This paper shows that some policy features are crucial to explain the decision of the policyholder to surrender her contract. We point it out by applying two segmentation models to a life insurance portfolio: the Logistic Regression model and the Classification And Regression Trees model....

In this paper we raise the matter of considering a stochastic modeling of the surrender rate instead of the classical S-shaped deterministic curve (in function of the spread), still used in almost all insurance companies. A stochastic model in which surrenders are conditionally independent with...

We present a new model of loss processes in insurance. The process is a couple $(N, \, L)$ where $N$ is a univariate Markov-modulated Poisson process (MMPP) and $L$ is a multivariate loss process whose behaviour is driven by $N$. We prove the strong consistency of the maximum likelihood...

This paper studies how the imperfect collateral assignments of patents contribute to "deep pockets'' savings of innovative firms facing random investment opportunities in research and development (R&D) and determine the growth of their innovations, using a version of the Kiyotaki and Moore...

For operational purposes, in Enterprise Risk Management or in insurance for example, it may be important to estimate remote (but not extreme) quantiles of some function ƒ of some random vector. The call to ƒ may be time- and resource-consuming so that one aims at reducing as much as possible...

Cet article présente un cas particulier de régression non fondée, lorsqu'une variable dépendante a un coefficient de corrélation simple proche de zéro avec deux autres variables, qui sont en revanche très corrélées entre elles. Dans ce type de régressions, les paramètres mesurant la...

This paper studies under which conditions the share of profit in value-added, financial constraints on investment and capital shortage may foster unemployment and may limit the growth of capital and/or the growth of aggregate demand, in a stock-flow consistent model. The efficiency of...

The purpose of this paper is to point out that an asymptotic rule "A+B/u" for the ultimate ruin probability applies to a wide class of dependent risk models, in discrete and continuous time. Dependence is incorporated through a mixing approach among claim amounts or claim inter-arrival times,...

This paper studies a new risk measure derived from the expected area in red introduced in Loisel (2005). Specifically, we derive various properties of a risk measure defined as the smallest initial capital needed to ensure that the expected time-integrated negative part of the risk process on a...

In this paper, we formulate a noncooperative game to model a non-life insurance market. The aim is to analyze the e ects of competition between insurers through di erent indicators: the market premium, the solvency level, the market share and the underwriting results. Resulting premium Nash...