In most stochastic mortality models, either one stochastic intensity process (for example a jump-diffusion process) or a collection of independent processes is used to model the stochastic evolution of survival probabilities. We propose and calibrate a new model that takes inter-age correlations...

Arthur Charpentier (see Arthur's blog) was recently contacted by some researchers willing to test if a multivariate copula is - or not - Gaussian. They use a test proposed in Malevergne and Sornette (2003) stating that one should simply test for pairwise normality. This test may be of importance...

Dans cet essai, nous réfléchissons sur la nécessité et la difficulté de prendre en compte dans l'ORSA la capacité de réaction et les actions de gestion des dirigeants.

In this paper, we formulate a noncooperative game to model a non-life insurance market. The aim is to analyze the e ects of competition between insurers through di erent indicators: the market premium, the solvency level, the market share and the underwriting results. Resulting premium Nash...

Most mortality models are generally calibrated on national population. However, pensions funds and annuity providers are mainly interested in the mortality rates of their own portfolio. In this paper we put forward a multivariate approach for forecasting pairwise mortality rates of related...

In this paper, we obtain asymptotic ruin probabilities in two models where claim amounts become more and more adverse, because of phenomena like climate change or some kind of sectorial inflation. The method we use also enables us to study a risk model in which claims have infinite mean. In such...

In this paper, we investigate the computation of the moments of the compound Poisson sums with discounted claims when introducing dependence between the interclaim time and the subsequent claim size. The dependence structure between the two random variables is defined by a...

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected time-integrated negative part of the risk process on a...

In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative....

This paper is concerned with the class of distributions, continuous or discrete, whose shape is monotone of finite integer order t. A characterization is presented as a mixture of a minimum of t independent uniform distributions. Then, a comparison of t-monotone distributions is made using the...