Une exploration dans la modélisation actuarielle

Liste des Contributions

4. Introduction to actuarial mathematics and quantitative risk management

Prof. Stéphane Loisel (CNAM)

19/02/2025 14:00

In this talk, we start by explaining the basics of actuarial mathematics and quantitative risk management.
We then provide a few results concerning risk theory, quickest detection problems as well as impact of climate change on insurance risks.

3. Cyber risk frequency modeling using Hawkes process with external excitation

Yousra Cherkaoui Tangi (CREST-ENSAE - Milliman France)

19/02/2025 15:30

“Modeling cyber attack frequency and spread is crucial for the insurance industry to evaluate risk and adapt mitigation strategies. Hawkes processes have been widely adopted in the cyber literature for their ability to model self-exciting behavior of cyber attacks. However, such a model, in its standard linear form, may seem limited to account for external factors driving the dynamics of cyber...

1. An optimal Index insurance framework for extreme losses

Daniel Nkameni (CREST ENSAE (Polytechnic Institute of Paris), Insurance and Finance, France and Detralytics France)

19/02/2025 16:15

The modern insurance landscape is increasingly shaped by the emergence of new risks with destructive potential, challenging the feasibility of developing sustainable financial protection mechanisms. Many administrations and regulators frequently emphasize the potential uninsurability of certain risks, such as those stemming from natural disasters linked to climate change or cyber-attacks...

2. A compound Hawkes process with dependencies for insurance applications

Thomas Peyrat (Institut de Mathématique de Toulouse - CREST-ENSAE - Exiom Partners)

19/02/2025 17:00

In insurance, one of the processes commonly used to model risk is the compound Poisson process. Assuming independence between the counting process (Poisson Process) and the claims (independent and identically distributed random variables), the calculation of the first two cumulants is immediate. However, these assumptions limit the scope of application of this process to certain risks. In...