Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Pierre-Emmanuel Thérond"'
Publikováno v:
Methodology and Computing in Applied Probability
Methodology and Computing in Applied Probability, Springer Verlag, 2020, 22, pp.711-745
Methodology and Computing in Applied Probability, Springer Verlag, 2020, 22, pp.711-745
The attractiveness of insurance saving products is driven by dividend payments to policyholders and participation in profits. These are mainly constrained by regulatory disposals on profit-sharing on the basis of statutory accounts. Moreover, since b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ba26ea2ad91da00fb3674929441cfff9
https://hal.archives-ouvertes.fr/hal-01840057
https://hal.archives-ouvertes.fr/hal-01840057
Autor:
Yahia Salhi, Pierre-Emmanuel Thérond
Publikováno v:
ASTIN Bulletin
ASTIN Bulletin, Cambridge University Press (CUP), 2018, 48 (2), pp.543-569
ASTIN Bulletin, Cambridge University Press (CUP), 2018, 48 (2), pp.543-569
Recently, there has been an increasing interest from life insurers to assess their portfolios' mortality risks. The new European prudential regulation, namely Solvency II, emphasized the need to use mortality and life tables that best capture and ref
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::750999857f430023b99495f943307f73
https://doi.org/10.1017/asb.2018.4
https://doi.org/10.1017/asb.2018.4
Publikováno v:
ASTIN Bulletin
ASTIN Bulletin, Cambridge University Press (CUP), 2019, 49 (3), pp.741-762. ⟨10.1017/asb.2019.12⟩
ASTIN Bulletin, Cambridge University Press (CUP), 2019, 49 (3), pp.741-762. ⟨10.1017/asb.2019.12⟩
In non-life insurance, business sustainability requires accurate and robust predictions of reserves related to unpaid claims. To this aim, two different approaches have historically been developed: aggregated loss triangles and individual claim reser
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::691ee6e844f16f6a22192b5c62500fa4
https://hal.archives-ouvertes.fr/hal-01868744
https://hal.archives-ouvertes.fr/hal-01868744
Publikováno v:
European Actuarial Journal
European Actuarial Journal, Springer, 2016, 6 (1), pp.61-96. ⟨10.1007/s13385-016-0125-z⟩
European Actuarial Journal, Springer, 2016, 6 (1), pp.61-96. ⟨10.1007/s13385-016-0125-z⟩
Interest from life insurers to assess their portfolios’ mortality risk has considerably increased. The new regulation and norms, Solvency II, shed light on the need of life tables that best reflect the experience of insured portfolios in order to q
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4039bd28d59ff4225f11fd8b6767d4f
https://doi.org/10.1007/s13385-016-0125-z
https://doi.org/10.1007/s13385-016-0125-z
Publikováno v:
ASTIN Bulletin
ASTIN Bulletin, Cambridge University Press (CUP), 2014, 44 (2), pp.277-302. ⟨10.1017/asb.2014.3⟩
ASTIN Bulletin, Cambridge University Press (CUP), 2014, 44 (2), pp.277-302. ⟨10.1017/asb.2014.3⟩
We consider the class of concave distortion risk measures to study how choice is influenced by the decision-maker's attitude to risk and provide comparative statics results. We also assume ambiguity about the probability distribution of the risk and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bbd5e57e0817d155fbd886a22566fa19
https://doi.org/10.1017/asb.2014.3
https://doi.org/10.1017/asb.2014.3
Publikováno v:
Electronic Journal of Statistics
Electronic Journal of Statistics, Shaker Heights, OH : Institute of Mathematical Statistics, 2016, 10 (2), pp.2685-2716. ⟨10.1214/16-EJS1189⟩
Electron. J. Statist. 10, no. 2 (2016), 2685-2716
Electronic Journal of Statistics, 2016, 10 (2), pp.2685-2716. ⟨10.1214/16-EJS1189⟩
Electronic Journal of Statistics, Shaker Heights, OH : Institute of Mathematical Statistics, 2016, 10 (2), pp.2685-2716. ⟨10.1214/16-EJS1189⟩
Electron. J. Statist. 10, no. 2 (2016), 2685-2716
Electronic Journal of Statistics, 2016, 10 (2), pp.2685-2716. ⟨10.1214/16-EJS1189⟩
International audience; We propose a regression tree procedure to estimate the conditional distribution of a variable which is not directly observed due to censoring. The model that we consider is motivated by applications in insurance , including th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::48158ccffd5a04b7628cdd2f9c43c981
https://doi.org/10.1214/16-ejs1189
https://doi.org/10.1214/16-ejs1189
Autor:
Pierre-Emmanuel Thérond
Publikováno v:
EAA Series ISBN: 9783319297743
Modelling in Life Insurance – A Management Perspective
Jean-Paul Laurent; Ragnar Norberg; Frédéric Planchet. Modelling in Life Insurance – A Management Perspective, Springer, 2016, 978-3-319-29774-3
Modelling in Life Insurance – A Management Perspective
Jean-Paul Laurent; Ragnar Norberg; Frédéric Planchet. Modelling in Life Insurance – A Management Perspective, Springer, 2016, 978-3-319-29774-3
International audience; The latest developments of both prudential (Solvency II) and financial reporting (MCEV, IFRS) frameworks seem to consecrate market consistent valuation as a kind of paragon of insurance liabilities assessment.In this chapter,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e20ee0c56f2b1aeb086d386193db4c8c
https://doi.org/10.1007/978-3-319-29776-7_2
https://doi.org/10.1007/978-3-319-29776-7_2
Publikováno v:
Review of Quantitative Finance and Accounting
Review of Quantitative Finance and Accounting, Springer Verlag, 2015, 45 (1), pp.111-135. ⟨10.1007/s11156-014-0432-x⟩
Review of Quantitative Finance and Accounting, Springer Verlag, 2015, 45 (1), pp.111-135. ⟨10.1007/s11156-014-0432-x⟩
In this paper, we propose some characteristics of next-year impairments in a generic Black and Scholes framework, with one equity security, and under International Financial Reporting Standards (IFRS) rules. We derive expression for the probability o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::df9ff3ab8edc8a12c0c9be624da52dab
https://hal.archives-ouvertes.fr/hal-00820929
https://hal.archives-ouvertes.fr/hal-00820929
Autor:
Pierre-Emmanuel Thérond, Yahia Salhi
Publikováno v:
SSRN Electronic Journal.
The recent fi nancial crisis has lead the IASB to settle new reporting standards for fi nancial instruments. The extended ability to measure some debt instruments at amortized cost is associated with a new impairment losses mechanism: Expected Credit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bb8009b285e9771e5fcdf925685404a
https://doi.org/10.2139/ssrn.2378374
https://doi.org/10.2139/ssrn.2378374
Publikováno v:
Belgian Actuarial Bulletin
Belgian Actuarial Bulletin, 2005, 5 (1), pp.1..13
Belgian Actuarial Bulletin, 2005, 5 (1), pp.1..13
International audience; Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=arXiv_dedup_::1d07c71ab09042994189266645bc9883
http://arxiv.org/pdf/1001.1909
http://arxiv.org/pdf/1001.1909