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...

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...

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,...

Human knowledge has always been an object of research. Social systems have generated huge Knowledge Capital, depending on their project and their environment. These sets of knowledge are structured as systems, and are new research objects. Analysis of such systems are of great importance in our...

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...

Pendant de nombreuses années, la recherche en gestion des connaissances s'est intéressée à l'élaboration, pour le niveau opérationnel de l'entreprise (les métiers), de méthodes, outils et démarches de repérage, de préservation, de formalisation, d'enrichissement et de valorisation des...

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...

: MOISE est une méthodologie de gestion de la connaissance qui comporte une étape de spécification de la connaissance, laquelle distingue la connaissance statique de la connaissance dynamique. Cette étape met en œuvre un langage de représentation de la connaissance graphique (LRC) qui...