2 papers
q-fin.RM2016
On bivariate lifetime modelling in life insurance applications
François Dufresne, Enkelejd Hashorva, Gildas Ratovomirija +1
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common…
q-fin.RM2015
ON Integrated Chance Constraints in ALM for Pension Funds
Youssouf A. F. Toukourou, François Dufresne
We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: t…