2 papers
q-fin.PR2021
Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation
Karim Barigou, Daniël Linders, Fan Yang
This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that…
stat.AP2021
Bayesian model averaging for mortality forecasting using leave-future-out validation
Karim Barigou, Pierre-Olivier Goffard, Stéphane Loisel +1
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns…