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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…
stat.AP2020
Quickest detection in practice in presence of seasonality: An illustration with call center data
Patrick J. Laub, Nicole El Karoui, Stéphane Loisel +1
In this chapter, we explain how quickest detection algorithms can be useful for risk management in presence of seasonality. We investigate the problem of detecting fast enough case…