Donatien Hainaut

Available identifiers

zbMath Open hainaut.donatienMaRDI QIDQ297412

List of research outcomes

Publication	Date of Publication	Type
A subdiffusive stochastic volatility jump model	2023-08-02	Paper
Impact of rough stochastic volatility models on long-term life insurance pricing	2023-07-13	Paper
A calendar year mortality model in continuous time	2023-07-13	Paper
Multivariate claim processes with rough intensities: properties and estimation	2023-02-01	Paper
Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link	2023-01-02	Paper
Pricing of spread and exchange options in a rough jump-diffusion market	2022-10-06	Paper
Fractional Hawkes processes	2022-08-18	Paper
Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics	2022-07-11	Paper
Valuation of annuity guarantees under a self-exciting switching jump model	2022-07-07	Paper
PORTFOLIO INSURANCE UNDER ROUGH VOLATILITY AND VOLTERRA PROCESSES	2022-03-11	Paper
CDS pricing with fractional Hawkes processes	2021-12-13	Paper
Time-consistent evaluation of credit risk with contagion	2021-11-24	Paper
Moment generating function of non-Markov self-excited claims processes	2021-11-19	Paper
A fractional multi-states model for insurance	2021-06-21	Paper
INTERBANK CREDIT RISK MODELING WITH SELF-EXCITING JUMP PROCESSES	2021-01-29	Paper
WAVELET-BASED FEATURE EXTRACTION FOR MORTALITY PROJECTION	2020-12-13	Paper
Effective Statistical Learning Methods for Actuaries II	2020-12-03	Paper
Option pricing in illiquid markets: a fractional jump-diffusion approach	2020-08-28	Paper
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices	2020-05-04	Paper
A self-exciting switching jump diffusion: properties, calibration and hitting time	2019-09-26	Paper
Effective Statistical Learning Methods for Actuaries I	2019-09-11	Paper
A self-organizing predictive map for non-life insurance	2019-09-03	Paper
Effective Statistical Learning Methods for Actuaries III	2019-08-13	Paper
A switching microstructure model for stock prices	2019-07-08	Paper
A switching self-exciting jump diffusion process for stock prices	2019-06-28	Paper
Hedging of crop harvest with derivatives on temperature	2019-01-15	Paper
A model for interest rates with clustering effects	2018-11-13	Paper
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality	2018-11-01	Paper
How do capital structure and economic regime affect fair prices of bank's equity and liabilities?	2018-10-31	Paper
A NEURAL-NETWORK ANALYZER FOR MORTALITY FORECAST	2018-06-06	Paper
Robust evaluation of SCR for participating life insurances under Solvency II	2018-04-12	Paper
Contagion modeling between the financial and insurance markets with time changed processes	2017-05-24	Paper
Clustered Lévy processes and their financial applications	2017-03-16	Paper
https://portal.mardi4nfdi.de/entity/Q2965076	2017-02-27	Paper
Impact of volatility clustering on equity indexed annuities	2016-12-14	Paper
Impulse control of pension fund contributions, in a regime switching economy	2016-06-27	Paper
Default probabilities of a holding company, with complete and partial information	2015-08-26	Paper
Evaluation and default time for companies with uncertain cash flows	2015-05-26	Paper
An intensity model for credit risk with switching Lévy processes	2015-04-16	Paper
CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION	2015-01-21	Paper
Strategic asset allocation with switching dependence	2014-11-12	Paper
Multidimensional Lee-Carter model with switching mortality processes	2012-04-18	Paper
Optimal design of profit sharing rates by FFT	2012-02-10	Paper
Dynamic asset allocation under VaR constraint with stochastic interest rates	2010-03-01	Paper
Life Annuitization: Why and how Much?	2009-06-15	Paper
Mortality modelling with Lévy processes	2008-08-22	Paper
Management of a pension fund under mortality and financial risks	2007-07-19	Paper

Research outcomes over time

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