3 citations · 4 across the 5 of their papers we have counts for
6 papers
Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
Jennifer Alonso-Garcia, Caroline Hillairet, Sarah Kaakai +1
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism.…
Efficient simulation of individual-based population models: the R Package IBMPopSim
Daphné Giorgi, Sarah Kaakai, Vincent Lemaire
The R Package IBMPopSim aims to simulate the random evolution of heterogeneous populations using stochastic Individual-Based Models (IBMs). The package enables users to simulate po…
Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class…
Utility Maximization Problem with Uncertainty and a Jump Setting
Sarah Kaakai, Anis Matoussi, Achraf Tamtalini
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove…
Simulating long-term impacts of mortality shocks: learning from the cholera pandemic
Nicole El Karoui, Kaouther Hadji, Sarah Kaakai
The aim of this paper is to study the long-term consequence on longevity of a mortality shock. We adopt an historical and modeling approach to study how the population evolution fo…
Birth Death Swap population in random environment and aggregation with two timescales
Sarah Kaakai, Nicole El Karoui
This paper deals with the stochastic modeling of a class of heterogeneous population in a random environment, called birth-death-swap. In addition to demographic events, swap event…