7 citations
- Laboratoire de Sciences Actuarielle et FinancièreFR3 papers
- Center for Responsible TravelUS1 paper
- Centre de Recherche en Économie et StatistiqueFR1 paper
- Centre de Recherche en Mathématiques de la DécisionFR1 paper
- Centre for Research in Engineering Surface TechnologyIE1 paper
- Conception de l'Action en SituationFR1 paper
- ENSAE ParisFR1 paper
- Institut Camille JordanFR1 paper
- Institut de Mécanique et d'Ingénierie de BordeauxFR1 paper
- Institut National des Sciences Appliquées de ToulouseFR1 paper
- International Center for Transitional JusticeUS1 paper
- Laboratoire de Probabilités, Statistique et ModélisationFR1 paper
8 papers
Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies
Mathias Valla, Xavier Milhaud, Anani Ayodélé Olympio
A retention strategy based on an enlightened lapse model is a powerful profitabilitylever for a life insurer. Some machine learning models are excellent at predicting lapse,but fro…
Applying economic measures to lapse risk management with machine learning approaches
Stéphane Loisel, Pierrick Piette, Jason Tsai
Modeling policyholders lapse behaviors is important to a life insurer since lapses affect pricing, reserving, profitability, liquidity, risk management, as well as the solvency of…
Pricing formulae for derivatives in insurance using the Malliavin calculus
Caroline Hillairet, Ying Jiao, Anthony Réveillac
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In…
Information uncertainty related to marked random times and optimal investment
Ying Jiao, Idris Kharroubi
We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default t…
A risk management approach to capital allocation
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach o…
On the range of admissible term-structures
Areski Cousin, Ibrahima Niang
In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible pr…