14 citations · 27 across the 4 of their papers we have counts for
4 papers
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…
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…
Insurance valuation: A two-step generalised regression approach
Karim Barigou, Valeria Bignozzi, Andreas Tsanakas
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obt…
Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
Karim Barigou, Lukasz Delong
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate,…