In this paper, a very general model of survival data with (exclusive or inclusive) right censoring, explanatory processes and a baseline predictable hazard function is considered in the ocntezt of nonparametric Bayasian analysis. particular cases are semiparametric proportional hazards and...

The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.

The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the...

In this paper the interest is in testing whether a regression function is polynomial of a certain degree. One possible approach to this testing problem is to do a parametric polynomial fit and a nonparametric fit and to reject the null hypothesis of a polynomial function if the distance between...

The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.

We propose a new method, the "Auto-SLEX" method, for analyzing bivariate non-stationary processes. The Auto-SLEX method is a procedure that automatically segments the time series into approximatively stationary blocks and automatically estimates the time-varying spectra and coherence.

The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...

We show how to smoothly 'monotonise" standard kernel estimators of hazard rate using bootstrap weights. Our method takes a variety of forms, depending on the choice of kernel estimator and on the distance function used to defie a certain constrained optimisation problem.