Publications ACTU

Find here all articles published in the discipline of Actuarial Science


Journal Articles


1. 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

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. 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

4. 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

5. 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

6. 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

7. 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

8. 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

9. Zeddouk, Fadoua; Devolder, Pierre. Pricing of Longevity Derivatives and Cost of Capital. In: Risks, Vol. 7(2), no.41, p. 1-29 (2019). doi:10.3390/risks7020041. http://hdl.handle.net/2078.1/216695

10. 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

11. 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

12. 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

13. Alonso-García, Jennifer; Devolder, Pierre. Continuous time model for notional defined contribution pension schemes: Liquidity and solvency. In: Insurance: Mathematics and Economics, Vol. 88, p. 57-76 (2019). doi:10.1016/j.insmatheco.2019.06.001. http://hdl.handle.net/2078.1/216684

14. 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

15. Devolder, Pierre; Hindriks, Jean. Réforme des pensions, une urgence absolue. In: Pyramides : revue du Centre d'Etudes et de Recherches en Administration Publique, Vol. 31/32, p. 233-260 (2019). http://hdl.handle.net/2078.1/221567

16. 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

17. 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

18. Schokkaert, Erik; Devolder, Pierre; Hindriks, Jean; Vandenbroucke, Frank. Towards an equitable and sustainable points system. A proposal for pension reform in Belgium. In: Journal of Pension Economics and Finance, Vol. 19, no. 1, p. 49-79 (2020). doi:10.1017/s1474747218000112. http://hdl.handle.net/2078.1/200754

19. 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

20. 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

21. 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

22. 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

23. 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

24. 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

25. 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

26. 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

27. 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

28. 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

29. 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. http://hdl.handle.net/2078.1/199778

30. Alonso-García, Jennifer; Boado-Penas, María del Carmen; Devolder, Pierre. Adequacy, fairness and sustainability of pay-as-you-go-pension-systems: defined benefit versus defined contribution. In: The European Journal of Finance, Vol. 24, no. 13, p. 1100-1122 (2018). doi:10.1080/1351847x.2017.1399429. http://hdl.handle.net/2078.1/196856

31. Devolder, Pierre; Hindriks, Jean. La pension à points : 5 principes pour plus d'équité dans les régimes de pension en Belgique. In: Regards Economiques, Vol. 139, p. 1-7. http://hdl.handle.net/2078.1/199436

32. Dominguez Fabian, Immaculada; Devolder, Pierre; del Olmo García, Fransisco; Herce, José A. A Two-Step Mixed Pension System or How to Reinvent Social Security with the Help of Notional Accounts and Term Annuities. In: Retirement Management Journal, Vol. 7, no.1, p. 42-51 (2018). http://hdl.handle.net/2078.1/203971

33. 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

34. 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

35. 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

36. 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

37. 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

38. 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

39. 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

40. 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

41. 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

42. 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

43. 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

44. Devolder, Pierre; de Valeriola, Sébastien. Minimum Protection in DC Funding Pension Plans and Margrabe Options. In: Risks, Vol. 5, no. 5, p. 1-14 (2017). doi:10.3390/risks5010005. http://hdl.handle.net/2078.1/181085

45. Devolder, Pierre; Lebègue, Adrien. Iterated VaR or CTE measures: A false good idea?. In: Scandinavian Actuarial Journal, Vol. 2017, no. 4, p. 287-318 (2017). doi:10.1080/03461238.2015.1126343. http://hdl.handle.net/2078.1/170565

46. Schokkaert, Erik; Devolder, Pierre; Hindriks, Jean; Vandenbroucke, Frank. Naar een nieuw sociaal contract - Het pensioen of punten. In: Leuvense Economische Standpunten, Vol. 162 (2017). http://hdl.handle.net/2078.1/184359

47. Hindriks, Jean; Devolder, Pierre; Schokkaert, Erik; Vandenbroucke, F.I.G. Réforme des pensions légales: le système de pensions à points. In: Regards économiques, , no.130 (2017). http://hdl.handle.net/2078.1/183443

48. 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

49. 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

50. 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

51. 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

52. 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

53. 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

54. 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

55. 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

56. 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

57. 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

58. 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

59. Alonso-García, Jennifer; Devolder, Pierre. Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model. In: Insurance: Mathematics and Economics, Vol. 70, p. 224-236 (2016). doi:10.1016/j.insmatheco.2016.06.011. http://hdl.handle.net/2078.1/198962

60. 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

61. 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

62. 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

63. 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

64. 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

65. 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

66. 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

67. Hainaut, Donatien. Evaluation and default time for companies with uncertain cash flows.. In: Insurance: Mathematics & Economics, Vol. 61, no.M, p. 276-285 (2015). doi:10.1016/j.insmatheco.2015.01.011. http://hdl.handle.net/2078.1/208248

68. 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. http://hdl.handle.net/2078.1/159060

69. Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, Michel. The minimal entropy martingale measure in a market of traded financial and actuarial risks. In: Journal of Computational and Applied Mathematics, Vol. 282, p. 111-133 (2015). doi:10.1016/j.cam.2014.12.004. http://hdl.handle.net/2078.1/162052

70. Devolder, Pierre; Melis, Roberta. Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework. In: Astin Bulletin : the journal of the International Actuarial Association, Vol. 45, no.3, p. 551-575 (2015). doi:10.1017/asb.2015.14. http://hdl.handle.net/2078.1/168104


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

2. Devolder, Pierre; Piscopo, Gabriella. Solvency Analysis of defined benefit pension schemes. In: Mathematical and Statistical Methods for Actuarial Sciences and Finance , Springer International Publishing: Switzerland, 2014, p. 141-150. 978-3-319-02499-8. doi:10.1007/978-3-319-02499-8. http://hdl.handle.net/2078.1/152639


Working Papers


1. Devolder, Pierre. Une alternative à la pension à points : le compte individuel pension en euros (xxx), 2019. 12 p. http://hdl.handle.net/2078.1/215862

2. Pechon, Florian; Denuit, Michel; Trufin, Julien. Home and Motor insurance joined at a household level using multivariate credibility (xxx), 2019. 28 p. http://hdl.handle.net/2078.1/216508

3. Denuit, Michel. Size-biased transform and conditional mean risk sharing, with application to P2P insurance and tontines (xxx), 2019. 24 p. http://hdl.handle.net/2078.1/215115

4. Denuit, Michel; Sznajder, Dominik; Trufin, Julien. Model selection based on Lorenz and concentration curves, Gini indices and convex order (xxx), 2019. 25 p. http://hdl.handle.net/2078.1/214859

5. Hanbali, Hamza; Claassens, Hubert; Denuit, Michel; Dhaene, Jan; Trufin, Julien. Once covered, forever covered: The actuarial challenges of the Belgian private health insurance system (xxx), 2019. 11 p. http://hdl.handle.net/2078.1/214860

6. Njike Leunga, Charles Guy; Hainaut, Donatien. Interbank Credit Risk Modelling with Self-Exciting Jump Processes (xxx), 2019. 27 p. http://hdl.handle.net/2078.1/219344

7. Denuit, Michel; Mesfoui, Mhamed; Trufin, Julien. Concordance-based predictive measures in regression models for discrete responses (xxx), 2019. 13 p. http://hdl.handle.net/2078.1/214858

8. Denuit, Michel. Size-biased risk measures of compound sums (xxx), 2019. 23 p. http://hdl.handle.net/2078.1/215114

9. Hainaut, Donatien; Deelstra, Griselda. A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices (xxx), 2018. 39 p. http://hdl.handle.net/2078.1/199005

10. Ngugnie Diffouo, Pauline; Devolder, Pierre. Static risk measurement of life annuity products: the longevity model (xxx), 2018. 26 p. http://hdl.handle.net/2078.1/203428

11. Hainaut, Donatien. Hedging of crop harvest with derivatives on temperature (xxx), 2018. 31 p. http://hdl.handle.net/2078.1/199006

12. Hainaut, Donatien; Goutte, Stéphane. A switching microstructure model for stock prices (xxx), 2018. 34 p. http://hdl.handle.net/2078.1/199018

13. Alonso-García, Jennifer; Boado-Penas, Maria Del Carmen; Devolder, Pierre. Adequacy, Fairness and Sustainability of Pay as you go systems : Defined Benefit versus Defined Contribution (xxx), 2018. 33 p. http://hdl.handle.net/2078.1/202019

14. Denuit, Michel; Guillen, Montserrat; Trufin, Julien. Multivariate credibility modeling for usage-based motor insurance pricing with behavioral data (xxx), 2018. 26 p. http://hdl.handle.net/2078.1/208814

15. Devolder, Pierre; Ngugnie Diffouo, Pauline. Valuation of insurer's solvency for a life annuity within the equity-longevity model (xxx), 2018. 44 p. http://hdl.handle.net/2078.1/203427

16. Pechon, Florian; Denuit, Michel; Trufin, Julien. Multivariate Modelling of Multiple Guarantees in Motor Insurance of a Household (xxx), 2018. 19 p. http://hdl.handle.net/2078.1/200713

17. Hainaut, Donatien; Moraux, Franck. A switching self-exciting jump diffusion process for stock prices (xxx), 2018. 36 p. http://hdl.handle.net/2078.1/199014

18. Hainaut, Donatien. A self-organizing predictive map for non-life insurance (xxx), 2018. 32 p. http://hdl.handle.net/2078.1/199020

19. Schokkaert, Erik; Devolder, Pierre; Hindriks, Jean; Vandenbroucke, Frank. Towards an equitable and sustainable points system. A proposal for pension reform in Belgium (xxx), 2017. 45 p. http://hdl.handle.net/2078.1/183074

20. Denuit, Michel; Trufin, Julien. Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance (xxx), 2016. 24 p. http://hdl.handle.net/2078.1/176388

21. Denuit, Michel; Mesfioui, Mhamet; Trufin, Julien. Bounds on Concordance-Based Validation Statistics in Regression Models for Binary Responses (xxx), 2016. 16 p. http://hdl.handle.net/2078.1/179286

22. Denuit, Michel; Mesfioui, Mhamed. Bounds on Kendall’s Tau for Zero-Inflated Continuous Variables (xxx), 2016. 7 p. http://hdl.handle.net/2078.1/179274

23. Devolder, Pierre; Lebègue, Adrien. Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances (xxx), 2016. 33 p. http://hdl.handle.net/2078.1/173927

24. Devolder, Pierre; Tassa, Habiba. Solvency measurement for defined benefits pension schemes (xxx), 2016. 15 p. http://hdl.handle.net/2078.1/174241

25. Denuit, Michel; Trufin, Julien. Hybrid Loss Development Modelling in P&C Insurance with an Application to Motor Third Party Liability (xxx), 2016. 25 p. http://hdl.handle.net/2078.1/172850

26. 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 (xxx), 2016. 25 p. http://hdl.handle.net/2078.1/173545

27. Denuit, Michel; Trufin, Julien. Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development (xxx), 2016. 9 p. http://hdl.handle.net/2078.1/176389

28. Denuit, Michel. Risk Apportionment and Multiply Monotone Targets (xxx), 2016. 5 p. http://hdl.handle.net/2078.1/179282

29. Cheung, Ka Chung; Denuit, Michel; Dhaene, Jan. Tail mutual exclusivity and Tail-VaR lower bounds (xxx), 2015. 18 p. http://hdl.handle.net/2078.1/157624

30. Dhaene, Jan; Godecharle, Els; Antonio, Katrien; Denuit, Michel. On the transferability of reserves in lifelong health insurance contracts (xxx), 2015. 32 p. http://hdl.handle.net/2078.1/160900

31. Denuit, Michel; Trufin, Julien. From Regulatory Life Tables to Stochastic Mortality Projections: The Exponential Decline Model (xxx), 2015. 21 p. http://hdl.handle.net/2078.1/172849

32. Devolder, Pierre; Lebègue, Adrien. Compositions of Conditional Risk Measures and Solvency Capital (xxx), 2015. 21 p. http://hdl.handle.net/2078.1/165922

33. Alonso Garcia, Jennifer; Devolder, Pierre. Guarantee valuation in Notional Defined Contribution pension systems (xxx), 2015. 27 p. http://hdl.handle.net/2078.1/160930

34. Cadena, Meitner; Denuit, Michel. Semi-parametric accelerated hazard Relational models with applications to Mortality projections (xxx), 2015. 28 p. http://hdl.handle.net/2078.1/160937

35. Alonso Garcia, Jennifer; Devolder, Pierre. Optimal mix between pay-as-you-go and funding in a multi-generational Overlapping Generations model (xxx), 2015. 22 p. http://hdl.handle.net/2078.1/160931


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

3. Hindriks, Jean; Devolder, Pierre. Quel avenir pour nos pensions ? Les grands défis de la réforme des pensions. De Boeck: Bruxelles, 2015. 9782804190415. 198 pages. http://hdl.handle.net/2078.1/165597

4. Boulet, Jacques; Cantillon, Béa; Devolder, Pierre; Hindriks, Jean; Janvier, Ria; Masai, Françoise; Perl, Gabriel; Schokkaert, Erik; Stevens, Yves; Vandenbroucke, Frank. Métiers pénibles, pensions à temps partiel et flexibilité équitable dans le système de pension. Avis complémentaire de la Commission de réforme des pensions 2020-2040. SPF Sécurité Sociale: Bruxelles, 2015. 44 pages. http://hdl.handle.net/2078.1/165556