Donatien Hainaut

Ketelbuters, John John ; Hainaut, Donatien. A Recursive Method for Fractional Hawkes Intensities and the Potential Approach of Credit Risk. In: Journal of Computational and Applied Mathematics, (2024) (Accepté/Sous presse).

http://hdl.handle.net/2078.1/286211

Hainaut, Donatien. A mutually exciting rough jump-diffusion for financial modelling. In: Fractional Calculus and Applied Analysis, Vol. 27, no. 1, p. 319-352 (2024). doi:10.1007/s13540-023-00234-4.

http://hdl.handle.net/2078.1/283639

Leunga Njike, Charles Guy ; Hainaut, Donatien. Affine Heston model style with self-exciting jumps and long memory. In: Annals of Finance, (2024). doi:10.1007/s10436-023-00436-z (Accepté/Sous presse).

http://hdl.handle.net/2078.1/283637

Dupret, Jean-Loup ; Barbarin, Jérôme ; Hainaut, Donatien. Impact of rough stochastic volatility models on long-term life insurance pricing. In: European Actuarial Journal, Vol. 13, no. 1, p. 235-275 (2023). doi:10.1007/s13385-022-00317-1.

http://hdl.handle.net/2078.1/263669

Hainaut, Donatien. Pricing of spread and exchange options in a rough jump–diffusion market. In: Journal of Computational and Applied Mathematics, Vol. 149, p. 114752 (2023). doi:10.1016/j.cam.2022.114752.

http://hdl.handle.net/2078.1/265606

Ketelbuters, John John ; Hainaut, Donatien. CDS pricing with fractional Hawkes processes. In: European Journal of Operational Research, Vol. 297, no.3, p. 1139-1150 (2022). doi:10.1016/j.ejor.2021.06.045.

http://hdl.handle.net/2078.1/257590

Hainaut, Donatien. Lévy Interest Rate Models with a Long Memory. In: Risks, Vol. 10, no.1, p. 2 (2022). doi:10.3390/risks10010002.

http://hdl.handle.net/2078.1/257588

Hainaut, Donatien. Multivariate claim processes with rough intensities: properties and estimation. In: Insurance: Mathematics and Economics, Vol. 107, no.n/a/, p. 269-287 (2022). doi:10.1016/j.insmatheco.2022.08.010.

http://hdl.handle.net/2078.1/265607

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.

http://hdl.handle.net/2078.1/266705

Ketelbuters, John John ; Hainaut, Donatien. Time-consistent evaluation of credit risk with contagion. In: Journal of Computational and Applied Mathematics, Vol. 403, p. 113848 (2022). doi:10.1016/j.cam.2021.113848.

http://hdl.handle.net/2078.1/252036

Njike Leunga, Charles Guy ; Hainaut, Donatien. Valuation of Annuity Guarantees under a Self-Exciting Switching Jump Model. In: Methodology and Computing in Applied Probability, Vol. 24, p. 963–990 (2022).

http://hdl.handle.net/2078.1/257592

Hainaut, Donatien. A fractional multi-states model for insurance. In: Insurance: Mathematics and Economics, Vol. 98, p. 120-132 (2021). doi:10.1016/j.insmatheco.2021.02.004.

http://hdl.handle.net/2078.1/245446

Hainaut, Donatien. An Actuarial Approach for Modeling Pandemic Risk. In: Risks, Vol. 9, no. 1 (2021). doi:10.3390/risks9010003.

http://hdl.handle.net/2078.1/243707

Hainaut, Donatien. Moment generating function of non-Markov self-excited claims processes. In: Insurance: Mathematics and Economics, Vol. 101, no. Part B, p. 406-424 (2021). doi:10.1016/j.insmatheco.2021.08.013.

http://hdl.handle.net/2078.1/252037

Hainaut, Donatien ; Leonenko, Nikolai. Option pricing in illiquid markets: a fractional jump-diffusion approach. In: Journal of computational and applied mathematics, Vol. 381, p. 112995 (2021). doi:10.1016/j.cam.2020.112995.

http://hdl.handle.net/2078.1/227948

Dupret, Jean-Loup ; Hainaut, Donatien. Portfolio insurance under rough volatility and Volterra processes. In: International Journal of Theoretical and Applied Finance, Vol. 24, no. 6-7, p. 2150036 (2021). doi:10.1142/S0219024921500369.

http://hdl.handle.net/2078.1/254079

Hainaut, Donatien. Fractional Hawkes processes. In: Physica A: Statistical Mechanics and its Applications, Vol. 549 (1 July 2020).

http://hdl.handle.net/2078.1/219096

Njike Leunga, Charles Guy ; Hainaut, Donatien. Interbank credit risk modelling with self-exciting jump processes. In: International Journal of Theoretical and Applied Finance, Vol. 23, no.6, p. 2050039 (2020). doi:10.1142/s0219024920500399.

http://hdl.handle.net/2078.1/238375

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.

http://hdl.handle.net/2078.1/230890

Hainaut, Donatien ; Deelstra, Griselda. A Self-Exciting Switching Jump Diffusion: properties, calibration and hitting time.. In: Quantitative Finance, Vol. 19, no. 3, p. 407-426 (2019). doi:10.1080/14697688.2018.1501511.

http://hdl.handle.net/2078.1/201555

Hainaut, Donatien. A self-organizing predictive map for non-life insurance. In: European Actuarial Journal, Vol. 9, p. 173-207 (2019).

http://hdl.handle.net/2078.1/207819

Hainaut, Donatien ; Goutte, Stéphane. A switching microstructure model for stock prices. In: Mathematics and Financial Economics, Vol. 13, no. 3, p. 459-490 (2019). doi:10.1007/s11579-018-00234-6.

http://hdl.handle.net/2078.1/208804

Hainaut, Donatien ; Moraux, Franck. A switching self-exciting jump diffusion process for stock prices. In: Annals of Finance, Vol. 15, no. 2, p. 267-306 (2019). doi:10.1007/s10436-018-0340-5.

http://hdl.handle.net/2078.1/204024

Hainaut, Donatien. Hedging of crop harvest with derivatives on temperature. In: Insurance: Mathematics and Economics, Vol. 84, p. 98-114 (2019). doi:10.1016/j.insmatheco.2018.09.011.

http://hdl.handle.net/2078.1/203984

Hainaut, Donatien ; Deelstra, Griselda. A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices. In: Methodology and Computing in Applied Probability, Vol. 21, no. 4, p. 1337-1375 (2019). doi:10.1007/s11009-018-9678-4.

http://hdl.handle.net/2078.1/203985

Hainaut, Donatien. A Neural-Network Analyzer for Mortality Forecast. In: ASTIN Bulletin, Vol. 48, no. 2, p. 481-508 (2018). doi:10.1017/asb.2017.45.

http://hdl.handle.net/2078.1/196618

Hainaut, Donatien. Calendar spread exchange options pricing with Gaussian random fields. In: Risks, Vol. 6, no. 3, p. 77 (2018). doi:10.3390/risks6030077.

http://hdl.handle.net/2078.1/201554

Hainaut, Donatien ; Moraux, Franck. Hedging of options in presence of jump clustering. In: The Journal of Computational Finance, Vol. 22, no. 3, p. 1-35 (2018).

http://hdl.handle.net/2078.1/185480

Hainaut, Donatien ; Devolder, Pierre ; Pelsser, Antoon. Robust evaluation of SCR for participating life insurances under Solvency II. In: Insurance: Mathematics and Economics, Vol. 79, p. 107-123 (2018). doi:10.1016/j.insmatheco.2017.11.009.

http://hdl.handle.net/2078.1/196615

Hainaut, Donatien. Clustered Lévy processes and their financial applications. In: Journal of Computational and Applied Mathematics, Vol. 319, p. 117-140 (2017). doi:10.1016/j.cam.2016.12.040.

http://hdl.handle.net/2078.1/185266

Hainaut, Donatien. Contagion modeling between the financial and insurance markets with time changed processes. In: Insurance: Mathematics and Economics, Vol. 74, p. 63-77 (2017). doi:10.1016/j.insmatheco.2017.02.011.

http://hdl.handle.net/2078.1/185265

Hainaut, Donatien. Continuous Mixed-Laplace Jump Diffusion Models for Stocks and Commodities. In: Quantitative Finance and Economics, Vol. 1, no. 2, p. 145-173 (2017). doi:10.3934/QFE.2017.2.145.

http://hdl.handle.net/2078.1/188684

Hainaut, Donatien. A bivariate Hawkes process for interest rate modeling. In: Economic Modelling, Vol. 57, no.0, p. 180-196 (2016). doi:10.1016/j.econmod.2016.04.016.

http://hdl.handle.net/2078/185380

Hainaut, Donatien. A model for interest rates with clustering effects. In: Quantitative Finance, Vol. 16, no.8, p. 1203-1218 (2016). doi:10.1080/14697688.2015.1135251.

http://hdl.handle.net/2078/185381

Hainaut, Donatien ; Shen, Yang ; Zeng, Yan. How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. In: Annals of Operations Research, Vol. 2015, no.61, p. 276-285 (2016). doi:10.1016/j.insmatheco.2015.01.011.

http://hdl.handle.net/2078/185382

Hainaut, Donatien. Impact of volatility clustering on equity indexed annuities. In: Insurance: Mathematics and Economics, Vol. 71, no.0, p. 367-381 (2016). doi:10.1016/j.insmatheco.2016.10.009.

http://hdl.handle.net/2078.1/179342

Hainaut, Donatien ; Colwell, David B.. A structural model for credit risk with switching processes and synchronous jumps. In: The European Journal of Finance, Vol. 22, no.11, p. 1040-1062 (2014). doi:10.1080/1351847X.2014.924079.

http://hdl.handle.net/2078/185385

Hainaut, Donatien ; ROBERT, CHRISTIAN YANN. Credit risk valuation with rating transitions and partial information. In: International Journal of Theoretical and Applied Finance, Vol. 17, no.07, p. 1450046 (2014). doi:10.1142/S0219024914500460.

http://hdl.handle.net/2078/185383

Hainaut, Donatien ; Deelstra, Griselda. Default probabilities of a holding company, with complete and partial information. In: Journal of Computational and Applied Mathematics, Vol. 271, no.0, p. 380-400 (2014). doi:10.1016/j.cam.2014.04.003.

http://hdl.handle.net/2078/185388

Hainaut, Donatien. Impulse control of pension fund contributions, in a regime switching economy. In: European Journal of Operational Research, Vol. 239, no. 3, p. 810-819 (2014). doi:10.1016/j.ejor.2014.06.016.

http://hdl.handle.net/2078/185384

Hainaut, Donatien ; Deelstra, Griselda. Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. In: Journal of Economic Dynamics and Control, Vol. 44, no.0, p. 124-146 (2014). doi:10.1016/j.jedc.2014.04.008.

http://hdl.handle.net/2078/185386

Hainaut, Donatien. A fractal version of the Hull–White interest rate model. In: Economic Modelling, Vol. 31, no.0, p. 323-334 (2013). doi:10.1016/j.econmod.2012.11.041.

http://hdl.handle.net/2078/185391

Hainaut, Donatien ; Le Courtois, Olivier. An intensity model for credit risk with switching Lévy processes. In: Quantitative Finance, Vol. 14, no.8, p. 1453-1465 (2013). doi:10.1080/14697688.2012.756583.

http://hdl.handle.net/2078/185390

Hainaut, Donatien ; Boucher, Jean-Philippe. Frequency and Severity Modelling Using Multifractal Processes: An Application to Tornado Occurrence in the USA and CAT Bonds. In: Environmental Modeling & Assessment, Vol. 19, no.3, p. 207-220 (2013). doi:10.1007/s10666-013-9388-9.

http://hdl.handle.net/2078/185389

Hainaut, Donatien. Entry and exit decisions with switching regime cash flows. In: International Journal of Managerial Finance, Vol. 8, no.1, p. 58-72 (2012). doi:10.1108/17439131211201031.

http://hdl.handle.net/2078/185393

Hainaut, Donatien. Multidimensional Lee–Carter model with switching mortality processes. In: Insurance: Mathematics and Economics, Vol. 50, no.2, p. 236-246 (2012). doi:10.1016/j.insmatheco.2011.11.003.

http://hdl.handle.net/2078/185392

Hainaut, Donatien. Seasonality modelling for catastrophe bond pricing. In: Bulletin Français d'Actuariat, Vol. 12, no.23, p. 129-150 (janvier-juin 2012).

http://hdl.handle.net/2078/185399

Hainaut, Donatien. Strategic asset allocation with switching dependence. In: Annals of Finance, Vol. 1, no.8, p. 75-96 (2012). doi:10.1007/s10436-011-0183-9.

http://hdl.handle.net/2078.1/207338

Hainaut, Donatien. Risk Management of CPPI Funds in Switching Regime Markets. In: Bankers markets & investors, Vol. 2, no.113, p. 5-14 (2011).

http://hdl.handle.net/2078.1/207337

Hainaut, Donatien ; MacGilchrist, Renaud. An Interest Rate Tree Driven by a Lévy Process. In: The Journal of Derivatives, Vol. 18, no.2, p. 33-45 (2010). doi:10.3905/jod.2010.18.2.033.

http://hdl.handle.net/2078/185395

Hainaut, Donatien. Optimal design of profit sharing rates by FFT. In: Insurance: Mathematics and Economics, Vol. 46, no.3, p. 470-478 (2010). doi:10.1016/j.insmatheco.2010.01.004.

http://hdl.handle.net/2078/185396

Hainaut, Donatien ; Deelstra, Griselda. Optimal funding of defined benefit pension plans. In: Journal of Pension Economics and Finance, Vol. 10, no.01, p. 31-52 (2010). doi:10.1017/S1474747210000016.

http://hdl.handle.net/2078/185394

Hainaut, Donatien. Dynamic asset allocation under VaR constraint with stochastic interest rates. In: Annals of Operations Research, Vol. 172, no.1, p. 97-117 (2009). doi:10.1007/s10479-008-0509-9.

http://hdl.handle.net/2078/185397

Hainaut, Donatien. Profit shares: A stochastic control approach. In: Bulletin Français d'actuariat, Vol. 9, no. 18, p. 65-78.

http://hdl.handle.net/2078/185400

Hainaut, Donatien ; Devolder, Pierre. Mortality modelling with Levy processes. In: Insurance: Mathematics and Economics, Vol. 42, no. 1, p. 409-418 (2008). doi:10.1016/j.insmatheco.2007.05.007.

http://hdl.handle.net/2078.1/36986

Hainaut, Donatien. A MARTINGALE APPROACH APPLIED TO THE MANAGEMENT OF LIFE INSURANCES. In: ICFAI Journal of Risk & Insurance, Vol. 4, no.1, p. 12-27 (2007).

http://hdl.handle.net/2078.1/208250

Hainaut, Donatien ; Devolder, Pierre. Management of a pension fund under mortality and financial risks. In: Insurance: Mathematics and Economics, Vol. 41, no. 1, p. 134-155 (2007). doi:10.1016/j.insmatheco.2006.10.014.

http://hdl.handle.net/2078.1/37931

Devolder, Pierre ; Hainaut, Donatien. Life annuitization : why and how much. In: Astin Bulletin, Vol. 36, no. 2, p. 629-657 (2006).

http://hdl.handle.net/2078/16902

Hainaut, Donatien. The annuity puzzle revisited: a deterministic version with Lagrangian methods. In: Belgian Actuarial Bulletin, Vol. 6, no.1, p. 40-48 (2006).

http://hdl.handle.net/2078.1/208251

Devolder, Pierre ; Hainaut, Donatien. The annuity puzzle revisited: a deterministic version with Lagrangian methods. In: Belgian Actuarial Bulletin, Vol. 6, no. 1, p. 40-48 (2006).

http://hdl.handle.net/2078/17315

Hainaut, Donatien. Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics (Bocconi & Springer Series; 12), Springer, 2022. 978-3-031-06360-2. 345 p. doi:10.1007/978-3-031-06361-9.

http://hdl.handle.net/2078.1/264705

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.

http://hdl.handle.net/2078.1/239911

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.

http://hdl.handle.net/2078.1/219796

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.

http://hdl.handle.net/2078.1/222289

Hainaut, Donatien. Individual and institutional asset liability management, prom. : Devolder, Pierre, 2007-09-25.

http://hdl.handle.net/2078.1/4836

Leunga Njike, Charles Guy ; Hainaut, Donatien. Affine Heston model style with self-exciting jumps and long memory (LIDAM Discussion Paper ISBA; 2024/01), 2024. 33 p.

http://hdl.handle.net/2078.1/283630

Hainaut, Donatien. American option pricing with model constrained Gaussian process regressions (LIDAM Discussion Paper ISBA; 2024/23), 2024. 23 p.

http://hdl.handle.net/2078.1/292665

Dupret, Jean-Loup ; Hainaut, Donatien. Deep learning for high-dimensional continuous-time stochastic optimal control without explicit solution (LIDAM Discussion Paper ISBA; 2024/16), 2024. 31 p.

http://hdl.handle.net/2078.1/287848

Motte, Edouard ; Hainaut, Donatien. Efficient hedging of life insurance portfolio for loss-averse insurers (LIDAM Discussion Paper ISBA; 2024/13), 2024. 35 p.

http://hdl.handle.net/2078.1/286749

Hainaut, Donatien ; Vrins, Frédéric. European option pricing with model constrained Gaussian process regressions (LIDAM Discussion Paper ISBA LIDAM Discussion Paper LFIN; 2024/21 2024/05), 2024. 27 p.

http://hdl.handle.net/2078.1/292395

Jamotton, Charlotte ; Hainaut, Donatien. Latent Dirichlet Allocation for structured insurance data (LIDAM Discussion Paper ISBA; 2024/08), 2024. 27 p.

http://hdl.handle.net/2078.1/285770

Hainaut, Donatien ; Casas, Alex. Option pricing in the Heston model with Physics inspired neural networks (LIDAM Discussion Paper ISBA; 2024/02), 2024. 18 p.

http://hdl.handle.net/2078.1/284660

Hainaut, Donatien ; Devineau, Laurent. Participating life insurances in an equity-Libor Market Model (LIDAM Discussion Paper ISBA; 2024/15), 2024. 28 p.

http://hdl.handle.net/2078.1/287438

Dupret, Jean-Loup ; Hainaut, Donatien. A fractional Hawkes process for illiquidity modeling (LIDAM Discussion Paper ISBA; 2023/01), 2023. 40 p.

http://hdl.handle.net/2078.1/270453

Hainaut, Donatien. A mutually exciting rough jump diffusion for financial modelling (LIDAM Discussion Paper ISBA; 2023/11), 2023. 29 p.

http://hdl.handle.net/2078.1/274071

Jamotton, Charlotte ; Hainaut, Donatien ; Hames, Thomas. Insurance analytics with clustering techniques (LIDAM Discussion Paper ISBA; 2023/02), 2023. 27 p.

http://hdl.handle.net/2078.1/270714

Dupret, Jean-Loup ; Hainaut, Donatien. Optimal liquidation under indirect price impact with propagator (LIDAM Discussion Paper ISBA; 2023/12), 2023. 36 p.

http://hdl.handle.net/2078.1/274072

Motte, Edouard ; Hainaut, Donatien. Partial hedging in rough volatility models (LIDAM Discussion Paper ISBA; 2023/26), 2023. 39 p.

http://hdl.handle.net/2078.1/276134

Hainaut, Donatien ; Akbaraly, Adnane. Risk management with Local Least Squares Monte-Carlo (LIDAM Discussion Paper ISBA; 2023/03), 2023. 34 p.

http://hdl.handle.net/2078.1/271446

Hainaut, Donatien ; Chen, Maggie ; Scalas, Enrico. The rough Hawkes process (LIDAM Discussion Paper ISBA; 2023/07), 2023. 25 p.

http://hdl.handle.net/2078.1/273010

Hainaut, Donatien. Valuation of guaranteed minimum accumulation benefits (GMAB) with physics inspired neural networks (LIDAM Discussion Paper ISBA; 2023/29), 2023. 29 p.

http://hdl.handle.net/2078.1/278111

Jamotton, Charlotte ; Hainaut, Donatien. Variational autoencoder for synthetic insurance data (LIDAM Discussion Paper ISBA; 2023/25), 2023. 36 p.

http://hdl.handle.net/2078.1/276128

Hainaut, Donatien. A calendar year mortality model in continuous time (LIDAM Discussion Paper ISBA; 2022/19), 2022. 28 p.

http://hdl.handle.net/2078.1/262406

Ketelbuters, John John ; Hainaut, Donatien. A recursive method for computing moments of Hawkes intensities: application to the potential approach of credit risk (LIDAM Discussion Paper ISBA; 2022/26), 2022. 21 p.

http://hdl.handle.net/2078.1/264698

Dupret, Jean-Loup ; Hainaut, Donatien. A subdiffusive stochastic volatility jump model (LIDAM Discussion Paper ISBA; 2022/01), 2022. 35 p.

http://hdl.handle.net/2078.1/257566

Njike Leunga, Charles Guy ; Hainaut, Donatien. Long memory self-exciting jump diffusion for asset prices modeling (LIDAM Discussion Paper ISBA; 2022/03), 2022. 28 p.

http://hdl.handle.net/2078.1/257579

Hainaut, Donatien. Multivariate rough claim processes: properties and estimation (LIDAM Discussion Paper ISBA; 2022/02), 2022. 27 p.

http://hdl.handle.net/2078.1/257574

Ketelbuters, John John ; Hainaut, Donatien. Option pricing and hedging in illiquid markets in presence of jump clustering (LIDAM Discussion Paper ISBA; 2022/25), 2022. 56 p.

http://hdl.handle.net/2078.1/264696

Hainaut, Donatien. Pricing of spread and exchange options in a rough jump-diffusion market (LIDAM Discussion Paper ISBA; 2022/12), 2022. 32 p.

http://hdl.handle.net/2078.1/259690

Hainaut, Donatien. A fractional multi-states model for insurance (LIDAM Discussion Paper ISBA; 2021/19), 2021. 25 p.

http://hdl.handle.net/2078.1/245421

Ketelbuters, John John ; Hainaut, Donatien. CDS Pricing with Fractional Hawkes Processes (LIDAM Discussion Paper ISBA; 2021/18), 2021. 29 p.

http://hdl.handle.net/2078.1/244427

Dupret, Jean-Loup ; Barbarin, Jérôme ; Hainaut, Donatien. Impact of rough stochastic volatility models on long-term life insurance pricing (LIDAM Discussion Paper ISBA; 2021/17), 2021. 30 p.

http://hdl.handle.net/2078.1/244423

Hainaut, Donatien. Lévy interest rate models with a long memory (LIDAM Discussion Paper ISBA; 2021/20), 2021. 29 p.

http://hdl.handle.net/2078.1/245422

Hainaut, Donatien. Moment generating function of non-Markov self-excited claims processes (LIDAM Discussion Paper ISBA; 2021/28), 2021. 28 p.

http://hdl.handle.net/2078.1/249096

Dupret, Jean-Loup ; Hainaut, Donatien. Portfolio insurance under rough volatility and Volterra processes (LIDAM Discussion Paper ISBA; 2021/26), 2021. 40 p.

http://hdl.handle.net/2078.1/246699

Hainaut, Donatien ; Trufin, Julien ; Denuit, Michel. Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link (LIDAM Discussion Paper ISBA; 2021/12), 2021. 26 p.

http://hdl.handle.net/2078.1/244222

Ketelbuters, John John ; Hainaut, Donatien. Time-Consistent Evaluation of Credit Risk with Contagion (LIDAM Discussion Paper ISBA; 2021/04), 2021. 22 p.

http://hdl.handle.net/2078.1/243163

Njike Leunga, Charles Guy ; Hainaut, Donatien. Valuation of Annuity Guarantees under a Self-Exciting Switching Jump Model (LIDAM Discussion Paper ISBA; 2021/25), 2021. 30 p.

http://hdl.handle.net/2078.1/246697

Hainaut, Donatien. An actuarial approach for modeling pandemic risk (ISBA Discussion Paper; 2020/25), 2020. 25 p.

http://hdl.handle.net/2078.1/235855

Hainaut, Donatien. Credit risk modelling with fractional self-excited processes (ISBA Discussion Paper; 2019/27), 2020. 23 p.

http://hdl.handle.net/2078.1/227943

Njike Leunga, Charles Guy ; Hainaut, Donatien. Interbank Credit Risk Modelling with Self-Exciting Jump Processes (ISBA Discussion Paper; 2019/17), 2019. 27 p.

http://hdl.handle.net/2078.1/219344

Hainaut, Donatien. A self-organizing predictive map for non-life insurance (ISBA Discussion Paper; 2018/15), 2018. 32 p.

http://hdl.handle.net/2078.1/199020

Hainaut, Donatien ; Goutte, Stéphane. A switching microstructure model for stock prices (ISBA Discussion Paper; 2018/14), 2018. 34 p.

http://hdl.handle.net/2078.1/199018

Hainaut, Donatien ; Moraux, Franck. A switching self-exciting jump diffusion process for stock prices (ISBA Discussion Paper; 2018/13), 2018. 36 p.

http://hdl.handle.net/2078.1/199014