Etienne Marceau

Université Laval - Faculté des Sciences et Génie

Professeur titulaire/Full Professor

1033, Pavillon Alexandre-Vachon

Cite Universitaire, Quebec G1K 7P4

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

366

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Dependent Risk Models with Archimedean Copulas: A Computational Strategy Based on Common Mixtures and Applications

Number of pages: 45 Posted: 25 Apr 2017 Last Revised: 08 Nov 2017
Université Laval - Faculté des Sciences et Génie, Université Laval - Faculté des Sciences et Génie, Laval University, Faculté des Sciences et Génie and Laval University, Faculté des Sciences et Génie, Students
Downloads 132 (221,809)
Citation 3

Abstract:

Loading...

Archimedean Copulas; Common Mixture Representation; Aggregation Strategy; Risk Measures; Capital Allocation; Ruin Theory; Nested Archimedean Copulas

2.

Collective Risk Models with Dependence

Number of pages: 31 Posted: 27 Jan 2018 Last Revised: 19 Jun 2018
Hélène Cossette, Etienne Marceau and Itre Mtalai
Université Laval - Faculté des Sciences et Génie, Université Laval - Faculté des Sciences et Génie and Laval University, Faculté des Sciences et Génie
Downloads 102 (267,555)

Abstract:

Loading...

Random sums; collective risk models; dependence; copulas; Archimedean copulas; hierarchical Archimedean copulas; mixed Erlang distributions

3.

On the Impact of Stochastic Volatility, Interest Rates and Mortality on the Hedge Efficiency of GLWB Guarantees

Number of pages: 39 Posted: 10 Aug 2017
Etienne Marceau and Pierre-Alexandre Veilleux
Université Laval - Faculté des Sciences et Génie and iA Financial Group (Industrial Alliance Insurance and Financial Services)
Downloads 52 (390,349)
Citation 1

Abstract:

Loading...

Variable Annuities, Guaranteed Lifetime Withdrawal Benefit, Hedge Efficiency, Stochastic Interest Rate, Stochastic Mortality

4.

Risk Models Defined With Multivariate Mixtures of Exponential Distributions

Number of pages: 30 Posted: 27 Jun 2018 Last Revised: 07 Oct 2019
Université Laval - Faculté des Sciences et Génie, Université Laval - Faculté des Sciences et Génie, Laval University, Faculté des Sciences et Génie and Laval University, Faculté des Sciences et Génie, Students
Downloads 43 (422,401)

Abstract:

Loading...

Risk models with dependence; Multivariate mixture of exponential distributions; Discrete mixing distribution; Archimedean copulas

5.

On a Joint Frequency and Severity Loss Model Applied to Earthquake Risk

Number of pages: 26 Posted: 07 Sep 2017
Mathieu Boudreault, Hélène Cossette and Etienne Marceau
University of Quebec at Montreal (UQAM), Université Laval - Faculté des Sciences et Génie and Université Laval - Faculté des Sciences et Génie
Downloads 37 (446,472)

Abstract:

Loading...

Earthquake Risk, Risk Management, Conditional Weibull Renewal Process, Seismic Gap Hypothesis