Michel Denuit

Catholic University of Louvain

Place Montesquieu, 3

B-1348 Louvain-la-Neuve, 1348

Belgium

SCHOLARLY PAPERS

29

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SSRN CITATIONS
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Top 7,946

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35

CROSSREF CITATIONS

128

Scholarly Papers (29)

1.

Stochastic Mortality Under Measure Changes

Number of pages: 42 Posted: 22 Jun 2009 Last Revised: 13 Feb 2010
Enrico Biffis, Michel Denuit and Pierre Devolder
Imperial College Business School, Catholic University of Louvain and Catholic University of Louvain
Downloads 769 (46,895)
Citation 11

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Stochastic mortality, Lee-Carter model, mortality risk premium, fair valuation, mortality-linked securities

2.

The Concept of Comonotonicity in Actuarial Science and Finance: Theory

Insurance: Mathematics & Economics, Vol. 31, No. 1, pp. 3-33, 2002
Number of pages: 50 Posted: 26 Aug 2003 Last Revised: 18 Jan 2015
Jan Dhaene, Michel Denuit, Marc Goovaerts and Rob Kaas
Katholieke Universiteit Leuven, Catholic University of Louvain, Catholic University of Leuven (KUL) - Department of Economics and University of Amsterdam - Faculty of Economics & Econometrics (FEE)
Downloads 626 (61,460)
Citation 1

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Asian option, dependency, comonotonic copula, cash-flow, annuity, convex order bounds

3.

Lee-Carter Goes Risk-Neutral

Cass Business School Research Paper
Number of pages: 19 Posted: 16 Nov 2005 Last Revised: 02 Jan 2008
Enrico Biffis and Michel Denuit
Imperial College Business School and Catholic University of Louvain
Downloads 461 (89,746)
Citation 5

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stochastic mortality, Lee-Carter model, mortality projections, fair valuation, longevity risk

4.

Risk Measurement with Equivalent Utility Principles

Number of pages: 26 Posted: 02 Feb 2006
Catholic University of Louvain, Katholieke Universiteit Leuven, Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 425 (98,867)
Citation 3

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Risk measures, Theories for decision under uncertainty, Axiomatic characterization, Equivalent utility, Risk aversion

5.

The Concept of Comonotonicity in Actuarial Science and Finance: Applications

Insurance: Mathematics & Economics, Vol. 31, No. 2, pp. 133-161, 2002
Number of pages: 44 Posted: 01 Mar 2006
Katholieke Universiteit Leuven, Catholic University of Louvain, Catholic University of Leuven (KUL) - Department of Economics, University of Amsterdam - Faculty of Economics & Econometrics (FEE) and Ghent University - Department of Applied Mathematics and Computer Science
Downloads 348 (123,651)
Citation 1

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Measuring Portfolio Risk Under Partial Dependence Information

Number of pages: 39 Posted: 09 Mar 2014 Last Revised: 02 Nov 2017
Carole Bernard, Michel Denuit and Steven Vanduffel
Grenoble Ecole de Management, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 333 (128,935)
Citation 11

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Stochastic dominance, Moment space, s-convex order, Value-at-Risk

7.

Simple Characterizations of Comonotonicity and Countermonotonicity by Extremal Correlations

Belgian Actuarial Bulletin, Vol. 3, pp. 22-27, 2003
Number of pages: 14 Posted: 02 Mar 2006
Michel Denuit and Jan Dhaene
Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 236 (183,819)
Citation 1

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Comonotonicity, Countermonotonicity, Frechet spaces, Frechet bounds, measures of association.

8.

Individual Loss Reserving Using Paid-Incurred Data

Insurance: Mathematics and Economics, 2014, 58, 121-131.
Number of pages: 23 Posted: 05 Mar 2014 Last Revised: 17 May 2017
Catholic University of Louvain (UCL), KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 173 (243,516)

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Stochastic Loss Reserving; General Insurance; Multivariate Skew Normal Distribution; Prediction

9.

Bonus-Malus Scales Using Exponential Loss Functions

Blätter der Deutshce Gesellschaft für Versicherungsmathematik, Vol. 25, pp. 13-27, 2001
Number of pages: 19 Posted: 01 Mar 2006
Michel Denuit and Jan Dhaene
Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 166 (252,030)

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Bonus-Malus system, Markov chains, exponential loss functions

10.

Individual Loss Reserving with the Multivariate Skew Normal Framework

ASTIN Bulletin, 43(3), 399-428 (2013)
Number of pages: 30 Posted: 01 Feb 2012 Last Revised: 17 May 2017
Catholic University of Louvain (UCL), KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 164 (254,600)
Citation 2

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stochastic loss reserving, general insurance, multivariate skew normal distribution, chain-ladder

11.

Multivariate Concave and Convex Stochastic Dominance

INSEAD Working Paper No. 2010/29/DS
Number of pages: 28 Posted: 23 Apr 2010
Catholic University of Louvain, Catholic University of Lille - IESEG School of Management, INSEAD and Duke University - Fuqua School of Business
Downloads 155 (266,772)
Citation 6

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Decision Analysis, Multiple Criteria, Risk, Group Decisions, Utility/Preference, Multiattribute Utility, Stochastic Dominance, Stochastic Orders

12.

Exponential Bonus-Malus Systems Integrating a Priori Risk Classification

Journal of Actuarial Practice, Vol. 9, pp. 84-112, 2001
Number of pages: 25 Posted: 02 Mar 2006
Lluís Bermúdez, Michel Denuit and Jan Dhaene
University of Barcelona - Department of Actuarial, Financial and Economic Mathematics, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 146 (279,990)
Citation 1

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Bonus-Malus system, quadratic loss function, exponential loss function,credibility estimation, explanatory variables, experience rating, risk classification

13.
Downloads 142 (286,097)
Citation 18

Nonparametric Tests for Positive Quadrant Dependence

FAME Research Paper No. 44
Number of pages: 39 Posted: 25 May 2002
Michel Denuit and O. Scaillet
Catholic University of Louvain and Swiss Finance Institute - University of Geneva
Downloads 142 (287,042)
Citation 18

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Nonparametric Stochastic Ordering, Positive Quadrant Dependence, Positive Orthant Dependence, Copula, Inequality Constraint Test, Risk Management, Loss Severity Distribution

Nonparametric Tests for Positive Quadrant Dependence

Journal of Financial Econometrics, Vol. 2, No. 3, pp. 422-450, 2004
Posted: 29 Feb 2008
Michel Denuit and O. Scaillet
Catholic University of Louvain and Swiss Finance Institute - University of Geneva

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copula, inequality constraint test, nonparametric, positive quadrant dependence, risk management

14.

Testing for Concordance Ordering

FAME Research Paper No. 41
Number of pages: 42 Posted: 24 May 2002
Ana C. Cebrian, Michel Denuit and O. Scaillet
University of Zaragoza, Catholic University of Louvain and Swiss Finance Institute - University of Geneva
Downloads 133 (301,020)
Citation 3

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Nonparametric, Concordance Ordering, Quadrant Dominance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution

15.

Correlation Order, Merging and Diversification

Final version in Insurance: Mathematics and Economics, Vol. 45, 325-332
Number of pages: 24 Posted: 01 May 2009 Last Revised: 12 May 2010
Jan Dhaene, Michel Denuit and Steven Vanduffel
Katholieke Universiteit Leuven, Catholic University of Louvain and Vrije Universiteit Brussel (VUB)
Downloads 91 (390,339)

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16.

A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum

ASTIN Bulletin, Vol. 32, No. 1, pp. 71-80, 2002
Number of pages: 12 Posted: 02 Mar 2006
University of Amsterdam - Faculty of Economics & Econometrics (FEE), Katholieke Universiteit Leuven, Ghent University - Department of Applied Mathematics and Computer Science, Catholic University of Leuven (KUL) - Department of Economics and Catholic University of Louvain
Downloads 90 (393,035)

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17.

Does Positive Dependence between Individual Risks Increase Stop-Loss Premiums?

Insurance: Mathematics & Economics, Vol. 28, No. 3, pp. 305-308, 2001
Number of pages: 7 Posted: 01 Mar 2006
Michel Denuit, Jan Dhaene and Carme Ribas
Catholic University of Louvain, Katholieke Universiteit Leuven and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
Downloads 78 (427,830)
Citation 2

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dependence, risk theory, convex order

18.

A Kolmogorov-Smirnov Type Test for Shortfall Dominance Against Parametric Alternatives

Number of pages: 21 Posted: 20 May 2005
Catholic University of Louvain, Swiss Finance Institute - University of Geneva and Independent
Downloads 76 (434,083)

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Right-spread order, Excess-wealth order, New better than used in expectation, Bootstrap, Reliability, CEO compensation, Flight delay

19.

Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts

Number of pages: 14 Posted: 05 Mar 2014
Heriot-Watt University, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 49 (537,072)
Citation 1

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life insurance, multistate models, Markov process, surrender value, Cantelli theorem

20.

Stochastic Approximations of Present Value Functions

Bulletin of the Swiss Association of Actuaries, Vol. 1, pp. 15-28, 2001
Number of pages: 14 Posted: 16 May 2010
affiliation not provided to SSRN, Catholic University of Louvain, Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 45 (556,043)

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Dependence, Stochastic Dominance, Stochastic Annuities

21.

Risk and Savings Contracts

Transactions of the 27th International Congress of Actuaries, March 17-22, 2002
Number of pages: 42 Posted: 02 Mar 2006
Jan Dhaene, H. Wolthuis, Michel Denuit and Marc Goovaerts
Katholieke Universiteit Leuven, University of Amsterdam - Department of Quantitative Economics (KE), Catholic University of Louvain and Catholic University of Leuven (KUL) - Department of Economics
Downloads 43 (565,910)

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22.

Lifelong Health Insurance Covers with Surrender Values: Updating Mechanisms in the Presence of Medical Inflation

Number of pages: 30 Posted: 28 Apr 2015 Last Revised: 17 May 2017
Katholieke Universiteit Leuven, KU Leuven - Department of Applied Economics, KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 38 (592,127)

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medical expense insurance, lifelong contract, medical inflation index, withdrawal, surrender value

23.

Securitization of Longevity Risk: Pricing Survivor Bonds with Wang Transform in the Lee-Carter Framework

Journal of Risk & Insurance, Vol. 74, No. 1, pp. 87-113, March 2007
Number of pages: 27 Posted: 04 Mar 2007
Catholic University of Louvain, Catholic University of Louvain and Independent
Downloads 31 (633,530)
Citation 9

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24.

Updating Mechanism for Lifelong Insurance Contracts Subject to Medical Inflation

Number of pages: 32 Posted: 17 Nov 2016
Catholic University of Louvain, Katholieke Universiteit Leuven, KU Leuven - Faculty of Business and Economics (FEB), Catholic University of Louvain (UCL) and Université Libre de Bruxelles (ULB)
Downloads 25 (675,004)
Citation 1

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health insurance, reserving, inflation, premium update, solvency evaluation

25.

Tail Mutual Exclusivity and Tail-VaR Lower Bounds

Number of pages: 22 Posted: 03 Mar 2015
Ka Chun Cheung, Michel Denuit and Jan Dhaene
The University of Hong Kong, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 15 (756,661)

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Mutual exclusivity, stop-loss transform, tail convex order, risk measures

26.

Multi-Event Bonus-Malus Scales

Journal of Risk & Insurance, Vol. 73, No. 3, pp. 517-528, September 2006
Number of pages: 12 Posted: 07 Sep 2006
Secura, Catholic University of Louvain and Catholic University of Louvain - Institut des Sciences Actuarielles
Downloads 12 (785,134)

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27.

Number of Accidents or Number of Claims? An Approach with Zero-Inflated Poisson Models for Panel Data

Journal of Risk and Insurance, Vol. 76, Issue 4, pp. 821-846, December 2009
Number of pages: 26 Posted: 09 Nov 2009
University of Quebec at Montreal (UQAM), Catholic University of Louvain and affiliation not provided to SSRN
Downloads 8 (825,754)
Citation 1

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28.

Multivariate Analysis of Premium Dynamics in P&L Insurance

Journal of Risk and Insurance, Vol. 79, Issue 2, pp. 431-448, 2012
Number of pages: 18 Posted: 24 May 2012
Dorina Lazar and Michel Denuit
affiliation not provided to SSRN and Catholic University of Louvain
Downloads 2 (896,535)

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29.

On S-Convexity and Risk Aversion

Theory and Decision, Vol. 50, No. 3, 2001
Posted: 12 Mar 2012
Michel Denuit, Claude Lefevre and Marco Scarsini
Catholic University of Louvain, Université Libre de Bruxelles (ULB) and Luiss University Dipartimento di Economia e Finanza

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Expected utility theory, Actuarial studies, s-convex pain functions, Stochastic s-convex orders, Recursive lotteries