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Author ID: hainaut.donatien Recent zbMATH articles by "Hainaut, Donatien"
Published as: Hainaut, Donatien
Documents Indexed: 42 Publications since 2006, including 4 Books
Co-Authors: 16 Co-Authors with 25 Joint Publications
492 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

33 Publications have been cited 164 times in 143 Documents Cited by Year
Mortality modelling with Lévy processes. Zbl 1141.91516
Hainaut, Donatien; Devolder, Pierre
20
2008
A neural-network analyzer for mortality forecast. Zbl 1390.91186
Hainaut, Donatien
12
2018
Multidimensional Lee-Carter model with switching mortality processes. Zbl 1235.91091
Hainaut, Donatien
12
2012
A model for interest rates with clustering effects. Zbl 1400.91630
Hainaut, Donatien
11
2016
Management of a pension fund under mortality and financial risks. Zbl 1119.91053
Hainaut, Donatien; Devolder, Pierre
11
2007
Dynamic asset allocation under VaR constraint with stochastic interest rates. Zbl 1183.91165
Hainaut, Donatien
9
2009
Contagion modeling between the financial and insurance markets with time changed processes. Zbl 1394.91218
Hainaut, Donatien
9
2017
Impulse control of pension fund contributions, in a regime switching economy. Zbl 1339.91141
Hainaut, Donatien
7
2014
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck
7
2019
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197
Hainaut, Donatien; Deelstra, Griselda
6
2014
Strategic asset allocation with switching dependence. Zbl 1298.91138
Hainaut, Donatien; MacGilchrist, Renaud
6
2012
Impact of volatility clustering on equity indexed annuities. Zbl 1371.91090
Hainaut, Donatien
6
2016
Effective statistical learning methods for actuaries I. GLMs and extensions. Zbl 1426.62003
Denuit, Michel; Hainaut, Donatien; Trufin, Julien
6
2019
An intensity model for credit risk with switching Lévy processes. Zbl 1402.91846
Hainaut, Donatien; Le Courtois, Olivier
5
2014
Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150
Hainaut, Donatien; Deelstra, Griselda
5
2014
Life annuitization why and how much? Zbl 1162.91414
Hainaut, Donatien; Devolder, Pierre
5
2006
Clustered Lévy processes and their financial applications. Zbl 1358.60062
Hainaut, Donatien
4
2017
A switching microstructure model for stock prices. Zbl 1417.91565
Hainaut, Donatien; Goutte, Stephane
3
2019
Wavelet-based feature extraction for mortality projection. Zbl 1454.91190
Hainaut, Donatien; Denuit, Michel
3
2020
Effective statistical learning methods for actuaries III. Neural networks and extensions. Zbl 1426.62002
Denuit, Michel; Hainaut, Donatien; Trufin, Julien
2
2019
How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? Zbl 1416.91396
Hainaut, Donatien; Shen, Yang; Zeng, Yan
2
2018
Option pricing in illiquid markets: a fractional jump-diffusion approach. Zbl 1447.91174
Hainaut, Donatien; Leonenko, Nikolai
2
2021
Hedging of crop harvest with derivatives on temperature. Zbl 1419.91367
Hainaut, Donatien
1
2019
A fractional multi-states model for insurance. Zbl 1466.91260
Hainaut, Donatien
1
2021
Moment generating function of non-Markov self-excited claims processes. Zbl 1475.91304
Hainaut, Donatien
1
2021
Effective statistical learning methods for actuaries II. Tree-based methods and extensions. Zbl 1451.62003
Denuit, Michel; Hainaut, Donatien; Trufin, Julien
1
2020
Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403
Njike Leunga, Charles Guy; Hainaut, Donatien
1
2020
The annuity puzzle revisited: a deterministic version of Lagrangian methods. Zbl 1356.91058
Devolder, Pierre; Hainaut, Donatien
1
2006
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. Zbl 1447.60072
Hainaut, Donatien; Deelstra, Griselda
1
2019
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
1
2019
A self-organizing predictive map for non-life insurance. Zbl 1422.91352
Hainaut, Donatien
1
2019
CDS pricing with fractional Hawkes processes. Zbl 1490.91237
Ketelbuters, John-John; Hainaut, Donatien
1
2022
Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics. Zbl 07555472
Hainaut, Donatien
1
2022
CDS pricing with fractional Hawkes processes. Zbl 1490.91237
Ketelbuters, John-John; Hainaut, Donatien
1
2022
Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics. Zbl 07555472
Hainaut, Donatien
1
2022
Option pricing in illiquid markets: a fractional jump-diffusion approach. Zbl 1447.91174
Hainaut, Donatien; Leonenko, Nikolai
2
2021
A fractional multi-states model for insurance. Zbl 1466.91260
Hainaut, Donatien
1
2021
Moment generating function of non-Markov self-excited claims processes. Zbl 1475.91304
Hainaut, Donatien
1
2021
Wavelet-based feature extraction for mortality projection. Zbl 1454.91190
Hainaut, Donatien; Denuit, Michel
3
2020
Effective statistical learning methods for actuaries II. Tree-based methods and extensions. Zbl 1451.62003
Denuit, Michel; Hainaut, Donatien; Trufin, Julien
1
2020
Interbank credit risk modeling with self-exciting jump processes. Zbl 1457.91403
Njike Leunga, Charles Guy; Hainaut, Donatien
1
2020
A switching self-exciting jump diffusion process for stock prices. Zbl 1417.91502
Hainaut, Donatien; Moraux, Franck
7
2019
Effective statistical learning methods for actuaries I. GLMs and extensions. Zbl 1426.62003
Denuit, Michel; Hainaut, Donatien; Trufin, Julien
6
2019
A switching microstructure model for stock prices. Zbl 1417.91565
Hainaut, Donatien; Goutte, Stephane
3
2019
Effective statistical learning methods for actuaries III. Neural networks and extensions. Zbl 1426.62002
Denuit, Michel; Hainaut, Donatien; Trufin, Julien
2
2019
Hedging of crop harvest with derivatives on temperature. Zbl 1419.91367
Hainaut, Donatien
1
2019
A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices. Zbl 1447.60072
Hainaut, Donatien; Deelstra, Griselda
1
2019
A self-exciting switching jump diffusion: properties, calibration and hitting time. Zbl 1420.91462
Hainaut, Donatien; Deelstra, Griselda
1
2019
A self-organizing predictive map for non-life insurance. Zbl 1422.91352
Hainaut, Donatien
1
2019
A neural-network analyzer for mortality forecast. Zbl 1390.91186
Hainaut, Donatien
12
2018
How do capital structure and economic regime affect fair prices of bank’s equity and liabilities? Zbl 1416.91396
Hainaut, Donatien; Shen, Yang; Zeng, Yan
2
2018
Contagion modeling between the financial and insurance markets with time changed processes. Zbl 1394.91218
Hainaut, Donatien
9
2017
Clustered Lévy processes and their financial applications. Zbl 1358.60062
Hainaut, Donatien
4
2017
A model for interest rates with clustering effects. Zbl 1400.91630
Hainaut, Donatien
11
2016
Impact of volatility clustering on equity indexed annuities. Zbl 1371.91090
Hainaut, Donatien
6
2016
Impulse control of pension fund contributions, in a regime switching economy. Zbl 1339.91141
Hainaut, Donatien
7
2014
Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality. Zbl 1402.91197
Hainaut, Donatien; Deelstra, Griselda
6
2014
An intensity model for credit risk with switching Lévy processes. Zbl 1402.91846
Hainaut, Donatien; Le Courtois, Olivier
5
2014
Default probabilities of a holding company, with complete and partial information. Zbl 1319.91150
Hainaut, Donatien; Deelstra, Griselda
5
2014
Multidimensional Lee-Carter model with switching mortality processes. Zbl 1235.91091
Hainaut, Donatien
12
2012
Strategic asset allocation with switching dependence. Zbl 1298.91138
Hainaut, Donatien; MacGilchrist, Renaud
6
2012
Dynamic asset allocation under VaR constraint with stochastic interest rates. Zbl 1183.91165
Hainaut, Donatien
9
2009
Mortality modelling with Lévy processes. Zbl 1141.91516
Hainaut, Donatien; Devolder, Pierre
20
2008
Management of a pension fund under mortality and financial risks. Zbl 1119.91053
Hainaut, Donatien; Devolder, Pierre
11
2007
Life annuitization why and how much? Zbl 1162.91414
Hainaut, Donatien; Devolder, Pierre
5
2006
The annuity puzzle revisited: a deterministic version of Lagrangian methods. Zbl 1356.91058
Devolder, Pierre; Hainaut, Donatien
1
2006
all top 5

Cited by 248 Authors

24 Hainaut, Donatien
5 Blake, David
5 Yao, Haixiang
4 Deelstra, Griselda
4 Denuit, Michel M.
4 Jin, Zhuo
4 Wang, Chou-Wen
3 Bernis, Guillaume
3 Devolder, Pierre
3 Li, Zhongfei
3 MacMinn, Richard D.
3 Qian, Linyi
3 Scotti, Simone
3 Sherris, Michael
3 Trufin, Julien
2 Antonio, Katrien
2 Börger, Matthias
2 Brignone, Riccardo
2 Cairns, Andrew J. G.
2 Cui, Lirong
2 Dadashi, Hassan
2 Donnelly, Catherine
2 Huang, Hong-Chih
2 Josa-Fombellida, Ricardo
2 Ketelbuters, John-John
2 Korn, Ralf
2 Lai, Yongzeng
2 le Courtois, Olivier
2 Levantesi, Susanna
2 Li, Johnny Siu-Hang
2 Li, Shuanming
2 Linders, Daniël
2 Liu, Guo
2 Loisel, Stéphane
2 Nigri, Andrea
2 Njike Leunga, Charles Guy
2 Rincón-Zapatero, Juan Pablo
2 Schupp, Johannes
2 Scognamiglio, Salvatore
2 Serrano, Rafael
2 Sgarra, Carlo
2 Shen, Yang
2 Tan, Ken Seng
2 Tsai, Jeffrey Tzuhao
2 Tzeng, Larry Yu-Ren
2 Wang, Jennifer L.
2 Wang, Rongming
2 Wüthrich, Mario Valentin
2 Yang, Sharon S.
2 Zhu, Wenjun
1 Aase, Knut Kristian
1 Adam, Alexandre
1 Ahmadi, Seyed Saeed
1 Aktaev, Nurken E.
1 Albrecher, Hansjörg
1 Angelini, Flavio
1 Araujo-Acuna, José Carlos
1 Bahl, Raj Kumari
1 Bannova, K. A.
1 Bao, Jiayong
1 Barbarin, Jérome
1 Bäuerle, Nicole
1 Beirlant, Jan
1 Bernhardt, Thomas
1 Bian, Baojun
1 Bian, Lihua
1 Bielecki, Tomasz R.
1 Bjerre, Dorethe Skovgaard
1 Bladt, Martin
1 Bonneuil, Noël
1 Bonnin, François
1 Borges, Maria Rosa
1 Boucekkine, Raouf
1 Boumezoued, Alexandre
1 Buckley, Winston S.
1 Ceci, Claudia
1 Chatterjee, Niladri
1 Chen, Bingzheng
1 Chen, Dianfa
1 Chen, Hua
1 Chen, Ping
1 Chen, Yiling
1 Cheng, Hung-Wen
1 Cherrat, Hamza
1 Christensen, Bent Jesper
1 Christopoulos, Apostolos
1 Cialenco, Igor
1 Colaneri, Katia
1 Corradin, Alexandre
1 Cretarola, Alessandra
1 Cummins, J. David
1 Dassios, Angelos
1 De Angelis, Tiziano
1 Deng, Jun
1 Detyniecki, Marcin
1 Dhaene, Jan
1 Dias, José G.
1 Doan, Bao Quoc
1 Dowd, Kevin
1 Dutang, Christophe
...and 148 more Authors

Citations by Year