Pension, Insurance and Financial Risks

You will find below our recent publications in pension, insurance and financial risks.


Journal Articles


1. 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. http://hdl.handle.net/2078.1/267676

2. Seck, Ndeye Arame; Denuit, Michel. Adaptive Splines for Continuous Features in Risk Assessment. In: CAS E-Forum, Vol. Summer (2022). http://hdl.handle.net/2078.1/265892

3. 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. https://hdl.handle.net/2078.1/265524

4. 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

5. 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. http://hdl.handle.net/2078.1/264447

6. 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. http://hdl.handle.net/2078.1/264444

7. 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. http://hdl.handle.net/2078.1/262874

8. Dupret, Jean-Loup; Barbarin, Jérôme; Hainaut, Donatien. Impact of rough stochastic volatility models on long-term life insurance pricing. In: European Actuarial Journal, (2022). doi:10.1007/s13385-022-00317-1 (Accepté/Sous presse). http://hdl.handle.net/2078.1/263669

9. 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. http://hdl.handle.net/2078.1/259117

10. 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

11. Hainaut, Donatien. Pricing of spread and exchange options in a rough jump–diffusion market. In: Journal of Computational and Applied Mathematics, Vol. 149 (2023). doi:10.1016/j.cam.2022.114752 (Accepté/Sous presse). http://hdl.handle.net/2078.1/265606

12. 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. http://hdl.handle.net/2078.1/260117

13. Lanotte, Myriam; Devolder, Pierre. Communication relative aux pensions : digitalisation et défis pour l'avenir. In: Revue Belge de Sécurité Sociale, (2022). (Accepté/Sous presse). http://hdl.handle.net/2078.1/268699

14. Devolder, Pierre; Hindriks, Jean. Une pension légale sous forme d’un compte pension. In: Regards économiques, , no.Focus 28 (2022). doi:10.14428/regardseco2022.02.03.01. http://hdl.handle.net/2078.1/259744

15. Hanna, Vanessa; Hieber, Peter; Devolder, Pierre. Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy. In: Scandinavian Actuarial Journal, Vol. 2022, no. 5, p. 421-446 (2022). doi:10.1080/03461238.2021.1992001. http://hdl.handle.net/2078.1/253289

16. 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

17. Denuit, Michel; Robert, Christian. Peering ahead. In: The Actuary, , no.January-February, p. 38-39 (2022). http://hdl.handle.net/2078.1/258574

18. 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. http://hdl.handle.net/2078.1/259094

19. 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. http://hdl.handle.net/2078.1/257959

20. 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

21. 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

22. 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

23. Ngugnie Diffouo, Pauline; Devolder, Pierre. Solvency measurement of life annuity products. In: International Journal of Theoretical and Applied Finance, Vol. 25, no.2, p. 2250003 (2022). doi:10.1142/S0219024922500030. http://hdl.handle.net/2078.1/259742

24. Ngugnie Diffouo, Pauline; Devolder, Pierre. Design of risk sharing for risk-linked annuities. In: International Journal of Financial Engineering, , p. 2150021 (2021). doi:10.1142/s2424786321500213. http://hdl.handle.net/2078.1/248895

25. Devolder, Pierre; Degoli, Maria-Cristina. Les enjeux et les perspectives de la pension à points à la lumière de l'expérience belge. In: Droit Social, Vol. 5, no. 5, p. 413-421 (2021). http://hdl.handle.net/2078.1/248359

26. 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. http://hdl.handle.net/2078.1/254559

27. 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. http://hdl.handle.net/2078.1/254560

28. 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

29. 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

30. 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. http://hdl.handle.net/2078.1/244116

31. 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. http://hdl.handle.net/2078.1/246704

32. 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. http://hdl.handle.net/2078.1/250900

33. 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

34. 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

35. Diakite, Keivan; Devolder, Pierre. Progressive Pension Formula and Life Expectancy Heterogeneity. In: Risks, Vol. 9, no.7, p. 127 (2021). doi:10.3390/risks9070127. http://hdl.handle.net/2078.1/251345

36. Deelstra, Griselda; Devolder, Pierre; Melis, Roberta. Optimal annuitisation in a deterministic financial environment. In: Decisions in Economics and Finance, Vol. 44, p. 161-175 (2021). doi:10.1007/s10203-020-00316-5. http://hdl.handle.net/2078.1/245441

37. Devolder, Pierre. Coût réel pour l’État du deuxième pilier belge de pension pour salariés : l’approche actuarielle bouscule quelques à priori. In: Regards économiques, Vol. 166, p. 1-12 (2021). http://hdl.handle.net/2078.1/251422

38. 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. http://hdl.handle.net/2078.1/254019

39. 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. http://hdl.handle.net/2078.1/251883

40. 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. http://hdl.handle.net/2078.1/254018

41. 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. http://hdl.handle.net/2078.1/254020

42. 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. http://hdl.handle.net/2078.1/240685

43. 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. http://hdl.handle.net/2078.1/241429

44. 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. http://hdl.handle.net/2078.1/249142

45. 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. http://hdl.handle.net/2078.1/248773

46. 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. http://hdl.handle.net/2078.1/248771

47. 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). ISBA Discussion Paper 2020/03. doi:10.1016/j.cam.2020.112995. http://hdl.handle.net/2078.1/227948


Books


1. Hainaut, Donatien. Continuous Time Processes for Finance : Switching, Self-exciting, Fractional and other Recent Dynamics. Springer, 2022. 978-3-031-06360-2. 345 pages. http://hdl.handle.net/2078.1/264705