A ruin model with dependence between claim sizes and claim intervals, Insurance: Mathematics and Economics, vol.35, issue.2, pp.245-254, 2004. ,
DOI : 10.1016/j.insmatheco.2003.09.009
Explicit ruin formulas for models with dependence among risks, Insurance: Mathematics and Economics, vol.48, issue.2, pp.265-270, 2011. ,
DOI : 10.1016/j.insmatheco.2010.11.007
URL : https://hal.archives-ouvertes.fr/hal-00540621
Modélisation en risque de crédit. Calibration et discrétisation de modèles financiers, 2006. ,
Analyse numérique et optimisation : une introduction à la modélisation mathématique et à la simulation numérique, 2005. ,
A double shot noise process and its application in insurance, Journal of Mathematics and System Science, vol.2, pp.82-93, 2012. ,
The Claims Reserving Problem in Non-Life Insurance, ASTIN Bulletin, vol.19, issue.2, pp.139-152, 1989. ,
DOI : 10.2143/AST.19.2.2014905
On the Tail Behavior of Sums of Dependent Risks, ASTIN Bulletin, vol.2, issue.02, pp.361-373, 2006. ,
DOI : 10.1016/0167-7152(89)90123-5
URL : https://hal.archives-ouvertes.fr/hal-00097051
Best estimates for reserves, Proceedings of the Casualty Actuarial Society, pp.245-303, 2000. ,
An approach to credibility in calculation ibnr for casualty excess reinsurance. The Actuarial Review, p.7, 1976. ,
On the entire moments of self-similar Markov processes and exponential functionals of L??vy processes, Annales de la facult?? des sciences de Toulouse Math??matiques, vol.11, issue.1, pp.33-45, 2002. ,
DOI : 10.5802/afst.1016
Dépendance et événements extrêmes en théorie de la ruine : étude univariée et multivariée, problèmes d'allocation optimale. Theses, 2010. ,
Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed, Insurance: Mathematics and Economics, vol.43, issue.3, pp.412-421, 2008. ,
DOI : 10.1016/j.insmatheco.2008.08.004
URL : https://hal.archives-ouvertes.fr/hal-00308782
The acutary and ibnr, Proceedings of the Casualty Actuarial Society, pp.181-195, 1972. ,
On a risk model with dependence between interclaim arrivals and claim sizes. Scandinavian actuarial journal : Actuarial Society of Finland, 2006. ,
One-year reserve risk including a tail factor : closed formula and bootstrap approaches, 2012. ,
URL : https://hal.archives-ouvertes.fr/hal-00605329
Estimation of ibnr reserves by the methods chain ladder, cape cod and complimentary loss ratio, International Summer School, 1983. ,
Regression Models Based on Logincremental Payments. Claims Reserving Manual. Institute and faculty of actuaries, 1990. ,
Introduction to stochastic processes, N.J, 1975. ,
Efficient mortgage default option exercise : Evidence from loss severity, Journal of Real Estate Research, vol.10, issue.5, pp.543-556, 1995. ,
Mathématiques de l'assurance non-vie : Tarification et provisionnement. Collection "Economie et statistiques avançées, Economica, 2005. ,
Solvency Capital, Risk Measures and Comonotonicity : A Review, 2004. ,
The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding, Scandinavian Actuarial Journal, vol.15, issue.1, 1990. ,
DOI : 10.1016/0304-4149(82)90050-3
Stochastic trend models in casualty and life insurance. Enterprise Risk Management Symposium, 2009. ,
Abstract, ASTIN Bulletin, vol.1, issue.02, 1983. ,
DOI : 10.2143/AST.15.2.2015027
Workers compensation reserve uncertainty, Proceedings of the Casualty Actuarial Society, pp.263-392, 1999. ,
Options, Futures and Other Derivatives. Prentice Hall finance series. Pearson, 2009. ,
Méthodes de provisionnement non-vie et risque de réserve à un an. ISFA, 2011. ,
An individual claims reserving model, Astin Bulletin, vol.37, pp.95-115, 2007. ,
Abstract, ASTIN Bulletin, vol.21, issue.02, pp.213-238, 1993. ,
DOI : 10.1016/0304-4076(83)90074-X
Abstract, ASTIN Bulletin, vol.29, issue.02, pp.361-266, 1999. ,
DOI : 10.2143/AST.23.2.2005092
THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER, The Journal of Finance, vol.24, issue.1, pp.177-86, 1978. ,
DOI : 10.1111/j.1540-6261.1969.tb01694.x
On the Pricing of Corporate Debt : The Risk Structure of Interest Rates, Journal of Finance, vol.29, issue.2, pp.449-70, 1974. ,
Abstract, ASTIN Bulletin, vol.23, issue.01, pp.95-115, 1989. ,
DOI : 10.2143/AST.19.1.2014914
Normal approximations with Malliavin calculus : from Stein's method to universality. Cambridge tracts in mathematics Informations complémentaires sur la publication à l'adresse http ,
DOI : 10.1017/CBO9781139084659
Non-Life Insurance Pricing with Generalized Linear Models. EAA Series, 2010. ,
The one-year non-life insurance risk, Insurance: Mathematics and Economics, vol.45, issue.2, pp.203-208, 2009. ,
DOI : 10.1016/j.insmatheco.2009.06.001
Modeling and evaluating the credit risk of mortgage loans: a primer, The Journal of Risk Model Validation, vol.2, issue.2, pp.63-82, 2008. ,
DOI : 10.21314/JRMV.2008.023
Provisionnement technique en Assurance non-vie : Perspectives actuarielles modernes. Assurance, audit, actuariat. Economica, 2007. ,
Calibration des undertaking specific parameters et leurs impacts sur les fonds propres ,
Individual loss reserving with the multivariate skew normal distribution. Open access publications from katholieke universiteit leuven, 2012. ,
Un cadre de référence pour un modèle interne partiel en assurance de personnes, 2010. ,
Measuring uncertainty of solvency coverage ratio in ORSA for non-life insurance, European Actuarial Journal, vol.61, issue.2, pp.205-226, 2012. ,
DOI : 10.1002/j.1538-7305.1982.tb04353.x
URL : https://hal.archives-ouvertes.fr/hal-01169220
Munich Chain Ladder ??? Ein Reservierungsverfahren zur Reduzierung der L??cke zwischen IBNR-Prognosen auf Paid- und auf Incurred-Basis, Bl??tter der DGVFM, vol.26, issue.4, pp.266-299, 2008. ,
DOI : 10.1007/BF02808969
Asymptotic normality of shot noise on poisson cluster processes with cluster marks, 2001. ,
Central limit theorems for u-statistics of poisson point processes. The Annals of Probability, pp.3879-3909 ,
A Stochastic Model Underlying the Chain-Ladder Technique, British Actuarial Journal, vol.1, issue.04, pp.903-923, 1998. ,
DOI : 10.1080/03461238.1982.10405432
Stochastic processes for insurance and finance. Wiley Series in Probability and Statistics, 1999. ,
Perpetual Integral Functionals as Hitting and Occupation Times, Electronic Journal of Probability, vol.10, issue.0, 2004. ,
DOI : 10.1214/EJP.v10-256
Catastrophe Insurance Modeled by Shot-Noise Processes, Risks, vol.23, issue.1, pp.3-24, 2014. ,
DOI : 10.1111/j.1467-9965.2010.00421.x
An option pricing approach to stress-testing the canadian mortgage portfolio. Paper presented at the Bank of Canada Annual Economic Conference on Developing a Framework to Assess Financial Stability, 2007. ,
Centre for Actuarial Studies. Individual Claim Loss Reserving Conditioned by Case Estimates. Research paper. Centre for Actuarial Studies, 2007. ,
Solvency assessment within the ORSA framework : issues and quantitative methodologies, 2012. ,
URL : https://hal.archives-ouvertes.fr/hal-00744351
An approach to the analysis of claims experience in motor liability excess of loss reinsurance, ASTIN Bulletin, pp.195-202, 1972. ,
Jab chain : A model-based calculation of paid and incurred loss development factors, 2005. ,
Estimation of ibnr claims by least squares, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, pp.249-254, 1978. ,
Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables, ASTIN Bulletin, vol.30, issue.2, pp.75-92, 2003. ,
DOI : 10.1007/BF01832852
Stochastic Claims Reserving Methods in Insurance. The Wiley Finance Series, 2008. ,
Stochastic Claims Reserving Methods in Insurance. The Wiley Finance Series, 2008. ,
Uncertainty of the claims development result in the chain ladder method, Scandinavian Actuarial Journal, issue.1, pp.63-84, 2009. ,
On some exponential functionals of Brownian motion, Advances in Applied Probability, vol.28, issue.03, pp.509-531, 1992. ,
DOI : 10.2140/pjm.1961.11.1287