Search Results - "Trufin, Julien"

Dispersive order comparisons on extreme order statistics from homogeneous dependent random vectors by Mesfioui, Mhamed, Trufin, Julien

“…In this paper, we investigate sufficient conditions for preservation property of the dispersive order for the smallest and largest order statistics of…”
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On a risk measure inspired from the ruin probability and the expected deficit at ruin by Mitric, Ilie-Radu, Trufin, Julien

“…In this paper, we study a risk measure derived from ruin theory defined as the amount of capital needed to cope in expectation with the first occurrence of a…”
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Convex and Lorenz orders under balance correction in nonlife insurance pricing: Review and new developments by Denuit, Michel, Trufin, Julien

“…By exploiting massive amounts of data, machine learning techniques provide actuaries with predictors exhibiting high correlation with claim frequencies and…”
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Model selection with Pearson’s correlation, concentration and Lorenz curves under autocalibration by Denuit, Michel, Trufin, Julien

“…Wüthrich (Eur Actuar J, https://doi.org/10.1007/s13385-022-00339-9 , 2023) established that the Gini index is a consistent scoring rule in the class of…”
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Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance by Mesfioui, Mhamed, Trufin, Julien

“…In this note, we derive upper bounds on Kendall’s tau and Spearman’s rho for multivariate zero-inflated continuous variables often encountered in insurance. A…”
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Autocalibration and Tweedie-dominance for insurance pricing with machine learning by Denuit, Michel, Charpentier, Arthur, Trufin, Julien

“…Boosting techniques and neural networks are particularly effective machine learning methods for insurance pricing. Often in practice, the sum of fitted values…”
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Best upper and lower bounds on Spearman’s rho for zero-inflated continuous variables and their application to insurance by Mesfioui, Mhamed, Trufin, Julien

“…In this note, we establish the best lower and upper bounds on Spearman’s rho for zero-inflated continuous random variables studied by Pimentel (Kendall’s Tau…”
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Generalization error for Tweedie models: decomposition and error reduction with bagging by Denuit, Michel, Trufin, Julien

“…Wüthrich and Buser (DOI:10.2139/ssrn.2870308, 2020) studied the generalization error for Poisson regression models. This short note aims to extend their…”
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Model selection based on Lorenz and concentration curves, Gini indices and convex order by Denuit, Michel, Sznajder, Dominik, Trufin, Julien

“…In order to determine an appropriate amount of premium, statistical goodness-of-fit criteria must be supplemented with actuarial ones when assessing…”
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Boosting cost-complexity pruned trees on Tweedie responses: the ABT machine for insurance ratemaking by Huyghe, Julie, Trufin, Julien, Denuit, Michel

“…This paper proposes a new boosting machine based on forward stagewise additive modeling with cost-complexity pruned trees. In the Tweedie case, it deals…”
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Testing for more positive expectation dependence with application to model comparison by Denuit, Michel, Trufin, Julien, Verdebout, Thomas

“…Modern data science tools are effective to produce predictions that strongly correlate with responses. Model comparison can therefore be based on the strength…”
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Testing for auto-calibration with Lorenz and Concentration curves by Denuit, Michel, Huyghe, Julie, Trufin, Julien, Verdebout, Thomas

“…Dominance relations and diagnostic tools based on Lorenz and Concentration curves in order to compare competing estimators of the regression function have…”
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From regulatory life tables to stochastic mortality projections: The exponential decline model by Denuit, Michel, Trufin, Julien

“…Often in actuarial practice, mortality projections are obtained by letting age-specific death rates decline exponentially at their own rate. Many life tables…”
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Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development by Denuit, Michel, Trufin, Julien

“…This article proposes a new loss reserving approach, inspired from the collective model of risk theory. According to the collective paradigm, we do not relate…”
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Response versus gradient boosting trees, GLMs and neural networks under Tweedie loss and log-link by Hainaut, Donatien, Trufin, Julien, Denuit, Michel

“…Thanks to its outstanding performances, boosting has rapidly gained wide acceptance among actuaries. To speed up calculations, boosting is often applied to…”
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Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red by Callant, Julien, Trufin, Julien, Zuyderhoff, Pierre

“…In this paper, we study a generalized version of the expected time in the red and the expected area in red introduced in Loisel ( 2005 ). We derive some…”
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Bivariate Poisson Credibility Model and Bonus–Malus Scale for Claim and Near-Claim Events by Simon, Pierre-Alexandre, Trufin, Julien, Denuit, Michel

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Bounds on Spearman’s rho when at least one random variable is discrete by Mesfioui, Mhamed, Trufin, Julien, Zuyderhoff, Pierre

“…Spearman’s rho is one of the most popular dependence measures used in practice to describe the association between two random variables. However, in case of at…”
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Model points and Tail-VaR in life insurance by Denuit, Michel, Trufin, Julien

“…Often, actuaries replace a group of heterogeneous life insurance contracts (different age at policy issue, contract duration, sum insured, etc.) with a…”
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Multivariate modelling of multiple guarantees in motor insurance of a household by Pechon, Florian, Denuit, Michel, Trufin, Julien

“…Actuarial risk classification is usually performed at a guarantee and policyholder level: for each policyholder, the claim frequencies corresponding to each…”
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