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Almost expectation and excess dependence notions

Denuit, Michel; Huang, Rachel J.; Tzeng, Larry Y. - In: Theory and decision : an international journal for … 79 (2015) 3, pp. 375-401

Persistent link: https://www.econbiz.de/10011377445

Non-differentiable transformations preserving stochastic dominance

Denuit, Michel; Eeckhoudt, Louis R.; Jokung Nguena, Octave - In: Journal of the Operational Research Society : OR 64 (2013) 9, pp. 1441-1446

Persistent link: https://www.econbiz.de/10009788603

Benchmark values for higher order coefficients of relative risk aversion

Denuit, Michel; Rey, Béatrice - In: Theory and decision : an international journal for … 76 (2014) 1, pp. 81-94

Persistent link: https://www.econbiz.de/10010345268

Tail mutual exclusivity and tail-var lower bounds

Cheung, Ka Chun; Denuit, Michel; Dhaene, Jan - 2015

In this paper, we extend the concept of mutual exclusivity proposed by Dhaene and Denuit (1999) to its tail counterpart and baptise this new dependency structure as tail mutual exclusivity. Probability levels are first specified for each component of the random vector. Under this dependency...

Persistent link: https://www.econbiz.de/10010477089

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

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

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

Discussion on "size-biased risk measures of compound sums," by Michel Denuit, January 2020

Furman, Edward; Kye, Yisub; Su, Jianxi - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 4, pp. 631-636

Persistent link: https://www.econbiz.de/10013167030

Another look at risk apportionment

Denuit, Michel; Rey, Béatrice - In: Journal of mathematical economics 49 (2013) 4, pp. 335-343

Persistent link: https://www.econbiz.de/10010190189

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

Large-loss behavior of conditional mean risk sharing

Denuit, Michel; Robert, Christian Yann - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1093-1122

Persistent link: https://www.econbiz.de/10012307400

From regulatory life tables to stochastic mortality projections : the exponential decline model

Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 71 (2016), pp. 295-303

Persistent link: https://www.econbiz.de/10011630848