Digital Insurance and Long Term Risk

PREPRINT / WORKING PAPER

Learning Transition Kernels of Jump-Diffusion Processes with Conditional Diffusion Models

Yuzhen Zhao · Yating Liu · Quentin Guibert

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ARTICLE

Playing your cards right: a loss-count ordering of five-card poker hands

Mathias Valla

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Optimal production management under ecological concern

Christophette Blanchet-Scalliet · Diana Dorobantu · Caroline Hillairet · Ying Jiao · Wajdi Maatouk

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ARTICLE

Optimal Impulse Control for Cyber Risk Management

Caroline Hillairet · Thibaut Mastrolia · Wissal Sabbagh

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PREPRINT / WORKING PAPER

A new class of self-exciting point processes with finite sizes clusters

Caroline Hillairet · Thomas Peyrat · Achille Pommier · Anthony Réveillac

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PREPRINT / WORKING PAPER

Plug-In Classification of Drift Functions in Diffusion Processes Using Neural Networks

Yuzhen Zhao · Jiarong Fan · Yating Liu

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ARTICLE

Impacts of Climate Change on Mortality: An extrapolation of temperature effects based on time series data in France

Quentin Guibert · Gaëlle Pincemin · Frédéric Planchet

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HDR

Modèles stochastiques et innovations en assurance et en finance : de la statistique bayésienne à la blockchain

Pierre-Olivier Goffard

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PREPRINT / WORKING PAPER

Consistent Time-Aware Trees for Longitudinal Data: The Time-Penalized Tree

Mathias Valla · Xavier Milhaud

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PREPRINT / WORKING PAPER

A note on the beta and the generalized beta distributions

Christophe Dutang

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ARTICLE

Closed-form estimators for multivariate regressions models -a single categorical variable approach

Antoine Burg · Christophe Dutang

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PREPRINT / WORKING PAPER

Multivariate Self-Exciting Processes with Dependencies

Caroline Hillairet · Thomas Peyrat · Anthony Réveillac

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ARTICLE

A statistical approach to unveil phytoplankton adaptation to ocean fronts

Théo Garcia · Laurina Oms · Xavier Milhaud · Andrea Doglioli · Monique Messié · Pierre Vandekerkhove · Claire Lacour · Gérald Grégori · Denys Pommeret

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PREPRINT / WORKING PAPER

Accounting for temporal and spatial dependencies in multi-population forecasts: the Transformers approach

Jean-Luc Gouthon · Xavier Milhaud · José Garrido

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COMMUNICATION

Drift Estimation for Diffusion Processes Using Neural Networks Based on Discretely Observed Independent Paths

Yuzhen Zhao · Yating Liu · Marc Hoffmann

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ARTICLE

On the Use of Global Sensitivity Analysis in a Game-Theoretic Approach to an Environmental Management Problem

Christophe Dutang · Clémentine Prieur

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ARTICLE

Land, Wealth, and Taxation

Roberto Brunetti · Carl Gaigne · Fabien Moizeau

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ARTICLE

Financial literacy, cognitive abilities and gender gap

Stephen Agnew · Patrick Roger · Tristan Roger

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CHAPITRE D’OUVRAGE

Distribution of Phytoplankton Assemblages Accross Fine-Scale Structures Revealed by Earth Observation Data: A Mediterranean Sea Case Study

Théo Garcia · Louise Rousselet · Laurina Oms · Xavier Milhaud · Andrea Doglioli · Monique Messié · Claire Lacour · Pierre Vandekerkhove · Francesco D’ovidio · Julien Le Sommer · Gérald Grégori · Denys Pommeret

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ARTICLE

Invited perspectives: Towards usable compound event research

Kai Kornhuber · Emanuele Bevacqua · Mariana Madruga de Brito · Wiebke S Jäger · Pauline Rivoire · Cassandra D W Rogers · Fabiola Banfi · Fulden Batibeniz · James Carruthers · Carlo de Michele · Silvia De Angeli · Cristina Deidda · Marleen C de Ruiter · Andreas H Fink · Henrique M D Goulart · Katharina Küpfer · Patrick Ludwig · Douglas Maraun · Gabriele Messori · Shruti Nath · Fiachra O'Loughlin · Joaquim G Pinto · Benjamin Poschlod · Alexandre M Ramos · Colin Raymond · Andreia F S Ribeiro · Deepti Singh · Laura Suarez Gutierrez · Philip J Ward · Christopher J White

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ARTICLE

Explainable Boosting Machine for Predicting Claim Severity and Frequency in Car Insurance

Markéta Krúpová · Nabil Rachdi · Quentin Guibert

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PREPRINT / WORKING PAPER

Detection of Atypical Behaviors Using Copulas

Maxime Dotta · Xavier Milhaud · Denys Pommeret

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COMMUNICATION

The Gardener’s Guide to Growing (Time-penalized) Trees:

Mathias Valla · Xavier Milhaud

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PREPRINT / WORKING PAPER

Admix: An R Package for Estimation, Test and Clustering in Admixture Models

Xavier Milhaud · Denys Pommeret · Yahia Salhi · Pierre Vandekerkhove

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PREPRINT / WORKING PAPER

A survey of actuarial climate indices; a new index for France and its insurance applications

José Garrido · Xavier Milhaud · Anani Olympio

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PREPRINT / WORKING PAPER

A Spatiotemporal Clustering Algorithm Combining Multiple Data Sources: Application to Mortality

Abiodun Jean-Luc Gouthon · Xavier Milhaud

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PREPRINT / WORKING PAPER

A Comprehensive Survey on Imbalanced Regression: Definitions, Solutions, and Future Directions

Samuel Stocksieker · Denys Pommeret

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PREPRINT / WORKING PAPER

Collaborative and parametric insurance on the Ethereum blockchain

Pierre-Olivier Goffard · Stéphane Loisel

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ARTICLE

Adjusting Manual Rates to Own Experience: Comparing the Credibility Approach to Machine Learning

Giorgio Alfredo Spedicato · Christophe Dutang · Quentin Guibert

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COMMUNICATION

Feature and quantile selection for the actuarial climate index: Everything, everywhere, all at once (1/2)

Mathias Valla · Jose Garrido

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COMMUNICATION

Some properties of time-penalized trees

Mathias Valla

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PREPRINT / WORKING PAPER

A statistical approach to unveil phytoplankton adaptation to ocean fronts

Théo Garcia · Laurina Oms · Xavier Milhaud · Andrea Doglioli · Monique Messié · Pierre Vandekerkhove · Claire Lacour · Gérald Grégori · Denys Pommeret

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PREPRINT / WORKING PAPER

Impact of above-average heat on mortality: extension of longevity models to account for global warming

Xavier Milhaud · Jean-Luc Gouthon

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PREPRINT / WORKING PAPER

Derivatives under market impact: Disentangling cost and information

Behzad Alimoradian · Karim Barigou · Anne Eyraud-Loisel

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COMMUNICATION

Utilisation des bases MeteoFrance en assurance automobile

Christophe Dutang

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COMMUNICATION

Time-penalised tree : un algorithme temporel interprétable appliqué aux risques climatiques

Mathias Valla · Leonie Le Bastard · Jose Garrido

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LOGICIEL

R Project to use MeteoFrance and other Open databases

Christophe Dutang

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PREPRINT / WORKING PAPER

Alternative Estimation Framework Based on GLM for Mortality Models: From Single Population to Cause-of-Death

Antoine Burg · Christophe Dutang

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LOGICIEL

mbbefd: Maxwell Boltzmann Bose Einstein Fermi Dirac Distribution and Destruction Rate Modelling

Christophe Dutang · Giorgio Alfredo Spedicato · Markus Gesmann

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LOGICIEL

randtoolbox: Toolbox for Pseudo and Quasi Random Number Generation and Random Generator Tests

Christophe Dutang · Petr Savicky

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LOGICIEL

POT: Generalized Pareto Distribution and Peaks Over Threshold

Christophe Dutang · Mathieu Ribatet

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LOGICIEL

rngWELL: Toolbox for WELL Random Number Generators

Christophe Dutang · Petr Savicky

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LOGICIEL

OneStep: One-Step Estimation

Alexandre Brouste · Christophe Dutang · Darel Noutsa Mieniedou

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LOGICIEL

gumbel: The Gumbel-Hougaard Copula

Christophe Dutang

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LOGICIEL

GNE: Computation of Generalized Nash Equilibria

Christophe Dutang

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LOGICIEL

tsallisqexp: Tsallis q-Exp Distribution

Christophe Dutang · Cosma Rohilla Shalizi

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PREPRINT / WORKING PAPER

A 2019-2020 Review of R Neural Network Packages with NNbenchmark

Salsabila Mahdi · Akshaj Verma · Christophe Dutang · Patrice Kiener · John C Nash

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LOGICIEL

RTDE: Robust Tail Dependence Estimation

Christophe Dutang

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COMMUNICATION

EAJ Zoom session: Including individual customer lifetime value and competing risks in tree-based lapse management strategies

Mathias Valla · Onur Özdil · Ralf Korn · Nicolas Camenzind · Damir Filipović · Jean-François Bégin · Matthias Reitzner · Yevhen Havrylenko · Maximilian Euthum · Gerhard Stahl · Munir Hiabu · Elisa Luciano · Leonie Le Bastard

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LOGICIEL

lifecontingencies: Financial and Actuarial Mathematics for Life Contingencies

Giorgio Alfredo Spedicato · Christophe Dutang · Reinhold Kainhofer · Kevin Owens · Ernesto Schirmacher · Gian Paolo Clemente · Iván Williams

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ARTICLE

Time-penalised trees (TpT): a new tree-based data mining algorithm for time-varying covariates

Mathias Valla

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LOGICIEL

expm: Matrix Exponential, Log, 'etc

Martin Maechler · Christophe Dutang · Vincent Goulet · Douglas Bates · David Firth · Marina Shapira

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ARTICLE

A Longitudinal Tree-Based Framework for Lapse Management in Life Insurance

Mathias Valla

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OUVRAGE

Climate Risk and its Impact on Insurance

Jose Garrido · Xavier Milhaud · Anani Olympio · Max Popp

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LOGICIEL

fitdistrplus: Help to Fit of a Parametric Distribution to Non-Censored or Censored Data

Marie-Laure Delignette-Muller · Christophe Dutang · Aurelie Siberchicot

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OUVRAGE

Risque climatique et impact en assurance

José Garrido · Xavier Milhaud · Anani Olympio · Max Popp

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PREPRINT / WORKING PAPER

CONTAMINATION-SOURCE BASED K-SAMPLE CLUSTERING

Xavier Milhaud · Denys Pommeret · Yahia Salhi · Pierre Vandekerkhove

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PREPRINT / WORKING PAPER

Data driven investment strategies using Bayesian inference in regime switching models

Éléonore Blanchard · Pierre-Olivier Goffard

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COMMUNICATION

Inference rapide dans les modèles GLM à copule avec variables explicatives catégorielles en utilisant une procédure IFM -OSCFE

Alexandre Brouste · Christophe Dutang · Lilit Hovsepyan · Tom Rohmer

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THÈSE

Temporal dynamics in tree-based models and applications to lapse behaviour in life insurance.

Mathias Valla

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OTHER

Insurance dataset

Christophe Dutang · Arthur Charpentier · Ewen Gallic

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ARTICLE

Measuring climate change from an actuarial perspective: a survey of insurance applications

Nan Zhou · José Luis Vilar-Zanón · Jose Garrido · Antonio José Heras-Martínez

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ARTICLE

Estimation and prediction with data quality indexes in linear regressions

P. Chatelain · Xavier Milhaud

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PREPRINT / WORKING PAPER

Artificial intelligence in the service of health and safety at work: Perspectives and challenges from now to 2035 - A prospective study

Marc Malenfer · Michael Sarrey · Jennifer Clerté · Michel Hery · Martin Bieri · Bertrand Braunschweig · Régis Chatellier · Nazim Fatès · Sylvain Halluin · François de Jouvenel · Vincent Mandinaud · Jorge Munoz · Anani Olympio · Thimotée Silvestre · Jean-François Soupizet

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LOGICIEL

actuar: Actuarial Functions and Heavy Tailed Distributions

Vincent Goulet · Christophe Dutang

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ARTICLE

Empirical risk analysis of mining a Proof-of-Work blockchain

Hansjoerg Albrecher · Dina Finger · Pierre-Olivier Goffard

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ARTICLE

One-step closed-form estimator for generalized linear model with categorical explanatory variables

Alexandre Brouste · Christophe Dutang · Lilit Hovsepyan · Tom Rohmer

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ARTICLE

Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies

Mathias Valla · Xavier Milhaud · Anani Ayodélé Olympio

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ARTICLE

A modeler's guide to extreme value software

Léo Belzile · Christophe Dutang · Paul Northrop · Thomas Opitz

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COMMUNICATION

One-step closed-form estimator for generalized linear model with categorical explanatory variables

Alexandre Brouste · Christophe Dutang · Lilit Hovsepyan · Tom Rohmer

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POSTER

Agent-based models to simulate the COVID-19 epidemic: Understanding the contributions of the determinants of disease spread

Simon Pageaud · Anne Eyraud-Loisel · Jean-Pierre Bertoglio · Alexis Bienvenüe · Nicolas Leboisne · Catherine Pothier · Christophe Rigotti · Nicolas Ponthus · Romain Gauchon · François Gueyffier · Philippe Vanhems · Jean Iwaz · Stéphane Loisel · Pascal Roy

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PREPRINT / WORKING PAPER

Market-based insurance ratemaking: application to pet insurance

Pierre-Olivier Goffard · Pierrick Piette · Gareth W. Peters

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ARTICLE

Sequential Monte Carlo samplers to fit and compare insurance loss models

Pierre-Olivier Goffard

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ARTICLE

Two-sample contamination model test

Xavier Milhaud · Denys Pommeret · Yahia Salhi · Pierre Vandekerkhove

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COMMUNICATION

Améliorer un modèle de Machine Learning par la personnalisation : fonction de perte et enrichissement par les données

Mathias Valla · Pierrick Piette

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ARTICLE

Basis Risk Management in an Index-Based Insurance Framework under Randomly Scaled Uncertainty

M. Mercè Claramunt · Claude Lefèvre · Stéphane Loisel · Pierre Montesinos

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COMMUNICATION

Including Customer Lifetime Value in tree-based lapse management strategy

Mathias Valla

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COMMUNICATION

An Explicit Split Point Procedure in Model-Based Trees Allowing for a Quick Fitting of GLM Trees and GLM Forests

Quentin Guibert · Christophe Dutang

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ARTICLE

Goodness-of-fit tests for compound distributions with applications in insurance

Pierre-Olivier Goffard · S. Rao Jammalamadaka · S G Meintanis

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ARTICLE

Modeling the occurrence of events subject to a reporting delay via an EM algorithm

Roel Verbelen · Katrien Antonio · Gerda Claeskens · Jonas Crevecoeur

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ARTICLE

Blockchain mining in pools: Analyzing the trade-off between profitability and ruin

Hansjörg Albrecher · Dina Finger · Pierre-Olivier Goffard

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ARTICLE

The added value of dynamically updating motor insurance prices with telematics collected driving behavior data

Roel Henckaerts · Katrien Antonio

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ARTICLE

A Closed-form Alternative Estimator for GLM with Categorical Explanatory Variables

Alexandre Brouste · Christophe Dutang · Tom Rohmer

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LECTURE

Privacy in Machine Learning

Rachel Cummings · Mathias Valla · Luca Nesterenko · Tamim El Ahmad · Mehrasa Ahmadipour · Veronica Lachi · Clément Lalanne · Emilia Siviero · Clément Ogier · Ashna Jose · Aadil Oufkir

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ARTICLE

A hierarchical reserving model for reported non-life insurance claims

Jonas Crevecoeur · Katrien Antonio

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ARTICLE

Bayesian model averaging for mortality forecasting using leave-future-out validation

Karim Barigou · Pierre-Olivier Goffard · Stéphane Loisel · Yahia Salhi

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PREPRINT / WORKING PAPER

Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims

Jonas Crevecoeur · Katrien Antonio · Stijn Desmedt · Alexandre Masquelein

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ARTICLE

Assessing the impact of the COVID-19 shock on a stochastic multi-population mortality model

Jens Robben · Katrien Antonio · Sander Devriendt

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ARTICLE

Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications

Christophe Dutang · Vincent Goulet · Nicholas Langevin

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ARTICLE

Predicted Impacts of Booster, Immunity Decline, Vaccination Strategies, and Non-Pharmaceutical Interventions on COVID-19 Outcomes in France

Simon Pageaud · Anne Eyraud-Loisel · Jean-Pierre Bertoglio · Alexis Bienvenüe · Nicolas Leboisne · Catherine Pothier · Christophe Rigotti · Nicolas Ponthus · Romain Gauchon · François Gueyffier · Philippe Vanhems · Jean Iwaz · Stéphane Loisel · Pascal Roy

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ARTICLE

Semiparametric two-sample admixture components comparison test: The symmetric case

Xavier Milhaud · Denys Pommeret · Yahia Salhi · Pierre Vandekerkhove

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HDR

Some statistical and game-theoretic models with an actuarial perspective

Christophe Dutang

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ARTICLE

On the profitability of selfish blockchain mining under consideration of ruin

Hansjörg Albrecher · Pierre-Olivier Goffard

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ARTICLE

An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests

Christophe Dutang · Quentin Guibert

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ARTICLE

On a Markovian game model for competitive insurance pricing

Claire Mouminoux · Christophe Dutang · Stéphane Loisel · Hansjoerg Albrecher

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ARTICLE

Approximate Bayesian Computations to fit and compare insurance loss models

Pierre-Olivier Goffard · Patrick Laub

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OTHER

Editorial

Katrien Antonio · Christophe Dutang · Andreas Tsanakas

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RAPPORT

Adapting French COVID-19 vaccination campaign duration to variant dissemination

Simon Pageaud · Nicolas Ponthus · Romain Gauchon · Catherine Pothier · Christophe Rigotti · Anne Eyraud-Loisel · Jean-Pierre Bertoglio · Alexis Bienvenüe · François Gueyffier · Philippe Vanhems · Nicolas Leboisne · Jean Iwaz · Stéphane Loisel · Pascal Roy

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RAPPORT

Lessons learnt from the use of compartmental models over the COVID-19 induced lockdown in France

Romain Gauchon · Nicolas Ponthus · Catherine Pothier · Christophe Rigotti · Vitaly Volpert · Stéphane Derrode · Jean-Pierre Bertoglio · Alexis Bienvenüe · Pierre-Olivier Goffard · Anne Eyraud-Loisel · Simon Pageaud · Jean Iwaz · Stéphane Loisel · Pascal Roy

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ARTICLE

Hétérogénéité inobservable, volumétrie limitée et mutualisation

Xavier Milhaud

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PREPRINT / WORKING PAPER

Nonparametric estimation of copulas and copula densities by orthogonal projections

Yves I. Ngounou Bakam · Denys Pommeret

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ARTICLE

Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays

Olivier Lopez · Xavier Milhaud

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ARTICLE

OneStep : Le Cam's One-step Estimation Procedure

Alexandre Brouste · Christophe Dutang · Darel Noutsa Mieniedou

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ARTICLE

Boosting insights in insurance tariff plans with tree-based machine learning methods

Roel Henckaerts · Marie-Pier Côté · Katrien Antonio · Roel Verbelen

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ARTICLE

Expected Evolution of COVID-19 Epidemic in France for Several Combinations of Vaccination Strategies and Barrier Measures

Simon Pageaud · Catherine Pothier · Christophe Rigotti · Anne Eyraud-Loisel · Jean-Pierre Bertoglio · Alexis Bienvenüe · Nicolas Leboisne · Nicolas Ponthus · Romain Gauchon · François Gueyffier · Philippe Vanhems · Jean Iwaz · Stéphane Loisel · Pascal Roy

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ARTICLE

When stakes are high: balancing accuracy and transparency with Model-Agnostic Interpretable Data-driven suRRogates

Roel Henckaerts · Katrien Antonio · Marie-Pier Côté

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