Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Contributions to risk assessment in storm and automobile insurance.

Assurance, Besoins en fonds propres, Dépendance extrême, Extreme dependence, Extreme value theory, Gestion des riques, Indice tempête, Insurance, Pay-as-you-drive, Période de retour, Return period, Solvency II, Storm index, Théorie des valeurs extrêmes, Volatilité, Wind speed

The use of statistics for the management and regulation of insurance risks: the limits of the approach adopted by Solvency 2.

Assurance, Insurance, Pilotage, Prudential, Prudentiel, Regulation, Risk, Risque, Régulation, Solvabilité 2, Solvency II, Steering

Measuring and managing operational risk in the insurance and banking sectors.

Basel III, Bayesian Statistics, Bâle III, Estimation risk, Extreme Value Theory, Loss Distribution Approach, ORSA, Operational risk, Risque d'estimation, Risque opérationnel, Solvabilité II, Solvency II, Statistique Bayésienne, Théorie des valeurs extrêmes

The use of statistics for the management and regulation of insurance risks: the limits of the approach adopted by Solvency 2.

Assurance, Insurance, Pilotage, Prudential, Prudentiel, Regulation, Risk, Risque, Régulation, Solvabilité 2, Solvency II, Steering

Conceptualization and implementation of the Own Risk and Solvency Assessment process for life insurance.

Assurance vie, Besoin Global de Solvabilité, Conformité permanente, Continuous compliance, Life insurance, ORSA, Overall Solvency Need, Solvabilité II, Solvency II

One-Year Volatility of Reserve Risk in a Multivariate Framework.

Aggregation, Claims development result, Correlation, Dependency, Estimation error, Lines of business, Multivariate reserving, One-year multivariate reserve risk, Prediction error, Process error, Run-off portfolio, Solvency II

Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity.

Positive semi-definite, Rebonato-Jäckel, Risk aggregation, Solvency II

Polynomial approximations of probability densities and applications in insurance.

Best estimate liabilities, Compound distributions, Distributions composées, Familles Exponentielles Naturelles Quadratiques, Model points, Méthodes numériques d'approximation, Natural Exponential Families with Quadratic Variance Function, Numerical methods, Orthogonal polynomials, Polynômes orthogonaux, Provision best estimate, Ruin theory, Solvabilité II, Solvency II, Théorie de la ruine

Conceptualization and implementation of the Own Risk and Solvency Assessment process for life insurance.

Assurance vie, Besoin Global de Solvabilité, Conformité permanente, Continuous compliance, Life insurance, ORSA, Overall Solvency Need, Solvabilité II, Solvency II

Wind storm risk management: sensitivity of return period calculations and spread on the territory.

Approche stochastique, Appréciation de risque, Dégât dû au vent, Extreme value, Extreme value theory, France, Return period, Risk assessment, Solvency II, Storm index, Tempête, Thunderstorm, Valeur extrême, Vent, Volatility Insurance, Wind, Wind damage, Évaluation des risques

Contributions to life and health insurance provisioning and risk management.

Apprentissage automatique, Attitude face au risque, Crédibilité américaine, Dépendance, Gestion des risques, Long Terme Care, Machine learning, Non-life insurance, Prévoyance, Reserving, Risk attitude, Risk management, Réserves, Solvabilité II, Solvency II, US credibility

Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?

Claim reserving, Func-tional data analysis, Longitudinal data classification, Solvency II, Statistical partitioning and classification