Statistics Publications


Journal Articles


1. Simar, Léopold; W. Wilson, Paul. Central limit theorems and inference for sources of productivity change measured by nonparametric Malmquist indices. In: European Journal of Operational Research, Vol. 277, no.2, p. 756-769 (2019). doi:10.1016/j.ejor.2019.02.040. http://hdl.handle.net/2078.1/215489

2. 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

3. Bădin, Luiza; Daraio, Cinzia; Simar, Léopold. A Bootstrap Approach for Bandwidth Selection in Estimating Conditional Efficiency Measures. In: European Journal of Operational Research, Vol. 277, p. 784-797 (2019). doi:10.1016/j.ejor.2019.02.054. http://hdl.handle.net/2078.1/214611

4. Feraud, Baptiste; Leenders, Justine; Martineau, Estelle; Giraudeau, Patrick; Govaerts, Bernadette; de Tullio, Pascal. Two data pre-processing workflows to facilitate the discovery of biomarkers by 2D NMR metabolomics. In: Metabolomics, Vol. 15, no. 63 (2019). doi:10.1007/s11306-019-1524-3. http://hdl.handle.net/2078.1/215784

5. 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

6. 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

7. 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. http://hdl.handle.net/2078.1/219794

8. 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). http://hdl.handle.net/2078.1/219792

9. Guisset, Séverine; Martin, Manon; Govaerts, Bernadette. Comparison of PARAFASCA, AComDim, and AMOPLS approaches in the multivariate GLM modelling of multi-factorial designs. In: Chemometrics and Intelligent Laboratory Systems, Vol. 184, p. 44-63 (2019). doi:10.1016/j.chemolab.2018.11.006. http://hdl.handle.net/2078.1/207565

10. 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. http://hdl.handle.net/2078.1/214835

11. 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. http://hdl.handle.net/2078.1/219795

12. 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. http://hdl.handle.net/2078.1/216579

13. 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. http://hdl.handle.net/2078.1/222032

14. 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. http://hdl.handle.net/2078.1/220948

15. 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. http://hdl.handle.net/2078.1/220112

16. 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

17. 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

18. Gao, Zhengyuan; Hafner, Christian. Looking Backward and Looking Forward. In: Econometrics, Vol. 7, no.2, p. article 27 (2019). doi:10.3390/econometrics7020027. http://hdl.handle.net/2078.1/218030

19. 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. http://hdl.handle.net/2078.1/195216

20. 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

21. Daraio, Cinzia; Simar, Léopold; Wilson, Paul W. Fast and efficient computation of directional distance estimators. In: Annals of Operations Research, Vol. https://doi.org/10.1007/s10479-019-03163-9 (2019). doi:10.1007/s10479-019-03163-9. http://hdl.handle.net/2078.1/200676 ; http://hdl.handle.net/2078.1/214604

22. 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. http://hdl.handle.net/2078.1/203967

23. 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. http://hdl.handle.net/2078.1/195213

24. 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. http://hdl.handle.net/2078.1/201791

25. 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. http://hdl.handle.net/2078.1/207299

26. 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. http://hdl.handle.net/2078.1/208980

27. 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. http://hdl.handle.net/2078.1/191360

28. 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. http://hdl.handle.net/2078.1/187127

29. 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. http://hdl.handle.net/2078.1/180457

30. 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. http://hdl.handle.net/2078.1/185520

31. 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. http://hdl.handle.net/2078.1/191402

32. 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. http://hdl.handle.net/2078.1/185242

33. 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). http://hdl.handle.net/2078.1/179332

34. 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. http://hdl.handle.net/2078.1/174704

35. 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. http://hdl.handle.net/2078.1/172847

36. 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. http://hdl.handle.net/2078.1/179329

37. 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. http://hdl.handle.net/2078.1/179330

38. 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. http://hdl.handle.net/2078.1/168080

39. 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. http://hdl.handle.net/2078.1/171514

40. 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. http://hdl.handle.net/2078.1/172814

41. Charpentier, Arthur; Denuit, Michel; Elie, Romuald. Segmentation et mutualisation, les deux faces d'une même pièce?. In: Risques, Vol. 103, p. 57-61 (2015). http://hdl.handle.net/2078.1/168079

42. Denuit, Michel; Trufin, Julien. Des cadences collectives de règlement au provisionnement individuel. In: L'Actuariel, Vol. 18, p. 42-44 (2015). http://hdl.handle.net/2078.1/170294

43. 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. http://hdl.handle.net/2078.1/154663

44. 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. http://hdl.handle.net/2078.1/168077

45. 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. http://hdl.handle.net/2078.1/165136

46. 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. http://hdl.handle.net/2078.1/165134

47. 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). http://hdl.handle.net/2078.1/165135


Book Chapters


1. Denuit, Michel; Lucas, Nathalie; Pitacco, Ermanno. Pricing and Reserving in LTC Insurance. In: Actuarial Aspects of Long Term Care (Springer Actuarial book series (SPACT); xxx), Springer Nature Switzerland AG: (Switzerland) Basel, 2019, p. 129-158. 9783030056599. doi:10.1007/978-3-030-05660-5_5. http://hdl.handle.net/2078.1/216511


Working Papers


1. Mastromarco, Camilla; Simar, Léopold; Wilson, Paul. Predicting Recessions: A New Measure of Output Gap as Predictor (xxx), 2019. http://hdl.handle.net/2078.1/222030


Books


1. Denuit, Michel; Hainaut, Donatien; Trufin, Julien. Effective Statistical Learning Methods for Actuaries III : Neural Networks and Extensions. Springer: Springer Nature Switzerland AG 2019, 2019. 9783030258269; 9783030258276. 250 pages. http://hdl.handle.net/2078.1/222289

2. Denuit, Michel; Hainaut, Donatien; Trufin, Julien. Effective Statistical Learning Methods for Actuaries I : GLMs and Extensions. Springer: Springer Nature Switzerland AG 2019, 2019. 9783030258191; 9783030258207. 441 pages. http://hdl.handle.net/2078.1/219796