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One-year reserve risk including a tail factor: closed formula and bootstrap approaches
Boumezoued, Alexandre; Angoua, Yoboua; Devineau, Laurent; … - arXiv.org - 2011
In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the Claims Development Result (CDR) whose variance is identical to the closed-form expression of the prediction error...
Persistent link: https://www.econbiz.de/10009151053
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Improving HMD mortality estimates with HFD fertility data
Boumezoued, Alexandre - In: North American actuarial journal : NAAJ ; leading the … 25 (2021) 1, pp. S255-S279
Persistent link: https://www.econbiz.de/10012440439
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Mortality data correction in the absence of monthly fertility records
Boumezoued, Alexandre; Elfassihi, Amal - In: Insurance / Mathematics & economics 99 (2021), pp. 486-508
Persistent link: https://www.econbiz.de/10012649244
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A new inference strategy for general population mortality tables
Boumezoued, Alexandre; Hoffmann, Marc; Jeunesse, Paulien - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 325-356
Persistent link: https://www.econbiz.de/10012243332
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Mortality data reliability in an internal model
Balland, Fabrice; Boumezoued, Alexandre; Devineau, Laurent - In: Annals of actuarial science : publ. by the Institute of … 14 (2020) 2, pp. 420-444
Persistent link: https://www.econbiz.de/10012307365
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Measuring mortality heterogeneity with multi-state models and interval-censored data
Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane - In: Insurance / Mathematics & economics 72 (2017), pp. 67-82
Persistent link: https://www.econbiz.de/10011691580
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Cause-of-death mortality : what can be learned from population dynamics?
Boumezoued, Alexandre; Labit Hardy, Héloïse; El … - In: Insurance / Mathematics & economics 78 (2018), pp. 301-315
Persistent link: https://www.econbiz.de/10011825311
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Multivariate Hawkes process for cyber insurance
Bessy-Roland, Yannick; Boumezoued, Alexandre; … - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 1, pp. 14-39
Persistent link: https://www.econbiz.de/10012505588
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Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
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Signature-based validation of real-world economic scenarios
Andrès, Hervé; Boumezoued, Alexandre; Jourdain, Benjamin - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 410-440
Persistent link: https://www.econbiz.de/10015055298