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Estimation of correlations in portfolio credit risk models based on noisy security prices

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349

Persistent link: https://www.econbiz.de/10011589542

Firm-specific credit risk estimation in the presence of regimes and noisy prices

Bégin, Jean-François; Boudreault, Mathieu; Gauthier, … - In: Finance research letters 23 (2017), pp. 306-313

Persistent link: https://www.econbiz.de/10011808423

Do jumps matter in the long term? : a tale of two horizons

Bégin, Jean-François; Boudreault, Mathieu - In: North American actuarial journal : NAAJ ; leading the … 26 (2022) 1, pp. 82-101

Persistent link: https://www.econbiz.de/10013167041

Pricing flood insurance with a hierarchical physics-based model

Boudreault, Mathieu; Grenier, Patrick; Pigeon, Mathieu; … - In: North American actuarial journal : NAAJ ; leading the … 24 (2020) 2, pp. 251-274

Persistent link: https://www.econbiz.de/10012258451

Mitigating interest rate risk in variable annuities : an analysis of hedging effectiveness under model risk

Augustyniak, Maciej; Boudreault, Mathieu - In: North American actuarial journal 21 (2017) 4, pp. 502-525

Persistent link: https://www.econbiz.de/10011858633

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Amaya, Diego; Boudreault, Mathieu; McLeish, Don L. - In: Journal of economic dynamics & control 100 (2019), pp. 297-313

Persistent link: https://www.econbiz.de/10012130974

Ratemaking territories and adverse selection for flood insurance

Boudreault, Mathieu; Ojeda, Angelica - In: Insurance / Mathematics & economics 107 (2022), pp. 349-360

Persistent link: https://www.econbiz.de/10013471255

A changing climate for actuarial science : editorial

Boudreault, Mathieu; Clacher, Iain; Li, Johnny Siu-Hang; … - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 3, pp. 415-419

Persistent link: https://www.econbiz.de/10014436771

Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 123-132

In the line of Cossette et al. (2003), we adapt and refine known Markovian-type risk models of Asmussen (1989) and Lu and Li (2005) to a hurricane risk context. These models are supported by the findings that El Niño/Southern Oscillation (as well as other natural phenomena) influence both the...

Persistent link: https://www.econbiz.de/10011046652

Short-term hedging for an electricity retailer

Dupuis, Debbie J.; Gauthier, Geneviève; Godin, Frédéric - In: The energy journal 37 (2016) 2, pp. 31-59

Persistent link: https://www.econbiz.de/10011458291