Search Results - person:"Thérond, Pierre-E."

A tree-based algorithm adapted to microlevel reserving and long development claims

Lopez, Olivier; Milhaud, Xavier; Thérond, Pierre-E. - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 741-762

Persistent link: https://www.econbiz.de/10012125135

Age-specific adjustment of graduated mortality

Salhi, Yahia; Thérond, Pierre-E. - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 543-569

Persistent link: https://www.econbiz.de/10011875664

Some characteristics of an equity security next-year impairment

Azzaz, Julien; Loisel, Stéphane; Thérond, Pierre-E. - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 111-135

Persistent link: https://www.econbiz.de/10011333134

Distortion risk measures, ambiguity aversion and optimal effort

Robert, Christian Yann; Therond, Pierre-E. - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 277-302

Persistent link: https://www.econbiz.de/10010393955

Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee

Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10008989359

Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee

Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-176

Persistent link: https://www.econbiz.de/10008812739

Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee

Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance: Mathematics and Economics 48 (2011) 2, pp. 161-175

In this paper, we are interested in hedging strategies which allow the insurer to reduce the risk to their portfolio of unit-linked life insurance contracts with minimum death guarantee. Hedging strategies are developed in the Black and Scholes model and in the Merton jump-diffusion model....

Persistent link: https://www.econbiz.de/10008865443