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...

L'objectif principal du projet était d'étendre le cadre Bayésien, modèle standard en économie pour la formalisation de l'incertitude, des croyances, de l'apprentissage, de l'information...; modèle qui conduit à des prédictions fortes et parfois peu réalistes en économie théorique. Or...

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 Action Lecture program is an innovative teaching method run in some nursery and primary schools in Paris and designed to improve pupils' literacy. We report the results of an evaluation of this program. We describe the experimental protocol that was built to estimate the program's impact on...

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...

One main topic of the epistemic program of game theory deals with the value of information. To study this question in a broad context, one needs to adapt some of the tools used in multiplayer epistemic logic. A hierarchical belief structure is introduced both in a syntactical and semantical...