Michel Denuit

Catholic University of Louvain

Place Montesquieu, 3

B-1348 Louvain-la-Neuve, 1348

Belgium

  • Catholic University of Louvain

SCHOLARLY PAPERS

29

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128

Scholarly Papers (29)

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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 747 (35,407)
Citation 6

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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 584 (49,166)
Citation 17

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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 438 (70,350)
Citation 4

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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
Michel Denuit, Jan Dhaene, Marc Goovaerts, Rob Kaas and Roger J. A. Laeven
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 382 (82,664)
Citation 2

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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
Jan Dhaene, Michel Denuit, Marc Goovaerts, Rob Kaas and David Vyncke
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 331 (97,323)
Citation 1

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6.

Measuring Portfolio Risk Under Partial Dependence Information

Downloads 306 (106,173)
Citation 5

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 306 (105,600)
Citation 9

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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 189 (171,445)
Citation 1

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

8.

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 163 (195,204)

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Bonus-Malus system, Markov chains, exponential loss functions

9.

Multivariate Concave and Convex Stochastic Dominance

INSEAD Working Paper No. 2010/29/DS
Number of pages: 28 Posted: 23 Apr 2010
Michel Denuit, Louis Eeckhoudt, Ilia Tsetlin and Robert L. Winkler
Catholic University of Louvain, Catholic University of Lille - IESEG School of Management, INSEAD and Duke University - Fuqua School of Business
Downloads 148 (211,628)
Citation 5

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

10.

Nonparametric Tests for Positive Quadrant Dependence

Downloads 132 (231,960)

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 University of Geneva GSEM and GFRI
Downloads 132 (232,702)
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 University of Geneva GSEM and GFRI

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

11.

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 127 (238,846)
Citation 1

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

12.

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 University of Geneva GSEM and GFRI
Downloads 118 (252,348)
Citation 3

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

13.

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
Mathieu Pigeon, Katrien Antonio and Michel Denuit
Catholic University of Louvain (UCL), KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 116 (255,418)
Citation 1

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

14.

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
Mathieu Pigeon, Katrien Antonio and Michel Denuit
Catholic University of Louvain (UCL), KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 111 (263,574)

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

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 82 (321,096)

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16.

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 71 (348,753)
Citation 2

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dependence, risk theory, convex order

17.

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

Number of pages: 21 Posted: 20 May 2005
Michel Denuit, O. Scaillet and Anne-Cécile Goderniaux
Catholic University of Louvain, University of Geneva GSEM and GFRI and Independent
Downloads 71 (348,753)

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

18.

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
Rob Kaas, Jan Dhaene, David Vyncke, Marc Goovaerts and Michel Denuit
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 68 (357,113)
Citation 1

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19.

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 41 (448,518)

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20.

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

Number of pages: 14 Posted: 05 Mar 2014
Marcus Christian Christiansen, Michel Denuit and Jan Dhaene
Heriot-Watt University, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 39 (456,904)
Citation 1

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

21.

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
Helene Cossette, Michel Denuit, Jan Dhaene and Etienne Marceau
affiliation not provided to SSRN, Catholic University of Louvain, Katholieke Universiteit Leuven and affiliation not provided to SSRN
Downloads 38 (461,106)

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Dependence, Stochastic Dominance, Stochastic Annuities

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
Jan Dhaene, Els Godecharle, Katrien Antonio and Michel Denuit
Katholieke Universiteit Leuven, KU Leuven - Department of Applied Economics, KU LeuvenUniversity of Amsterdam and Catholic University of Louvain
Downloads 31 (493,253)

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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
Michel Denuit, Pierre Devolder and Anne-Cécile Goderniaux
Catholic University of Louvain, Catholic University of Louvain and Independent
Downloads 24 (531,872)
Citation 4
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24.

Updating Mechanism for Lifelong Insurance Contracts Subject to Medical Inflation

Number of pages: 32 Posted: 17 Nov 2016
Michel Denuit, Jan Dhaene, Hamza Hanbali, Nathalie Lucas and Julien Trufin
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 22 (544,048)
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 12 (608,197)

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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
Sandra Pitrebois, Michel Denuit and Jean-François Walhin
Secura, Catholic University of Louvain and Catholic University of Louvain - Institut des Sciences Actuarielles
Downloads 11 (614,941)
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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
Jean-Philippe Boucher, Michel Denuit and Montserrat Guillen
University of Quebec at Montreal (UQAM), Catholic University of Louvain and affiliation not provided to SSRN
Downloads 4 (663,210)
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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 (680,412)
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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, Dipartimento di Economia e Finanza

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