Cadena, Meitner ; Denuit, Michel. A new measure of mortality differentials based on precedence probability. In: European Actuarial Journal, Vol. 11, p. 717-724 (2021). doi:10.1007/s13385-021-00280-3.
2021
Denuit, Michel ; Charpentier , Arthur ; Trufin, Julien. Autocalibration and Tweedie-dominance for insurance pricing with machine learning. In: Insurance: Mathematics and Economics, Vol. 101, part B, p. 485-497 (2021). doi:10.1016/j.insmatheco.2021.09.001.
2021
Denuit, Michel ; Robert, Christian Y.. Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]. In: Insurance: Mathematics and Economics, Vol. 101, part B, p. 640-644 (2021). doi:10.1016/j.insmatheco.2021.09.002.
2021
Denuit, Michel ; Robert, Christian Y.. Efron’s asymptotic monotonicity property in the Gaussian stable domain of attraction. In: Journal of Multivariate Analysis, Vol. 186, p. 104803 (2021). doi:10.1016/j.jmva.2021.104803.
2021
Denuit, Michel ; Robert, Christian Y.. From risk sharing to pure premium for a large number of heterogeneous losses. In: Insurance: Mathematics and Economics, Vol. 96, no. January 2021, p. 116-126 (2021). doi:10.1016/j.insmatheco.2020.11.006.
2021
Denuit, Michel ; Trufin, Julien. Generalization error for Tweedie models: decomposition and error reduction with bagging. In: European Actuarial Journal, Vol. 11, p. 325-331 (2021). doi:10.1007/s13385-021-00265-2.
2021
Pechon, Florian ; Denuit, Michel ; Trufin, Julien. Home and Motor insurance joined at a household level using multivariate credibility. In: Annals of Actuarial Science, Vol. 15, no.1, p. 82-114 (2021). doi:10.1017/s1748499520000160.
2021
Bettonville, Carole ; d'Oultremont, Louise ; Denuit, Michel ; Trufin, Julien ; Van Oirbeek, Robin. Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model. In: Scandinavian Actuarial Journal, Vol. 2021, no.5, p. 380-407 (2021). doi:10.1080/03461238.2020.1848912.
2021
Denuit, Michel. Reply to Edward Furman, Yisub Kye, and Jianxi Su on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”. In: North American Actuarial Journal, Vol. 25, no.4, p. 637-638 (2021). doi:10.1080/10920277.2020.1848300.
2021
Denuit, Michel. Reply to Jiandong Ren on Their Discussion on the Paper Titled “Size-Biased Risk Measures of Compound Sums”. In: North American Actuarial Journal, Vol. 25, no.4, p. 643 (2021). doi:10.1080/10920277.2021.1925823.
2021
Denuit, Michel ; Robert, Christian Y.. Risk sharing under the dominant peer‐to‐peer property and casualty insurance business models. In: Risk Management and Insurance Review, Vol. 24, no.2, p. 181-205 (2021). doi:10.1111/rmir.12180.
2021
Denuit, Michel ; Robert, Christian Y.. Stop-loss protection for a large P2P insurance pool. In: Insurance: Mathematics and Economics, Vol. 100, p. 210-233 (2021). doi:10.1016/j.insmatheco.2021.05.007.
2021
Denuit, Michel ; Trufin, Julien ; Verdebout, Thomas. Testing for more positive expectation dependence with application to model comparison. In: Insurance: Mathematics and Economics, Vol. 101, p. 163-172 (2021). doi:10.1016/j.insmatheco.2021.07.008.
2021
Soetewey, Antoine ; Legrand, Catherine ; Denuit, Michel ; Silversmit, Geert. Waiting period from diagnosis for mortgage insurance issued to cancer survivors. In: European Actuarial Journal, Vol. 11, p. 135-160 (2021). doi:10.1007/s13385-020-00254-x.
2021
Denuit, Michel ; Lu, Yang. Wishart‐gamma random effects models with applications to nonlife insurance. In: Journal of Risk and Insurance, Vol. 88, no. 2, p. 443-481 (2021). doi:10.1111/jori.12327.
2020
Denuit, Michel. Investing in your own and peers’ risks: the simple analytics of P2P insurance. In: European Actuarial Journal, Vol. 10, no.2, p. 335-359 (2020). doi:10.1007/s13385-020-00238-x.
2020
Denuit, Michel ; Robert, Christian Y.. Large-Loss Behavior of Conditional Mean Risk Sharing. In: ASTIN Bulletin, Vol. 50, no.3, p. 1093-1122 (2020). doi:10.1017/asb.2020.23.
2020
Pechon, Florian ; Trufin, Julien ; Denuit, Michel. Preliminary selection of risk factors in P&C ratemaking. In: Variance : advancing the science of risk, Vol. 13, no.1, p. 124-14 (2020).
2020
Denuit, Michel. Size-Biased Risk Measures of Compound Sums. In: North American Actuarial Journal, Vol. 24, no.4, p. 512-532 (2020). doi:10.1080/10920277.2019.1676787.
2020
Hainaut, Donatien ; Denuit, Michel. Wavelet-based feature extraction for mortality projection. In: ASTIN Bulletin, Vol. 50, no. 3, p. 675-707 (2020). doi:10.1017/asb.2020.18.
2019
Hanbali, Hamza ; Denuit, Michel ; Dhaene, Jan ; Trufin, Julien. A dynamic equivalence principle for systematic longevity risk management. In: Insurance: Mathematics and Economics, Vol. 86, p. 158-167 (2019). doi:10.1016/j.insmatheco.2019.02.004.
2019
Denuit, Michel ; Mesfioui, Mhamed ; Trufin, Julien. Concordance-based predictive measures in regression models for discrete responses. In: Scandinavian Actuarial Journal, Vol. 2019, no.10, p. 824-836 (2019). doi:10.1080/03461238.2019.1624274.
2019
Denuit, Michel ; Trufin, Julien. Des tables de mortalité, espérances de vie, durées de vie moyennes et probables et de leur bon usage dans l’évaluation des droits viagers. In: Revue du Notariat Belge, Vol. 3142, p. 574-608 (2019).
2019
Denuit, Michel ; Sznajder, Dominik ; Trufin, Julien. Model selection based on Lorenz and concentration curves, Gini indices and convex order. In: Insurance: Mathematics and Economics, Vol. 89, p. 128-139 (2019). doi:10.1016/j.insmatheco.2019.09.001.
2019
Denuit, Michel ; Guillen, Montserrat ; Trufin, Julien. Multivariate credibility modelling for usage-based motor insurance pricing with behavioural data. In: Annals of Actuarial Science, Vol. 13, no.2, p. 378-399 (2019). doi:10.1017/s1748499518000349.
2019
Pechon, Florian ; Denuit, Michel ; Trufin, Julien. Multivariate modelling of multiple guarantees in motor insurance of a household. In: European Actuarial Journal, Vol. 9, p. 575-602 (2019). doi:10.1007/s13385-019-00201-5.
2019
Hanbali, Hamza ; Claassens, Hubert ; Denuit, Michel ; Dhaene, Jan ; Trufin, Julien. Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system. In: Health Policy, Vol. 123, no.10, p. 970-975 (2019). doi:10.1016/j.healthpol.2019.07.005.
2019
Denuit, Michel. Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines. In: ASTIN Bulletin, Vol. 49, no.03, p. 591-617 (2019). doi:10.1017/asb.2019.24.
2018
Denuit, Michel ; Vernic, Raluca. Bivariate Bernoulli Weighted Sums and Distribution of Single-Period Tontine Benefits. In: Methodology and Computing in Applied Probability, Vol. 20, no.4, p. 1403-1416 (2018). doi:10.1007/s11009-018-9625-4.
2018
Denuit, Michel ; Trufin, Julien. Collective loss reserving with two types of claims in motor third party liability insurance. In: Journal of Computational and Applied Mathematics, Vol. 335, p. 168-184 (2018). doi:10.1016/j.cam.2017.11.044.
2018
Bernard, Carole ; Denuit, Michel ; Vanduffel, Steven. Measuring Portfolio Risk Under Partial Dependence Information. In: Journal of Risk and Insurance, Vol. 85, no. 3, p. 843-863 (2018). doi:10.1111/jori.12165.
2018
Pechon, Florian ; Trufin, Julien ; Denuit, Michel. Multivariate modelling of household claim frequencies in motor third-party liability insurance. In: ASTIN Bulletin, Vol. 48, no.3, p. 969-993 (2018). doi:10.1017/asb.2018.21.
2018
Christiansen, Marcus ; Denuit, Michel ; Lucas, Nathalie ; Schmidt, Jan-Philipp. Projection models for health expenses. In: Annals of Actuarial Science, Vol. 12, no.1, p. 185-203 (2018). doi:10.1017/s1748499517000240.
2018
Denuit, Michel. Risk apportionment and multiply monotone targets. In: Mathematical Social Sciences, Vol. 92, p. 74-77 (2018). doi:10.1016/j.mathsocsci.2017.09.008.
2018
Denuit, Michel ; Legrand, Catherine. Risk classification in life and health insurance: extension to continuous covariates. In: European Actuarial Journal, Vol. 8, no.1, p. 245-255 (2018). doi:10.1007/s13385-018-0171-9.
2017
Denuit, Michel ; Trufin, Julien. Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development. In: North American Actuarial Journal, Vol. 21, p. 611-619 (2017). doi:10.1080/10920277.2017.1353428.
2017
Denuit, Michel ; Mesfioui, Mhamed. Bounds on Kendall’s tau for zero-inflated continuous variables. In: Statistics & Probability Letters, Vol. 126, p. 173-178 (2017). doi:10.1016/j.spl.2017.03.005.
2017
Gbari, Kock Yed Ake Samuel ; Poulain, Michel ; Dal, Luc ; Denuit, Michel. Extreme Value Analysis of Mortality at the Oldest Ages: A Case Study Based on Individual Ages at Death. In: North American Actuarial Journal, Vol. 21, no. 3, p. 397-416 (2017). doi:10.1080/10920277.2017.1301260.
2017
Dhaene, Jan ; Godecharle, Els ; Antonio, Katrien ; Denuit, Michel ; Hanbali, Hamza. Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation. In: ASTIN Bulletin, Vol. 47, p. 803-836 (2017). doi:10.1017/asb.2017.13.
2017
Denuit, Michel ; Mesfioui, Mhamed. Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization. In: Insurance: Mathematics and Economics, Vol. 72, p. 1-5 (2017). doi:10.1016/j.insmatheco.2016.10.012 (Accepté/Sous presse).
2017
Cheung, Ka Chun ; Denuit, Michel ; Dhaene, Jan. Tail mutual exclusivity and Tail-VaR lower bounds. In: Scandinavian Actuarial Journal, Vol. 2017, no.1, p. 88-104 (2017). doi:10.1080/03461238.2015.1084945.
2017
Denuit, Michel ; Dhaene, Jan ; Hanbali, Hamza ; Lucas, Nathalie ; Trufin, Julien. Updating mechanism for lifelong insurance contracts subject to medical inflation. In: European Actuarial Journal, Vol. 7, no.1, p. 133-163 (2017). doi:10.1007/s13385-016-0142-y.
2016
Schinzinger, Edo ; Denuit, Michel ; Christiansen, Marcus. A multivariate evolutionary credibility model for mortality improvement rates. In: Insurance: Mathematics and Economics, Vol. 69, p. 70-81 (2016). doi:10.1016/j.insmatheco.2016.04.004.
2016
Denuit, Michel ; Trufin, Julien. From regulatory life tables to stochastic mortality projections: The exponential decline model. In: Insurance: Mathematics and Economics, Vol. 71, p. 295-303 (2016). doi:10.1016/j.insmatheco.2016.09.015.
2016
Denuit, Michel ; Mesfioui, Mhamed. Multivariate Higher-Degree Stochastic Increasing Convexity. In: Journal of Theoretical Probability, Vol. 29, no.4, p. 1599-1623 (2016). doi:10.1007/s10959-015-0628-6.
2016
Denuit, Michel ; Eeckhoudt, Louis. Risk aversion, prudence, and asset allocation : a review and some new developments. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 80, no. 2, p. 227-243 (2016). doi:10.1007/s11238-015-9503-2.
2016
Cadena, Meitner ; Denuit, Michel. Semi-parametric accelerated hazard relational models with applications to mortality projections. In: Insurance: Mathematics and Economics, Vol. 68, no. May 2016, p. 1-16 (2016). doi:10.1016/j.insmatheco.2016.02.003.
2016
Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Stochastic approximations in CBD mortality projection models. In: Journal of Computational and Applied Mathematics, Vol. 296, p. 102-115 (2016). doi:10.1016/j.cam.2015.09.020.
2016
Denuit, Michel ; Eeckhoudt, Louis ; Liu, Liqun ; Meyer, Jack. Tradeoffs for Downside Risk-Averse Decision-Makers and the Self-Protection Decision. In: The Geneva Risk and Insurance Review, Vol. 41, no.1, p. 19-47 (2016). doi:10.1057/grir.2015.3.
2015
Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Almost expectation and excess dependence notions. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 79, no. 3, p. 375-401 (2015). doi:10.1007/s11238-014-9476-6.
2015
Mesfioui, Mhamed ; Denuit, Michel. Comonotonicity, orthant convex order and sums of random variables. In: Statistics & Probability Letters, Vol. 96, p. 356-364 (2015). doi:10.1016/j.spl.2014.10.004.
2015
Denuit, Michel ; Trufin, Julien. Des cadences collectives de règlement au provisionnement individuel. In: L'Actuariel, Vol. 18, p. 42-44 (2015).
2015
Denuit, Michel ; Haberman, Steven ; Renshaw, Arthur E.. Longevity-contingent deferred life annuities. In: Journal of Pension Economics and Finance, Vol. 14, no.03, p. 315-327 (2015). doi:10.1017/S147474721400050X.
2015
Denuit, Michel ; Kiriliouk, Anna ; Segers, Johan. Max-factor individual risk models with application to credit portfolios. In: Insurance: Mathematics and Economics, Vol. 62, p. 162-172 (2015). doi:10.1016/j.insmatheco.2015.03.006.
2015
Denuit, Michel ; Trufin, Julien. Model points and Tail-VaR in life insurance. In: Insurance: Mathematics and Economics, Vol. 64, p. 268-272 (2015). doi:10.1016/j.insmatheco.2015.06.002.
2015
Denuit, Michel. Mécanisme de conversion de l'usufruit: le point de vue d'un actuaire. In: Revue du Notariat Belge, Vol. 3097, p. 368-374 (2015).
2015
Charpentier, Arthur ; Denuit, Michel ; Elie, Romuald. Segmentation et mutualisation, les deux faces d'une même pièce?. In: Risques, Vol. 103, p. 57-61 (2015).
2014
Denuit, Michel ; Liu, Liqun ; Meyer, Jack. A separation theorem for the weak s-convex orders. In: Insurance: Mathematics and Economics, Vol. 59, p. 279-284 (2014). doi:10.1016/j.insmatheco.2014.10.008.
2014
Denuit, Michel ; Huang, Rachel J. ; Wang, Christine. Almost marginal conditional stochastic dominance. In: Journal of Banking & Finance, Vol. 41, p. 57-66 (2014). doi:10.1016/j.jbankfin.2013.12.014.
2014
Denuit, Michel ; Rey, Béatrice. Benchmark values for higher order coefficients of relative risk aversion. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 76, no. 1, p. 81-94 (2014). doi:10.1007/s11238-013-9353-8.
2014
Denuit, Michel ; Huang, Rachel ; Tzeng, Larry. Bivariate almost stochastic dominance. In: Economic Theory, Vol. 57, no. 2, p. 377-405 (2014). doi:10.1007/s00199-014-0826-y.
2014
Denuit, Michel ; Liu, Liqun. Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 76, no. 2, p. 287-295 (2014). doi:10.1007/s11238-013-9374-3.
2014
Gbari, Kock Yed Ake Samuel ; Denuit, Michel. Efficient approximations for numbers of survivors in the Lee–Carter model. In: Insurance: Mathematics and Economics, Vol. 59, p. 71-77 (2014). doi:10.1016/j.insmatheco.2014.08.007.
2014
Pigeon, Mathieu ; Henry de Frahan, Bruno ; Denuit, Michel. Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models. In: European Actuarial Journal, Vol. 4, no. 2, p. 383-409 (2014). doi:10.1007/s13385-014-0097-9.
2014
Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel. Individual loss reserving using paid–incurred data. In: Insurance: Mathematics and Economics, Vol. 58, p. 121-131 (2014). doi:10.1016/j.insmatheco.2014.06.012.
2014
Klein, Nadja ; Denuit, Michel ; Lang, Stefan ; Kneib, Thomas. Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape . In: Insurance: Mathematics and Economics, Vol. 55, p. 225-249 (2014). doi:10.1016/j.insmatheco.2014.02.001 .
2014
Christiansen, Marcus ; Denuit, Michel ; Dhaene, Jan. Reserve-dependent benefits and costs in life and health insurance contracts. In: Insurance: Mathematics and Economics, Vol. 57, p. 132-137 (2014). doi:10.1016/j.insmatheco.2014.05.009.
2013
Denuit, Michel ; Mesfioui, Mhamed. A sufficient condition of crossing type for the bivariate orthant convex order. In: Statistics & Probability Letters, Vol. 83, no.1, p. 157-162 (2013). doi:10.1016/j.spl.2012.07.014.
2013
Denuit, Michel ; Rey, Béatrice. Another look at risk apportionment. In: Journal of Mathematical Economics, Vol. 49, no. 4, p. 335-343 (2013). doi:10.1016/j.jmateco.2013.04.007.
2013
Denuit, Michel ; Haberman, Steven ; Renshaw, Arthur E.. Approximations for quantiles of life expectancy and annuity values using the parametric improvement rate approach to modelling and projecting mortality. In: European Actuarial Journal, Vol. 3, no. 1, p. 191-201 (2013). doi:10.1007/s13385-013-0065-9.
2013
Denuit, Michel ; Eeckhoudt, Louis. Improving your chances: A new result. In: Economics Letters, Vol. 118, no.3, p. 475-477 (2013). doi:10.1016/j.econlet.2012.12.016.
2013
Pigeon, Mathieu ; Antonio, Katrien ; Denuit, Michel. Individual Loss Reserving with the Multivariate Skew Normal Framework. In: ASTIN Bulletin, Vol. 43, no. 3, p. 399-428 (2013). doi:10.1017/asb.2013.20.
2013
Denuit, Michel ; Eeckhoudt, Louis ; Jokung, Octave. Non-differentiable transformations preserving stochastic dominance. In: Journal of the Operational Research Society, Vol. 64, no. 9, p. 1441-1446 (2013). doi:10.1057/jors.2012.140.
2013
Denuit, Michel ; Mesfioui, Mhamed. Ordering Functions of Random Vectors, with Application to Partial Sums. In: Journal of Theoretical Probability, Vol. 26, no. 2, p. 474-479 (2013). doi:10.1007/s10959-012-0402-y.
2013
Vercruysse, W. ; Dhaene, J. ; Denuit, Michel ; Pitacco, E. ; Antonio, K.. Premium indexing in lifelong health insurance. In: Far East Journal of Mathematical Sciences, Vol. SPEC. VOL., no. PART IV, p. 365-384 (2013).
2013
Denuit, Michel ; Eeckhoudt, Louis. Risk attitudes and the value of risk transformations. In: International Journal of Economic Theory, Vol. 9, no.3, p. 245-254 (September 2013). doi:10.1111/j.1742-7363.2013.12017.x.
2013
Denuit, Michel ; Eeckhoudt, Louis ; Schlesinger, Harris. When Ross meets Bell: The linex utility function. In: Journal of Mathematical Economics, Vol. 49, no. 2, p. 177-182 (2013). doi:10.1016/j.jmateco.2013.01.006.
2013
Christiansen, Marcus C. ; Denuit, Michel. Worst-case actuarial calculations consistent with single- and multiple-decrement life tables. In: Insurance: Mathematics and Economics, Vol. 52, no. 1, p. 1-5 (2013). doi:10.1016/j.insmatheco.2012.10.002.
2012
Ledoux, Jean-Luc ; Denuit, Michel ; Beguin, Etienne ; Sterckx, Daniel. Capitalisation de l'usufruit éventuel: "Tables Ledoux". In: Revue du Notariat Belge, Vol. 3063, p. 330-339 (2012).
2012
Denuit, Michel ; Dhaene, Jan. Convex order and comonotonic conditional mean risk sharing. In: Insurance: Mathematics and Economics, Vol. 51, no.2, p. 265-270 (2012). doi:10.1016/j.insmatheco.2012.04.005.
2012
Lazar, Dorina ; Denuit, Michel. Multivariate Analysis of Premium Dynamics in P&L Insurance. In: Journal of Risk and Insurance, Vol. 79, no.2, p. 431-448 (2012). doi:10.1111/j.1539-6975.2011.01431.x.
2012
Lazar, Dorina ; Denuit, Michel. New evidence for underwriting cycles in US property-liability insurance. In: The Journal of Risk Finance, Vol. 13, no.1, p. 4-12 (2012). doi:10.1108/15265941211191903.
2012
Denuit, Michel. Special issue on Actuarial Statistics. In: A St A - Advances in Statistical Analysis, Vol. 96, no. 2, p. 123-125 (2012). doi:10.1007/s10182-012-0195-4.
2012
Christiansen, Marcus C. ; Denuit, Michel ; Lazar, Dorina. The Solvency II square-root formula for systematic biometric risk. In: Insurance: Mathematics and Economics, Vol. 50, no. 2, p. 257-265 (2012). doi:10.1016/j.insmatheco.2011.11.008.
2011
Denuit, Michel ; Eeckhoudt, Louis ; Menegatti, Mario. A note on subadditivity of zero-utility premiums. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 41, no. 1, p. 239-250 (2011). doi:10.2143/AST.41.1.2084393.
2011
Ledoux, Jean-Luc ; Denuit, Michel. Capitalisation de l'usufruit: tables Ledoux 2011. In: Revue du Notariat Belge, Vol. 3053, p. 370-384 (2011).
2011
Pigeon, Mathieu ; Denuit, Michel. Composite Lognormal-Pareto model with random threshold. In: Scandinavian Actuarial Journal, no. 3, p. 177-192 (2011). doi:10.1080/03461231003690754.
2011
Denuit, Michel ; Eeckhoudt, Louis ; Menegatti, Mario. Correlated risks, bivariate utility and optimal choices. In: Economic Theory, Vol. 46, no. 1, p. 39-54 (2011). doi:10.1007/s00199-009-0500.
2011
Denuit, Michel ; Mesfioui, Mhamed. Dispersive effect of cross-aging with archimedean copulas. In: Statistics & Probability Letters, Vol. 81, no. 9, p. 1407-1418 (2011). doi:10.1016/j.spl.2011.04.011.
2011
Denuit, Michel ; Haberman, Steven ; Renshaw, Arthur. Longevity-indexed life annuities. In: North American Actuarial Journal, , no. 15, p. 97-111 (2011).
2011
Trufin, Julien ; Albrecher, Hansjoerg ; Denuit, Michel. Properties of risk measures derived from ruin theory. In: The Geneva Risk and Insurance Review, Vol. 36, p. 174-188 (2011). doi:10.1057/grir.2010.10.
2011
Denuit, Michel. Review of Stochastic Orders by Moshe Shaked and J. George Shanthikumar. In: SIAM Review, Vol. 53, no.1, p. 187-189 (2011).
2011
Gschlössl, Susanne ; Schoenmaekers, Pascal ; Denuit, Michel. Risk classification in life insurance: Methodology and case study. In: European Actuarial Journal, Vol. 1, no. 1, p. 23-41 (2011). doi:10.1007/s13385-011-0028-y.
2011
Trufin, Julien ; Albrecher, Hansjörg ; Denuit, Michel. Ruin problems under IBNR dynamics. In: Applied Stochastic Models in Business and Industry, Vol. 27, no.6, p. 619-632 (2011). doi:10.1002/asmb.875.
2011
Boucher, Jean-Philippe ; Denuit, Michel ; Guillen, Montserrat. correlated random effects for hurdle models applied to claim counts. In: Variance : advancing the science of risk, Vol. 5, no.1, p. 68-79 (2011).
2010
Denuit, Michel ; Eeckhoudt, Louis. A General Index of Absolute Risk Attitude. In: Management Science, Vol. 56, no. 4, p. 712-715 (2010). doi:10.1287/mnsc.1090.1134.
2010
Denuit, Michel ; Eeckhoudt, Louis. Bivariate stochastic dominance and substitute risk-(in)dependent utilities. In: Decision Analysis, Vol. 7, no. 3, p. 303-312 (2010). doi:10.1287/deca.1100.0179.
2010
Denuit, Michel ; Haberman, S. ; Renshaw, A. E.. Comonotonic Approximations To Quantiles of Life Annuity Conditional Expected Present Values: Extensions To General Arima Models and Comparison With the Bootstrap. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 40, no. 1, p. 331-349 (2010). doi:10.2143/AST.40.1.2049232.
2010
Christiansen, Marcus ; Denuit, Michel. First-order mortality rates and safe-side actuarial calculations in life insurance. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 40, no. 2, p. 587-614 (2010). doi:10.2143/AST.40.2.2061129.
2010
Denuit, Michel ; Mesfioui, Mhamed. Generalized Increasing Convex and Directionally Convex Orders. In: Journal of Applied Probability, Vol. 47, no. 1, p. 264-276 (2010). doi:10.1239/jap/1269610830.
2010
Denuit, Michel ; Mesfioui, Mhamed. Generalized increasing convex and directionally convex orders. In: Journal of Applied Probability, Vol. 47, no. 1, p. 264-276 (2010).
2010
Denuit, Michel. Positive Dependence of Signals. In: Journal of Applied Probability, Vol. 47, no. 3, p. 893-897 (2010). doi:10.1239/jap/1285335417.
2010
Denuit, Michel ; Rey, Beatrice. Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes. In: Mathematical Social Sciences, Vol. 60, no. 2, p. 137-143 (2010). doi:10.1016/j.mathsocsci.2010.06.005.
2010
Eeckhoudt, Louis ; Denuit, Michel ; Rey, Béatrice. Some consequences of correlation aversion in decision science. In: Annals of Operations Research, Vol. 176, no. 1, p. 259-269 (Avril 2010). doi:10.1007/s10479-008-0446-7.
2010
Biffis, Enrico ; Denuit, Michel ; Devolder, Pierre. Stochastic mortality under measure changes. In: Scandinavian Actuarial Journal, Vol. 4, p. 284-311 (2010). doi:10.1080/03461230903331634.
2010
Denuit, Michel ; Eeckhoudt, Louis. Stronger measures of higher-order risk attitudes. In: Journal of Economic Theory, Vol. 145, no. 5, p. 2027-2036 (2010). doi:10.1016/j.jet.2010.03.005.
2009
Lazar, Dorina ; Denuit, Michel. A multivariate time series approach to projected life tables. In: Applied Stochastic Models in Business and Industry, Vol. 25, no. 6, p. 806-823 (2009). doi:10.1002/asmb.781.
2009
Denuit, Michel. An index for longevity risk transfer. In: Journal of Computational and Applied Mathematics, Vol. 230, no. 2, p. 411-417 (2009). doi:10.1016/j.cam.2008.12.012.
2009
Dhaene, Jan ; Denuit, Michel ; Vanduffel, Steven. Correlation order, merging and diversification. In: Insurance: Mathematics and Economics, Vol. 45, no. 3, p. 325-332 (2009). doi:10.1016/j.insmatheco.2009.07.007.
2009
Frostig, Esther ; Denuit, Michel. Dependence in failure times due to environmental factors. In: Statistics & Probability Letters, Vol. 79, no. 4, p. 487-495 (2009). doi:10.1016/j.spl.2008.09.023.
2009
Trufin, Julien ; Albrecher, Hansjörg ; Denuit, Michel. Impact of underwriting cycles on the solvency of an insurance company. In: North American Actuarial Journal, Vol. 13, no.3, p. 385-403 (2009). doi:10.1080/10920277.2009.10597564.
2009
Denuit, Michel. Life Anuities with Stochastic Survival Probabilities: A Review. In: Methodology and Computing in Applied Probability, Vol. 11, no. 3, p. 463-489 (2009). doi:10.1007/s11009-008-9076-4.
2009
Denuit, Michel ; Frostig, Esther. Life insurance mathematics with random life tables. In: North American Actuarial Journal, Vol. 13, p. 339-355 (2009). doi:10.1080/10920277.2009.10597560.
2009
Boucher, Jean-Philippe ; Denuit, Michel ; Guillen, Montserrat. Number of Accidents or Number of Claims ? An Approach with Zero-Inflated Poisson Models for Panel Data. In: Journal of Risk and Insurance, Vol. 76, no. 4, p. 821-846 (2009). doi:10.1111/j.1539-6975.2009.01321.x.
2009
Frostig, E. ; Denuit, Michel. Ruin probabilitities and optimal capital allocation for heterogeneous life annuity portfolios. In: Scandinavian Actuarial Journal, , no. 4, p. 295-305 (2009). doi:10.1080/03461230902753507.
2008
Denuit, Michel. Comonotonic approximations to quantiles of life annuity conditional expected present value. In: Insurance: Mathematics and Economics, Vol. 42, no. 2, p. 831-838 (2008). doi:10.1016/j.insmatheco.2007.09.006.
2008
Courtois, Cindy ; Denuit, Michel. Convex bounds on multiplicative processes, with applications to pricing in incomplete markets. In: Insurance: Mathematics and Economics, Vol. 42, no. 1, p. 95-100 (2008). doi:10.1016/j.insmatheco.2007.01.013.
2008
Boucher, Jean-Philippe ; Denuit, Michel. Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation. In: Insurance: Mathematics and Economics, Vol. 42, p. 727-735 (2008). doi:10.1016/j.insmatheco.2007.08.003.
2008
Denuit, Michel ; Frostig, Esther. First-Order Mortality Basis for Life Annuities. In: The Geneva Risk and Insurance Review, Vol. 33, no. 2, p. 75-89 (2008). doi:10.1057/grir.2008.9.
2008
Boucher, Jean-Philippe ; Guillén, Montserrat ; Denuit, Michel. Models for insurance claim count with time dependence based on generalisations of Poisson and Negative Binomial distributions. In: Variance : advancing the science of risk, Vol. 2, no. 1, p. 135-162 (2008).
2008
Courtois, Cindy ; Denuit, Michel. S-convex extremal distributions with arbitrary discrete support. In: Journal of Mathematical Inequalities, Vol. 2, no. 2, p. 197-214 (2008).
2008
Denuit, Michel. Weakness of the actuarial equivalence principle for personal injury and fatal accidents compensation. In: Pravartak (The Indian Journal of Insurance and Risk Management), Vol. 3, no. 2, p. 56-58 (2008).
2007
Denuit, Michel ; Scaillet, Olivier ; Goderniaux, Anne-Cécile. A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives. In: Technometrics, Vol. 49, no. 1, p. 88-99 (2007). doi:10.1198/004017006000000309.
2007
Denuit, Michel ; Frostig, E.. Association and heterogeneity of insured lifetimes in the Lee-Carter framework. In: Scandinavian Actuarial Journal, Vol. 1, p. 1-19 (2007). doi:10.1080/03461230601165029.
2007
Courtois, Cindy ; Denuit, Michel. Bounds on convex reliability functions with known first moments. In: European Journal of Operational Research, Vol. 177, p. 365-377 (2007). doi:10.1016/j.ejor.2005.08.026 .
2007
Denuit, Michel ; Ledoux, Jean-Luc. Capitalisation de l'usufruit: tables Ledoux. In: Revue du Notariat Belge, , no.3007, p. 174-187 (2007).
2007
Denuit, Michel ; Dhaene, Jan. Comonotonic bounds on the survival probabilities in the Lee-Carter model for mortality projections. In: Computational and Applied Mathematics, Vol. 203, p. 169-176 (2007). doi:10.1016/j.cam.2006.03.015.
2007
Denuit, Michel ; Frostig, E.. Comparison of dependence in factor models with application to credit risk portfolios. In: Probability in the Engineering and Informational Sciences, Vol. 22, p. 151-160 (2007). doi:10.1017/S0269964808000090.
2007
Boucher, Jean-Philippe ; Denuit, Michel. Crédibilité linéaire multivariée utilisant le nombre de périodes avec réclamations: modèles de Poisson,modèles à barrière et modèles gonflés à zéro. In: Assurances et Gestion des Risques, Vol. 75, p. 487-520 (2007).
2007
Denuit, Michel. Distribution of the random future life expectancies in log-bilinear mortality projection models. In: Lifetime Data Analysis : an international journal devoted to the methods and applications of reliability and survival analysis, Vol. 13, no. 3, p. 381-397 (2007). doi:10.1007/s10985-007-9040-6.
2007
Boucher, Jean-Philippe ; Denuit, Michel. Duration dependence models for claim counts. In: German Actuarial Bulletin, Vol. 28, p. 29-45 (2007). doi:10.1007/s11857-007-0003-5.
2007
Bolancé, Catalina ; Denuit, Michel ; Lambert, Philippe ; Guillén, Montserrat. Greatest accuracy credibility with dynamic heterogeneity: the Harvey-Fernandes model. In: Belgian Actuarial Bulletin, Vol. 7, no. 1, p. 14-18 (2007).
2007
Courtois, Cindy ; Denuit, Michel. Local moment matching and s-convex extrema. In: Astin Bulletin, Vol. 37, no. 2, p. 387-404 (2007). doi:10.2143/AST.37.2.2024073.
2007
Courtois, Cindy ; Denuit, Michel. Moment bounds on discrete expected stop-loss transforms, with applications. In: Methodology and Computing in Applied Probability, Vol. 11, p. 307-338 (2007). doi:10.1007/s11009-007-9048-0.
2007
Delwarde, Antoine ; Partrat, Ch. ; Denuit, Michel. Negative Binomial version of the Lee-Carter model for mortality forecasting. In: Applied Stochastic Models in Business and Industry, Vol. 23, p. 385-401 (2007). doi:10.1002/asmb.679.
2007
Courtois, Cindy ; Denuit, Michel. On immunization and s-convex extremal distributions. In: Annals of Actuarial Science, Vol. 2, no. 1, p. 67-90 (2007). doi:10.1017/S1748499500000269.
2007
Cossette, Hélène ; Delwarde, Antoine ; Denuit, Michel ; Guillot, Frédérick ; Marceau, Etienne. Pension plan valuation and dynamic mortality tables. In: North American Actuarial Journal, Vol. 11, no. 2, p. 1-34 (2007). doi:10.1080/10920277.2007.10597445.
2007
Delwarde, A. ; Denuit, Michel ; Devolder, Pierre ; Maréchal, Xavier. Prix de rentes: de la réglementation aux "fair value". In: Revue générale des assurances et des responsabilités, Vol. 8, p. 14295 (2007).
2007
Boucher, Jean-Philippe ; Guillén, Montserrat ; Denuit, Michel. Risk classification for claim counts: A comparative analysis of various zero-inflated mixed Poisson and hurdle models. In: North American Actuarial Journal, Vol. 11, no. 4, p. 110-131 (2007). doi:10.1080/10920277.2007.10597487.
2007
Denuit, Michel ; Goderniaux, Anne-Cécile ; Devolder, Pierre. Securitization of longevity risk: Pricing survivor bonds with Wang transform in the Lee-Carter framework. In: Journal of Risk and Insurance, Vol. 74, p. 87-113 (2007). doi:10.1111/j.1539-6975.2007.00203.x.
2007
Delwarde, Antoine ; Eilers, P.H.C. ; Denuit, Michel. Smoothing the Lee-Carter and Poisson log-bilinear models for mortality forecasting : a penalized log-likelihood approach. In: Statistical Modelling, Vol. 7, p. 29-48 (2007). doi:10.1177/1471082X0600700103.
2007
Denuit, Michel ; Frostig, Esther ; Levikson, Benny. Supermodular comparison of time-to-ruin random vectors. In: Methodology and Computing in Applied Probability, Vol. 9, no. 1, p. 41-54 (2007). doi:10.1007/s11009-006-9004-4.
2006
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. An actuarial analysis of the French bonus-malus system. In: Scandinavian Actuarial Journal, Vol. 5, p. 247-264 (2006). doi:10.1080/03461230600986136.
2006
Delwarde, Antoine ; Denuit, Michel ; Vidiella, A. ; Guillén, Montserrat. Application of the Poisson log-bilinear projection model to the G5 mortality experience. In: Belgian Actuarial Bulletin, Vol. 6, p. 54-68 (2006).
2006
Denuit, Michel ; Van Keilegom, Ingrid ; Purcaru, Oana. Bivariate Archimedean copula models for censored data in non-life insurance. In: Journal of Actuarial Practice, Vol. 13, p. 5-32 (2006).
2006
Denuit, Michel ; Mesfioui, Mahmed ; Genest, Christian. Calcul de bornes sur la prime en excédent de perte de fonctions de risques dépendants en présence d'information partielle sur leurs marges. In: Annales des Sciences Mathématiques du Québec, Vol. 30, p. 63-78 (2006).
2006
Delwarde, Antoine ; Denuit, Michel. Construction de tables de mortalité d'expérience. In: Monde de l'Assurance, Vol. 3, p. 22-27 (2006).
2006
Courtois, Cindy ; Van Bellegem, Sébastien ; Denuit, Michel. Discrete s-convex extremal distributions: theory and applications. In: Applied Mathematics Letters, Vol. 19, p. 1367-1377 (2006). doi:10.1016/j.aml.2006.02.006.
2006
Boucher, Jean-Philippe ; Denuit, Michel. Fixed versus random effects in Poisson regression models for claim counts: a case study with motor insurance. In: ASTIN Bulletin, Vol. 36, no. 1, p. 285-301 (2006). doi:10.2143/AST.36.1.2014153.
2006
Denuit, Michel ; Frostig, E.. Heterogeneity and the need for economic capital in the individual model. In: Scandinavian Actuarial Journal, p. 42-66 (2006).
2006
Pitrebois, Sandra ; Denuit, Michel ; Walhin, Jean-François. How to transfer policyholders from one bonus-malus scale to the other?. In: German Actuarial Bulletin, Vol. 27, p. 607-618 (2006). doi:10.1007/BF02809219.
2006
Magis, Corinne ; Walhin, Jean-François ; Denuit, Michel. La TPRV française: dépassée ?. In: Bulletin Français d'Actuariat, Vol. 6, p. 11-42 (2006).
2006
Magis, Corinne ; Walhin, Jean-François ; Denuit, Michel. La mortalité, un phénomène en pleine mutation: quelle solution pour le marché des rentes ?. In: Bulletin Français d'Actuariat, Vol. 6, p. 43-75 (2006).
2006
Biffis, E. ; Denuit, Michel. Lee-Carter goes risk-neutral: An application to the Italian annuity market. In: Giornale dell'Istituto Italiano degli Attuari, p. 33-53 (2006).
2006
Delwarde, Antoine ; Denuit, Michel ; Olie, L. ; Kachakhidze, D.. Modèles linéaires et additifs généralisés, maximum de vraisemblance local et méthodes relationnelles en assurance sur la vie. In: Bulletin Français d'Actuariat, p. 77-102 (2006).
2006
Frostig, E. ; Denuit, Michel. Monotonicity results for portfolios with heterogeneous claims arrival processes. In: Insurance: Mathematics and Economics, Vol. 38, p. 484-494 (2006). doi:10.1016/j.insmatheco.2005.11.007.
2006
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. Multi-event bonus-malus scales. In: Journal of Risk and Insurance, Vol. 73, p. 517-528 (2006). doi:10.1111/j.1539-6975.2006.00186.x.
2006
Denuit, Michel ; Laeven, Roger ; Kaas, Rob ; Goovaerts, Marc ; Dhaene, Jan. Risk measurement with the equivalent utility principles. In: Statistics and Decisions : an international mathematical journal for stochastic methods and models, Vol. 24, no. 1, p. 1-25 (2006). doi:10.1524/stnd.2006.24.1.1.
2006
Denuit, Michel ; Levikson, B. ; Frostig, E.. Shifts in interest rate and common cause model for coupled lives. In: Belgian Actuarial Bulletin, Vol. 6, p. 1-4 (2006).
2005
Czado, C. ; Denuit, Michel ; Delwarde, Antoine. Bayesian Poisson log-bilinear mortality projections. In: Insurance: Mathematics and Economics, no. 36, p. 260-284 (2005).
2005
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. Bonus-malus systems with varying deductibles. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 35, no. 1, p. 261-274 (2005). doi:10.2143/AST.35.1.583175.
2005
Brouhns, Natacha ; Van Keilegom, Ingrid ; Denuit, Michel. Bootstrapping the Poisson log-bilinear model for mortality projection. In: Scandinavian Actuarial Journal, Vol. 3, p. 212-224 (2005). doi:10.1080/03461230510009754.
2005
Denuit, Michel ; Goderniaux, Anne-Cécile. Closing and projecting lifetables using log-linear models. In: Bulletin of the Swiss Association of Actuaries, p. 29-49 (2005).
2005
Denuit, Michel ; Lambert, Philippe. Constraints on concordance measures in bivariate discrete data. In: Journal of Multivariate Analysis, Vol. 93, p. 40-57 (2005). doi:10.1016/j.jmva.2004.01.004.
2005
Denuit, Michel ; Walhin, Jean-François. La conversion en rente: le nouvel arrêté royal est entré en vigueur. In: Monde de l'Assurance, Vol. 8, p. 19-21 (2005).
2005
Walhin, Jean-François ; Denuit, Michel. On the pricing of Top and Drop Excess of loss covers. In: Journal of Actuarial Practice, Vol. 12, p. 137-156 (2005).
2005
Denuit, Michel. Quand la différenciation tarifaire est-elle techniquement justifiée?. In: Monde de l'Assurance, Dossier spécial, Vol. 1, p. 39661 (2005).
2005
Delwarde, Antoine ; Denuit, Michel. Sur les méthodes de conversion d'une rente en un capital. In: Revue générale des assurances et des responsabilités, Vol. 9, p. 39722 (2005).
2004
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. Bonus-malus scales in segmented tariffs : Gilde & Sundt's work revisited. In: Australian Actuarial Journal, p. 107-125 (2004).
2004
Purcaru Oana, Gabriela ; Denuit, Michel ; Guillén, Montserrat. Linear credibility models based on time series for claim counts. In: Belgian Actuarial Bulletin, no. 4, p. 62-74 (2004).
2004
Denuit, Michel ; Lang, S.. Nonlife ratemaking with Bayesian GAM's. In: Insurance: Mathematics and Economics, Vol. 35, p. 627-647 (2004). doi:10.1016/j.insmatheco.2004.08.001.
2004
Denuit, Michel ; Scaillet, Olivier. Nonparametric tests for positive quadrant dependence. In: Journal of Financial Econometrics, Vol. 2, no. 3, p. 422-450 (2004). doi:10.1093/jjfinec/nbh017.
2004
Cebrian Ana, Carmen ; Scaillet, Olivier ; Denuit, Michel. Testing for concordance ordering. In: ASTIN Bulletin, Vol. 34, p. 151-173 (2004).
2004
Magis, Corinne ; Walhin, Jean-François ; Denuit, Michel. Une proposition de tables prospectives pour le marché belge des rentes. In: Belgian Actuarial Bulletin, no. 4, p. 23-43 (2004).
2003
Brouhns, Natacha ; Denuit, Michel. Actuarial modelling of longitudinal claims data through GAMM's : some methodological results. In: German Actuarial Bulletin, Vol. 26, no. 1, p. 25-39 (2003). doi:10.1007/BF02808771.
2003
Cebrian Ana, Carmen ; Denuit, Michel ; Lambert, Philippe. Analysis of bivariate tail dependence using extreme value copulas: an application to the SOA medical large claims database. In: Belgian Actuarial Bulletin, Vol. 3, p. 33-41 (2003).
2003
Brouhns, Natacha ; Pinquet, Jean ; Denuit, Michel ; Guillén, Montserrat. Bonus-malus scales in segmented tariffs with stochastic migration between segments. In: Journal of Risk and Insurance, Vol. 70, p. 577-599 (2003). doi:10.1046/j.0022-4367.2003.00066.x.
2003
Purcaru Oana, Gabriela ; Denuit, Michel. Dependence in dynamic claim frequency credibility models. In: ASTIN Bulletin, Vol. 1, p. 23-40 (2003).
2003
Cebrian Ana, Carmen ; Lambert, Philippe ; Denuit, Michel. Determination of the PML: a case study in group medical insurance. In: North American Actuarial Journal, (2003).
2003
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. Echelles bonus-malus: Questions d'actualité (dossier spécial). In: Monde de l'Assurance, Vol. 324, p. 1-12 (2003).
2003
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. Fitting the Belgian Bonus-Malus System. In: Belgian Actuarial Bulletin, Vol. 3, p. 58-62 (2003).
2003
Cebrián Ana, Carmen ; Denuit, Michel ; Lambert, Philippe. Generalized Pareto Fit to the Society Of Actuaries Large Claims Database. In: North American Actuarial Journal, Vol. 7, no. 3, p. 18-36 (2003). doi:10.1080/10920277.2003.10596098.
2003
Delwarde, Antoine ; Denuit, Michel. Importance de la période d'observation et des âges considérés dans la projection de la mortalité selon la méthode de Lee-Carter. In: Belgian Actuarial Bulletin, Vol. 3, p. 1-21 (2003).
2003
Denuit, Michel ; Mesfioui, Mahmed ; Lefèvre, Claude. On spline approximation for bivariate functions of increasing convex type. In: Revue d'Analyse Numérique et de Théorie de l'Approximation, Vol. 32, p. 145-159 (2003).
2003
Denuit, Michel ; Picard, Ph. ; Lefèvre, Claude. Polynomial structures in order statistics distributions. In: Journal of Statistical Planning and Inference, Vol. 113, no. 1, p. 151-178 (2003). doi:10.1016/S0378-3758(01)00292-0.
2003
Pitrebois, Sandra ; Walhin, Jean-François ; Denuit, Michel. Setting a bonus-malus scale in the presence of other rating factors: Taylor's work revisited. In: Astin Bulletin, Vol. 33, p. 419-436 (2003). doi:10.2143/AST.33.2.503701.
2003
Denuit, Michel ; Dhaene, Jan. Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. In: Belgian Actuarial Bulletin, Vol. 3, p. 22-27 (2003).
2003
Denuit, Michel ; Walhin, Jean-François ; Pitrebois, Sandra. Tarification automobile sur données de panel. In: Bulletin of the Swiss Association of Actuaries, p. 51-81 (2003).
2002
Brouhns, Natacha ; Denuit, Michel ; Vermunt, Jeroen K.. A Poisson log-bilinear approach to the construction of projected lifetables. In: Insurance: Mathematics and Economics, , no. 31, p. 373-393 (2002). doi:10.1016/S0167-6687(02)00185-3.
2002
Kaas, R. ; Denuit, Michel ; Goovaerts M., J. ; Vyncke, D. ; Dhaene, Jan. A simple geometric proof that comonotonic risks have the convex largest sum. In: ASTIN Bulletin, Vol. 32, no. 1, p. 71-80 (2002). doi:10.2143/AST.32.1.1015.
2002
Brouhns, Natacha ; Delfosse, Philippe ; Delwarde, Antoine ; Denuit, Michel. Assurances de groupes ou fonds de pension. Liquidation en rentes: oui, mais à quel prix ?. In: le monde de l'assurance, Vol. 319, p. 25-28 (2002).
2002
Brouhns, Natacha ; Denuit, Michel ; Delwarde, Antoine ; Delfosse, Pascale. Assurances de groupes ou fonds de pension.Liquidation en rentes: oui, mais à quel prix?. In: Monde de l'Assurance, Vol. 319, p. 25-28 (2002).
2002
Denuit, Michel ; Marceau, Etienne ; Genest, Christian. Criteria for the stochastic ordering of random sums, with actuarial applications. In: Scandinavian Actuarial Journal, Vol. 1, p. 3-16 (2002).
2002
Cossette, Hélène ; Denuit, Michel ; Marceau, Etienne. Distributional bounds for functions of dependent risks. In: Bulletin of the Swiss Association of Actuaries, Vol. 1, p. 45-65 (2002).
2002
Cossette, Hélène ; Denuit, Michel ; Marceau, Etienne. Distributional bounds for functions of dependent risks. In: Bulletin of the Swiss Association of Actuaries, Vol. 1, p. 45-65 (2002).
2002
Pitrebois, Sandra ; Denuit, Michel ; Walhin, Jean-François ; De Longueville, Philippe. Etude de techniques IBNR modernes. In: Actu-L, Vol. 2, p. 29-62 (2002).
2002
Denuit, Michel ; Lefèvre, Claude ; Utev, Sergei. Measuring the impact of dependence between claims occurrences. In: Insurance: Mathematics and Economics, Vol. 30, no. 1, p. 1-19 (2002). doi:10.1016/S0167-6687(01)00088-9.
2002
Brouhns, Natacha ; Denuit, Michel ; Vermunt, J.. Measuring the longevity risk in mortality projections. In: Bulletin of the Swiss Association of Actuaries, Vol. 2, p. 105-130 (2002).
2002
Brouhns, Natacha ; Denuit, Michel ; Vermunt, J.. Measuring the longevity risk in mortality projections. In: Bulletin of the Swiss Association of Actuaries, Vol. 2, p. 105-130 (2002).
2002
Purcaru, Oana ; Denuit, Michel. On the dependence induced by frequency credibility models. In: Belgian Actuarial Bulletin, Vol. 2, no. 1, p. 73-79 (2002).
2002
Purcaru Oana, Gabriela ; Denuit, Michel. On the dependence induced by frequency credibility models. In: Belgian Actuarial Bulletin, Vol. 2, p. 73-79 (2002).
2002
Purcaru, Oana ; Denuit, Michel. On the stochastic increasingness of future claims in the Bühlmann linear credibility premium. In: Blätter der DGVFM, Vol. 25, no. 4, p. 781-793 (2002). doi:10.1007/BF02809115.
2002
Purcaru Oana, Gabriela ; Denuit, Michel. On the stochastic increasingness of future claims in the Bühlmann linear credibility premium. In: German Actuarial Bulletin, Vol. 25, p. 781-793 (2002).
2002
Brouhns, Natacha ; Denuit, Michel ; Verrall, Richard ; Masuy, Bernard. Ratemaking by geographical area in the Boskov and Verrall model: a case study using Belgian car insurance data. In: Actu-L, Vol. 2, p. 3-28 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Rentes viagères : des bases réglementaires totalement dépassées. In: Monde de l'Assurance, Vol. 304, p. 18-21 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Rentes viagères: des bases réglementaires totalement dépassées. In: Monde de l'Assurance, Vol. 304, p. 18-21 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Risque de longévité et rentes viagères - 1. Evolution de la mortalité en Belgique de 1880 à nos jours. In: Belgian Actuarial Bulletin, Vol. 2, no. 1, p. 26-48 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Risque de longévité et rentes viagères - 2. Tables de mortalité prospectives pour la population belge. In: Belgian Actuarial Bulletin, Vol. 2, no. 1, p. 49-63 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Risque de longévité et rentes viagères - 3. Elaboration de tables de mortalité prospectives pour la population assurée belge, et évaluation du coût de l'antisélection. In: Belgian Actuarial Bulletin, Vol. 2, no. 1, p. 64-72 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Risque de longévité et rentes viagères. I. Evolution de la mortalité en Belgique de 1880 à nos jours. In: Belgian Actuarial Bulletin, Vol. 2, p. 26-48 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Risque de longévité et rentes viagères. II. Tables de mortalité prospectives pour la population belge. In: Belgian Actuarial Bulletin, Vol. 2, p. 49-63 (2002).
2002
Brouhns, Natacha ; Denuit, Michel. Risque de longévité et rentes viagères. III. Elaboration de tables de mortalité prospectives pour la population assurée belge, et évaluation du coût de l'antisélection. In: Belgian Actuarial Bulletin, Vol. 2, p. 64-72 (2002).
2002
Denuit, Michel. S-convex extrema,Taylor-type expansions and stochastic approximations. In: Scandinavian Actuarial Journal, Vol. 1, p. 45-67 (2002).
2002
Denuit, Michel ; Müller, A.. Smooth generators of integral stochastic orders. In: Annals of Applied Probability, Vol. 12, p. 1174-1184 (2002).
2002
Dhaene, Jan ; Denuit, Michel ; Goovaerts, M. J. ; Kaas, R. ; Vyncke, D.. The concept of comonotonicity in actuarial science and finance: applications. In: Insurance: Mathematics and Economics, Vol. 31, no. 2, p. 133-161 (2002). doi:10.1016/S0167-6687(02)00135-X.
2002
Dhaene, Jan ; Denuit, Michel ; Vyncke, D. ; Kaas, R. ; Goovaerts M., J.. The concept of comonotonicity in actuarial science and finance: applications. In: Insurance: Mathematics and Economics, Vol. 31, p. 133-161 (2002).
2002
Dhaene, Jan ; Denuit, Michel ; Vyncke, D. ; Kaas, R. ; Goovaerts M., J.. The concept of comonotonicity in actuarial science and finance: theory. In: Insurance: Mathematics and Economics, Vol. 31, p. 3-33 (2002).
2002
Dhaene, Jan ; Denuit, Michel ; Goovaerts, M. J. ; Kaas, R. ; Vyncke, D.. The concept of comonotonicity in actuarial science and finance: theory. In: Insurance: Mathematics and Economics, Vol. 31, no. 1, p. 3-33 (2002). doi:10.1016/S0167-6687(02)00134-8.
2001
Denuit, Michel ; Genest, Christian. An extension of Osuna's model for stress caused by waiting. In: Journal of mathematical psychology, Vol. 45, no. 1, p. 115-130 (2001). doi:10.1006/jmps.1999.1297.
2001
Denuit, Michel ; Dhaene, Jan. Bonus-Malus scales using exponential loss functions. In: German Actuarial Bulletin, Vol. 25, p. 13-27 (2001). doi:10.1007/BF02857113.
2001
Denuit, Michel ; Ribas, C. ; Dhaene, Jan. Does positive dependence between individual risks increase stop-loss premiums. In: Insurance: Mathematics and Economics, Vol. 28, p. 305-308 (2001). doi:10.1016/S0167-6687(00)00079-2.
2001
Bermudez, Lluis ; Denuit, Michel ; Dhaene, Jan. Exponential bonus-malus systems integrating a priori risk classification. In: Journal of Actuarial Practice, Vol. 9, p. 84-112 (2001).
2001
Bermudez, Lluis ; Denuit, Michel ; Dhaene, Jan. Exponential bonus-malus systems integrating a priori risk classification. In: Journal of Actuarial Practice, Vol. 9, p. 84-112 (2001).
2001
Denuit, Michel. Laplace transform ordering of actuarial quantities. In: Insurance: Mathematics and Economics, Vol. 29, p. 83-102 (2001). doi:10.1016/S0167-6687(01)00075-0.
2001
Denuit, Michel ; Teghem, Stéphanie ; Le Bailly de Tilleghem, Céline ; Dhaene, Jan. Measuring the impact of a dependence among insured lifelengths. In: Belgian Actuarial Bulletin, Vol. 1, p. 18-39 (2001).
2001
Denuit, Michel ; Walhin, Jean-François ; Pitrebois, Sandra. Méthodes de construction de systèmes bonus-malus en RC auto. In: Actu-L, Vol. 1, p. 7-38 (2001).
2001
Denuit, Michel ; Scarsini, Marco ; Lefèvre, Claude. On s-convexity and risk aversion. In: Theory and Decision : an international journal for multidisciplinary advances in decision sciences, Vol. 50, no. 3, p. 239-248 (2001). doi:10.1023/A:1010336203373.
2001
Denuit, Michel ; Van Bellegem, Sébastien. On the stop-loss and total variation distances between random sums. In: Statistics and Probability Letters, Vol. 53, p. 153-165 (2001). doi:10.1016/S0167-7152(01)00067-0.
2001
Denuit, Michel ; Lambert, Philippe. Smoothed NPML estimation of the risk distribution underlying Bonus-Malus systems. In: Proceedings of the Casualty Actuarial Society, Vol. 88, no. 198/169, p. 142-174 (2001).
2001
Cossette, Hélène ; Denuit, Michel ; Dhaene, J. ; Marceau, Etienne. Stochastic approximations for present value functions. In: Bulletin of the Swiss Association of Actuaries, Vol. 1, p. 15-28 (2001).
2001
Cossette, Hélène ; Denuit, Michel ; Marceau, Etienne ; Dhaene, Jan. Stochastic approximations for present value functions. In: Bulletin of the Swiss Association of Actuaries, Vol. 1, p. 15-28 (2001).
2000
Cossette, Hélène ; Denuit, Michel ; Marceau, Etienne. Impact of dependence among multiple claims in a single loss. In: Insurance: Mathematics and Economics, Vol. 26, p. 213-222 (2000). doi:10.1016/S0167-6687(99)00054-2.
2000
Cossette, Hélène ; Denuit, Michel ; Marceau, Etienne. Impact of dependence among multiple claims in a single loss. In: Insurance: Mathematics and Economics, Vol. 26, p. 213-222 (2000).
2000
Denuit, Michel ; Lefèvre, Claude ; Shaked, Moshe. On s-convex approximations. In: Advances in Applied Probability, Vol. 32, no. 4, p. 994-1010 (2000). doi:10.1239/aap/1013540344.
2000
Denuit, Michel ; Shaked, Moshe ; Lefèvre, C.. On the theory of high convexity stochastic orders. In: Statistics and Probability Letters, Vol. 47, p. 287-293 (2000). doi:10.1016/S0167-7152(99)00166-2.
2000
Denuit, Michel. Stochastic analysis of duplicates in life insurance portofolios. In: German Actuarial Bulletin, Vol. 24, p. 507-514 (2000). doi:10.1007/BF02808841.
2000
Denuit, Michel ; Shaked, Moshe ; Lefèvre, Claude. Stochastic convexity of the poisson mixture model with applications in actuarial sciences. In: Methodology and Computing in Applied Probability, Vol. 2, p. 231-254 (2000). doi:10.1023/A:1010054211652.
2000
Denuit, Michel. Time stochastic s-convexity of claim processes. In: Insurance: Mathematics and Economics, Vol. 26, no. 2-3, p. 203-211 (2000). doi:10.1016/S0167-6687(99)00049-9.
1999
Denuit, Michel ; Lefèvre, Claude ; Mesfioui, Mahmed. A class of bivariate stochastic orderings with applications in actuarial sciences. In: Insurance: Mathematics and Economics, Vol. 24, no. 1-2, p. 31-50 (1999). doi:10.1016/S0167-6687(98)00036-5.
1999
Denuit, Michel. Bases techniques de l'assurance-vie individuelle en Belgique. In: Revue générale des assurances et des responsabilités, Vol. 72, no. 4, p. 13078/1-13078/11 (1999).
1999
Denuit, Michel. Discussion of "bounds for actuarial present values under the fractional independence age assumption" by Werner Hürlimann. In: North American Actuarial Journal, Vol. 3, p. 76-79 (1999).
1999
Denuit, Michel ; De Vylder, Etienne ; Lefèvre, Claude. Extremal generators and extremal distributions for the continuous s-convex stochastic orderings. In: Insurance: Mathematics and Economics, Vol. 24, no. 3, p. 201-217 (1999). doi:10.1016/S0167-6687(98)00053-5.
1999
Denuit, Michel ; Lefèvre, Claude ; Utev, Sergey. Generalized stochastic convexity and stochastic ordering of mixtures. In: Probability in the Engineering and Informational Sciences, Vol. 13, no. 3, p. 275-291 (1999). doi:10.1017/S0269964899133023.
1999
Denuit, Michel ; Vermandele, Catherine. Lorenz and excess-wealth orders, with applications in reinsurance theory. In: Scandinavian Actuarial Journal, no. 2, p. 170-185 (1999). doi:10.1080/03461239950132642.
1999
Denuit, Michel ; Lefèvre, Claude ; Mesfioui, Mahmed. On s-convex stochastic extrema for arithmetic risks. In: Insurance: Mathematics and Economics, Vol. 25, p. 143-155 (1999). doi:10.1016/S0167-6687(99)00030-X.
1999
Denuit, Michel ; Cornet, A.. Premium calculation with dependent time-until-death random variables : the widow's pension. In: Journal of Actuarial Practice, Vol. 7, p. 147-180 (1999).
1999
Denuit, Michel ; Genest, Christian ; Marceau, Etienne. Stochastic bounds on sums of dependent risks. In: Insurance: Mathematics and Economics, Vol. 25, no. 1, p. 85-104 (1999). doi:10.1016/S0167-6687(99)00027-X.
1999
Denuit, Michel ; Lefèvre, Claude ; Mesfioui, Mahmed. Stochastic orderings of convex-type for discrete bivariate risks. In: Scandinavian Actuarial Journal, Vol. 1999, no. 1, p. 32-51 (1999). doi:10.1080/03461230050131867.
1999
Denuit, Michel ; Lefèvre, Claude ; Utev, Sergey. Stochastic orderings of convex/concave-type on an arbitrary grid. In: Mathematics of operations research, Vol. 24, no. 4, p. 835-846 (1999). doi:10.1287/moor.24.4.835.
1999
Denuit, Michel ; Cornet, A.. Sur la hauteur du chargement implicite contenu dans l'hypothèse d'indépendance : l'assurance "solde restant dû". In: Bulletin of the Swiss Association of Actuaries, Vol. 1, p. 65-80 (1999).
1999
Denuit, Michel ; Dhaene, Jan ; Van Wouwe, M.. The economics of insurance : a review and some recent developments. In: Bulletin of the Swiss Association of Actuaries, Vol. 2, p. 137-175 (1999).
1999
Denuit, Michel. The exponential premium calculation principle revisited. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 29, no. 2, p. 215-226 (1999). doi:10.2143/AST.29.2.504612.
1999
Denuit, Michel ; Dhaene, Jan. The safest dependence structure among risks. In: Insurance: Mathematics and Economics, Vol. 25, no. 1, p. 11-21 (1999). doi:10.1016/S0167-6687(99)00009-8.
1999
Bassan, B. ; Denuit, Michel ; Scarsini, Marco. Variability orders and mean differences. In: Statistics & Probability Letters, Vol. 45, no. 2, p. 121-130 (1999). doi:10.1016/S0167-7152(99)00050-4.
1998
Denuit, Michel ; Vermandele, C.. Optimal reinsurance and stop-loss order. In: Insurance: Mathematics and Economics, , no. 22, p. 229-233 (1998). doi:10.1016/S0167-6687(97)00039-5.
1998
Denuit, Michel ; Lefèvre, C. ; Shaked, Moshe. The s-convex orders among real random variables, with applications. In: Mathematical Inequalities and Applications, Vol. 1, no. 4, p. 585-613 (1998).
1997
Denuit, Michel. A new distribution of Poisson-type for the number of claims. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 27, no. 2, p. 229-242 (1997). doi:10.2143/AST.27.2.542049.
1997
Denuit, Michel ; Lefèvre, Claude. Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences. In: Insurance: Mathematics and Economics, Vol. 20, no. 3, p. 197-213 (1997). doi:10.1016/S0167-6687(97)00010-3.
1997
Denuit, Michel ; Lefèvre, C.. Stochastic product orderings, with applications in actuarial sciences. In: Bulletin Français d'Actuariat, Vol. 1, p. 61-82 (1997).
2020
Denuit, Michel ; Hainaut, Donatien ; Trufin, Julien. Effective Statistical Learning Methods for Actuaries II : Tree-Based Methods and Extensions, Springer Actuarial (Springer Actuarial Lecture Notes; http://www.springer.com/series/15682), Springer Nature Switzerland AG: Cham, Switzerland, 2020. 9783030575557. 228 p. doi:10.1007/978-3-030-57556-4.
2019
Denuit, Michel ; Hainaut, Donatien ; Trufin, Julien. Effective Statistical Learning Methods for Actuaries I : GLMs and Extensions, Springer Actuarial (Springer Actuarial), Springer: Springer Nature Switzerland AG 2019, 2019. 9783030258191 ; 9783030258207. 441 p. doi:10.1007/978-3-030-25820-7.
2019
Denuit, Michel ; Hainaut, Donatien ; Trufin, Julien. Effective Statistical Learning Methods for Actuaries III : Neural Networks and Extensions, Springer Actuarial (Springer Actuarial), Springer: Springer Nature Switzerland AG 2019, 2019. 9783030258269 ; 9783030258276. 250 p. doi:10.1007/978-3-030-25827-6.
2009
Denuit, Michel ; Pitacco, E. ; Haberman, S. ; Olivieri, A.. Modelling Longevity Dynamics for Pensions and Annuity Business, Oxford University Press, 2009. 978-0-19-954727-2. 416 p.
2008
Kaas, R. ; Goovaerts, M. ; Dhaene, J. ; Denuit, Michel. Modern actuarial risk theory using R, 2nd ed., Springer: Berlin, 2008. 9783540709923. 381 p.
2007
Denuit, Michel ; Walhin, Jean-François ; Pitrebois, Sandra ; Maréchal, Xavier. Actuarial Modelling of Claim Counts: Risk Classification, Credibility and Bonus-Malus Systems, Wiley: New York, 2007. 978-0-470-02677-9. 356 p.
2007
Denuit, Michel ; Robert, Christian. Actuariat des Assurances de Personnes:Modélisation, Tarification et Provisionnement (Collection Audit-Actuariat-Assurance), Economica: Paris, 2007. 978-2-7178-5329-2. 405 p.
2005
Denuit, Michel ; Kaas, Rob ; Goovaerts Marc ; Dhaene, Jan. Actuarial theory for dependent risks: measures, orders and models, Wiley: New York, 2005. 9780470014929. 440 p.
2005
Delwarde, Antoine ; Denuit, Michel. Construction de tables de mortalité périodiques et prospectives (Audit-Actuariat-Assurance), Economica: Paris, 2005. 2717850546. 428 p.
2005
Denuit, Michel ; Charpentier, Arthur. Mathématiques de l'Assurance Non-Vie. Tome II: Tarification et Provisionnement (Economie et Statistique Avancées), Economica: Paris, 2005. 978-2717848601. 596 p.
2004
Denuit, Michel ; Charpentier, Arthur. Mathématiques de l'Assurance Non-Vie. Tome I: Principes Fondamentaux de Théorie du Risque, préf. Bébéar, Claude (Economie et Statistique Avancées), Economica: Paris, 2004. 978-2717848540. 464 p.
2002
Dhaene, Jan ; Denuit, Michel ; Goovaerts M., J. ; Wolthuis, Henk. Risk and savings contracts. Proccedings of the International Congress of Actuaries 2002, 2002.
2001
Kaas, R. ; Denuit, Michel ; Dhaene, Jan ; Goovaerts M., J.. Modern Actuarial Risk Theory, Kluwer Academic Publisher: Dordrecht, 2001.
2001
Kaas, R. ; Goovaerts, M. J. ; Dhaene, Jan ; Denuit, Michel. Modern Actuarial Risk Theory, Kluwer Academic Publisher: Boston, 2001. 0-7923-7636-6. n/a p.
2019
Denuit, Michel ; Lucas, Nathalie ; Pitacco, Ermanno. Pricing and Reserving in LTC Insurance. In: Dupourque, Etienne, Planchet, Frédéric, Sator, Nefissa (Eds.), Actuarial Aspects of Long Term Care (Springer Actuarial book series (SPACT); 2019), Springer Nature Switzerland AG: (Switzerland) Basel, 2019, p. 129-158. 9783030056599. doi:10.1007/978-3-030-05660-5_5.
2013
Denuit, Michel ; Eeckhoudt, Louis ; Tsetlin, Ilia ; Winkler, Robert. Multivariate Concave and Convex Stochastic Dominance. In: Francesca Biagini, Andreas Richter, Harris Schlesinger, Risk Measures and Attitudes (European Actuarial Academy Series), springer-Verlag: London, 2013, 11-32. 978-1-4471-4925-5. doi:10.1007/978-1-4471-4926-2.
2008
Boucher, Jean-Philippe ; Guillén, Montserrat ; Denuit, Michel. Modelling of insurance claim count with hurdle distribution for panel data. In: ed. by B.C. Arnold, e.a., Advances in Mathematical and Statistical Modeling (Statistics for Industry and Technology), Birkhäuser, 2008, p. 45-59. 978-0-8176-4625-7.
2004
Denuit, Michel ; Müller, A.. Convexity. In: Encyclopedia of Actuarial Science, Wiley, 2004, 362-364.
2004
Denuit, Michel ; Dhaene, Jan. Dependent risks. In: Encyclopedia of Actuarial Science, Wiley, 2004, 464-471.
2004
Denuit, Michel ; Müller, A.. Stochastic orderings. In: Encyclopedia of Actuarial Science, Wiley, 2004, 1606-1610.
2002
Brouhns, Natacha ; Denuit, Michel ; Delwarde, Antoine. Méthodes d'élaboration des tables de mortalité prospectives, ou comment tarifer des rentes viagères lorsque la mortalité évolue. Université Catholique de Louvain, 2002.
2001
Denuit, Michel ; Lefèvre, Claude. Stochastic s-(increasing) convexity. In: ed. by Nicolas Hadjisavvas, e.a., Generalized Convexity and Generalized Monotonicity : proceedings of the 6th International Symposium on Generalized convexity/monotonicity, Samos, September 1999 (Lecture Notes in Economics and Mathematical Systems; 502), Springer: Berlin, 2001, p. 167-182. 978-3-540-41806-1.