Pension, Insurance and Financial Risks

Denuit, M., Ortega Jiménez, P., & Robert, C. Y. (2026). No-sabotage under conditional mean risk sharing of dependent-by-mixture insurance losses. Insurance: Mathematics and Economics, 126, 103195. https://doi.org/10.1016/j.insmatheco.2025.103195 (Original work published 2026)

Soetewey, A., Legrand, C., Denuit, M., & Silversmit, G. (2025). Right to be forgotten for mortgage insurance issued to cancer survivors: critical assessment and new proposal. European Actuarial Journal, 15, 15-43. https://doi.org/10.1007/s13385-024-00403-6 (Original work published 2025)

Hainaut, D., Chen, J., & Scalas, E. (2025). The rough Hawkes process. Communications in Statistics: Theory and Methods, 54(11), 3322-3349. https://doi.org/10.1080/03610926.2024.2389959 (Original work published 2025)

Devolder, P., & Hartmann, K. (2025). Pensions des pouvoirs locaux en Belgique : la réforme de 2018 à l’épreuve de l’équité intergénérationnelle. Revue Belge de Sécurité Sociale, 66(4), 633-672. (Original work published 2025)

Diakite, K., Devolder, P., & Menzietti, M. (2025). Inter and intra-generational fairness for public pension systems in multi-population mortality models. Scandinavian Actuarial Journal. Accepted/in-press. https://doi.org/10.1080/03461238.2025.2592288 (Original work published 2025)

Hainaut, D., & Casas, A. (2024). Option pricing in the Heston model with physics inspired neural networks. Annals of Finance, 20(3), 353-376. https://doi.org/10.1007/s10436-024-00452-7 (Original work published 2024)

Hainaut, D. (2024). A mutually exciting rough jump-diffusion for financial modelling. Fractional Calculus and Applied Analysis, 27(1), 319-352. https://doi.org/10.1007/s13540-023-00234-4 (Original work published 2024)

Hainaut, D. (2024). Valuation of guaranteed minimum accumulation benefits (GMABs) with physics-inspired neural networks. Annals of Actuarial Science, 18(2), 442-473. https://doi.org/10.1017/S1748499524000095 (Original work published 2024)

Deelstra, G., Devolder, P., & Roelants du Vivier, B. (2024). Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products. Astin Bulletin : the journal of the International Actuarial Association, 54(3), 569-599. https://doi.org/10.1017/asb.2024.20 (Original work published 2024)

Denuit, M., & Trufin, J. (2024). Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments. Insurance: Mathematics and Economics, 118, 123-128. https://doi.org/10.1016/j.insmatheco.2024.06.003 (Original work published 2024)

Zeddouk, F., & Devolder, P. (2024). Pricing and hedging of longevity basis risk through securitisation. Astin Bulletin : the journal of the International Actuarial Association, 54(1), 159-184. https://doi.org/10.1017/asb.2023.37 (Original work published 2024)

Hindriks, J., & Devolder, P. (2023). Cadre pour une réforme acceptable des pensions. Regards économiques, 178. https://doi.org/10.14428/regardseco/2023.02.17.01 (Original work published 2023)

Denuit, M., & Robert, C. Y. (2023). Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model. Insurance: Mathematics and Economics, 112, 23-32. https://doi.org/10.1016/j.insmatheco.2023.05.008 (Original work published 2023)

Hainaut, D. (2023). Pricing of spread and exchange options in a rough jump–diffusion market. Journal of Computational and Applied Mathematics, 149, 114752. https://doi.org/10.1016/j.cam.2022.114752 (Original work published 2023)

Ciatto, N., Verelst, H., Trufin, J., & Denuit, M. (2023). Does autocalibration improve goodness of lift? European Actuarial Journal, 13(1), 479-486. https://doi.org/10.1007/s13385-022-00330-4 (Original work published 2023)

Denuit, M., & Trufin, J. (2023). Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration. European Actuarial Journal, 13(2), 871-878. https://doi.org/10.1007/s13385-023-00353-5 (Original work published 2023)

Denuit, M., Hieber, P., & Robert, C. Y. (2022). Mortality credits within large survivor funds. Astin Bulletin : the journal of the International Actuarial Association, 52(3), 813-834. https://doi.org/10.1017/asb.2022.13 (Original work published 2022)

Hainaut, D., Trufin, J., & Denuit, M. (2022). Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link. Scandinavian Actuarial Journal, 2022(10), 841-866. https://doi.org/10.1080/03461238.2022.2037016 (Original work published 2022)