We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model...

We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the...

The comparison of different hypotheses, i.e. of competing models, is the basis of model specification. It may be performed along two main lines. The first one consists in associating with each model a loss function and in retaining the specification implying the smallest (estimated) loss. In...

The main tools and concepts of financial and actuarial theory are designed to handle standard, or even small risks. The aim of this paper is to reconsider some selected financial problems, in a setup including infrequent extreme risks. We first consider investors maximizing the expected utility...

This article considers large portfolios of assets submitted to both systematic and unsystematic (or idiosyncratic) risks. The idiosyncratic risks can be fully diversified if the portfolio size is infinite, but only partly diversified otherwise. The granularity adjustment measures the effect of...