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Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape

Klein, Nadja; Denuit, Michel; Lang, Stefan; Kneib, Thomas - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 225-249

Generalized additive models for location, scale and, shape define a flexible, semi-parametric class of regression models for analyzing insurance data in which the exponential family assumption for the response is relaxed. This approach allows the actuary to include risk factors not only in the...

Persistent link: https://www.econbiz.de/10010753201

Risk apportionment and multiply monotone targets

Denuit, Michel - In: Mathematical social sciences 92 (2018), pp. 74-77

Persistent link: https://www.econbiz.de/10012109086

Size-biased risk measures of compound sums

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 24 (2020) 4, pp. 512-532

Persistent link: https://www.econbiz.de/10012387651

Reply to Edward Furman, Yisub Kye, and Jianxi Su on their discussion on the paper titled "size-biased risk measures of compound sums"

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 637-638

Persistent link: https://www.econbiz.de/10013167031

Reply to Jiandong Ren on their discussion on the paper titled "size-biased risk measures of compound sums"

Denuit, Michel - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 643-643

Persistent link: https://www.econbiz.de/10013167033

From risk reduction to risk elimination by conditional mean risk sharing of independent losses

Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 108 (2023), pp. 46-59

Persistent link: https://www.econbiz.de/10013534509

Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link

Hainaut, Donatien; Trufin, Julien; Denuit, Michel - In: Scandinavian actuarial journal 2022 (2022) 10, pp. 841-866

Persistent link: https://www.econbiz.de/10013491040

Testing for auto-calibration with Lorenz and Concentration curves

Denuit, Michel; Huyghe, Julie; Trufin, Julien; … - In: Insurance : mathematics and economics 117 (2024), pp. 130-139

Persistent link: https://www.econbiz.de/10015066959

Convex and Lorenz orders under balance correction in nonlife insurance pricing : review and new developments

Denuit, Michel; Trufin, Julien - In: Insurance : mathematics and economics 118 (2024), pp. 123-128

Persistent link: https://www.econbiz.de/10015067035

Tradeoffs for downside risk-averse decision-makers and the self-protection decision

Denuit, Michel; Eeckhoudt, Louis; Liu, Liqun; Meyer, Jack - In: The Geneva risk and insurance review 41 (2016) 1, pp. 19-47

Persistent link: https://www.econbiz.de/10011447270