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In an insurance context, one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over aâ€¦ (More)

- Jan Dhaene, Michel Denuit, Marc J. Goovaerts, Rob Kaas, D. Vyncke April
- 2002

In an insurance context, one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over aâ€¦ (More)

- Michel Denuit, Christian Genest, Ã‰. Marceau
- 1998

There is a growing concern in the actuarial literature for the effect of dependence between individual risks Xi on the distribution of the aggregate claimS = X1 + Â· Â· Â· + Xn. Recent work by Dhaeneâ€¦ (More)

We provide a self-contained analysis of a class of continuous-time stochastic mortality models that have gained popularity in the last few years. We describe some of their advantages and limitations,â€¦ (More)

- Cindy Courtois, Michel Denuit, SÃ©bastien Van Bellegem
- Appl. Math. Lett.
- 2006

Given a nondegenerated moment space with s fixed moments, explicit formulas for the discrete s-convex extremal distribution have been derived for s = 1, 2, 3. If s = 4, only the maximal distributionâ€¦ (More)

- Marcus C. Christiansen, Michel Denuit, Dorina Lazar
- 2010

In this paper, we develop a model supporting the so-called square-root formula used in Solvency II to aggregate the modular life SCR. Describing the insurance policy by a Markov jump process, we canâ€¦ (More)

In this paper, we consider a decision-maker facing a financial risk flanked by a background risk, possibly non-financial, such as health or environmental risk. A decision has to be made about theâ€¦ (More)

- Michel Denuit, Louis Eeckhoudt
- J. Economic Theory
- 2010

This paper aims to extend the results by Ross [15] and by Modica and Scarsini [13] to stochastic dominance of degree 4 and over. Specifically, it is shown that Rossâ€™ approach can be extended to anyâ€¦ (More)

Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measuresâ€¦ (More)

In the recent actuarial literature, several proofs have been given for the fact that if a random vector (X1,X2, . . . ,Xn) with given marginals has a comonotonic joint distribution, the sum X1 + X2 +â€¦ (More)