Répertoire du corps professoral

Centre de recherches mathématiques (CRM)
Programme: Regroupements stratégiques NT
Organisme(s) subventionnaire(s): Université Laval - Fonds internes, Fonds de recherche du Québec - Nature et technologies
Type de financement: Subvention
Établissement tête: Université de Montréal
Du 1 avril 2022 au 31 mars 2028

Risk models with dependence: construction, properties, and risk measurement.
Programme: Subventions à la découverte SD (individuelles et d'équipe)
Organisme(s) subventionnaire(s): Conseil de recherches en sciences naturelles et génie Canada
Type de financement: Subvention
Établissement tête: Université Laval
Du 1 avril 2020 au 31 mars 2026

Big data analytics in insurance
Programme: Subventions de recherche et développement coopérative (RDC)
Organisme(s) subventionnaire(s): Intact Corporation Financière, Conseil de recherches en sciences naturelles et génie Canada
Type de financement: Subvention
Établissement tête: Université Laval
Du 1 mai 2018 au 30 avril 2025

Financements des 2 dernières années

Construction écoresponsable en bois
Programme: Subventions de recherche et développement coopérative (RDC)
Organisme(s) subventionnaire(s): Kruger Company, Chantiers de Chibougamau Ltée (Les), FPInnovations, Coarchitecture, Corruven Canada inc., UL CLEB, Vertima, Association provinciale des constructeurs d'habitations du Québec inc., Société Laurentide inc., Conseil de recherches en sciences naturelles et génie Canada, Art Massif, Maibec Industries inc., Secrétariat Inter-Conseils (Canada) (CRSH, CRSNG, IRSC), Sotramont, CIMA Plus société d'ingénierie, Provencher_Roy Architectes
Type de financement: Subvention
Établissement tête: Université Laval
Du 1 décembre 2018 au 30 novembre 2023

Encadrements terminés dans les 5 dernières années

Benjamin Côté, Maîtrise en actuariat - avec mémoire

Ihsan Chaoubi, Doctorat en actuariat

Publications des 5 dernières années

Collective risk models with FGM dependence Scandinavian Actuarial Journal, 2024/09/13. Christopher Blier-Wong, Hélène Cossette, Etienne Marceau. DOI 10.1080/03461238.2024.2401390

A representation-learning approach for insurance pricing with images ASTIN Bulletin, 2024/05. Christopher Blier-Wong, Luc Lamontagne, Etienne Marceau. DOI 10.1017/asb.2024.9

A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions Journal of Multivariate Analysis, 2024/05. Christopher Blier-Wong, Hélène Cossette, Sebastien Legros, Etienne Marceau. DOI 10.1016/j.jmva.2023.105261

Exchangeable FGM copulas Advances in Applied Probability, 2024/03. Christopher Blier-Wong, Hélène Cossette, Etienne Marceau. DOI 10.1017/apr.2023.19

Tree-structured Markov random fields with Poisson marginal distributions arXiv, 2024. Benjamin Côté, Hélène Cossette, Etienne Marceau. DOI 10.48550/ARXIV.2408.13649

Generalized FGM dependence: Geometrical representation and convex bounds on sums arXiv, 2024. Hélène Cossette, Etienne Marceau, Alessandro Mutti, Patrizia Semeraro. DOI 10.48550/ARXIV.2406.10648

Centrality and topology properties in a tree-structured Markov random field arXiv, 2024. Benjamin Côté, Hélène Cossette, Etienne Marceau. DOI 10.48550/ARXIV.2410.20240

Risk aggregation with FGM copulas Insurance: Mathematics and Economics, 2023/07. Christopher Blier-Wong, Hélène Cossette, Etienne Marceau. DOI 10.1016/j.insmatheco.2023.03.002

Stochastic representation of FGM copulas using multivariate Bernoulli random variables Computational Statistics & Data Analysis, 2022/09. Christopher Blier-Wong, Hélène Cossette, Etienne Marceau. DOI 10.1016/j.csda.2022.107506

Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs Computational Statistics & Data Analysis, 2021/02. Ihsan Chaoubi, Hélène Cossette, Etienne Marceau, Christian Y. Robert. DOI 10.1016/j.csda.2020.107071

Rethinking representations in P&C actuarial science with deep neural networks arXiv, 2021. Blier-Wong, C., Baillargeon, J.-T., Cossette, H., Lamontagne, L., Marceau, E..

Mining actuarial risk predictors in accident descriptions using recurrent neural networks Risks, 2021. Baillargeon, J.-T., Lamontagne, L., Marceau, E.. DOI 10.3390/risks9010007

Geographic ratemaking with spatial embeddings arXiv, 2021. Blier-Wong, C., Cossette, H., Lamontagne, L., Marceau, E..

GEOGRAPHIC RATEMAKING with SPATIAL EMBEDDINGS ASTIN Bulletin, 2021. Blier-Wong, C., Cossette, H., Lamontagne, L., Marceau, E.. DOI 10.1017/asb.2021.25

Univariate and multivariate mixtures of exponential distributions, with applications in risk modeling Applied Stochastic Models in Business and Industry, 2021/01. Hélène Cossette, Etienne Marceau, Itre Mtalai, Déry Veilleux. DOI 10.1002/asmb.2606

Machine Learning in P&C Insurance: A Review for Pricing and Reserving Risks, 2020/12. Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne, Etienne Marceau. DOI 10.3390/risks9010004

Ruin-based risk measures in discrete-time risk models Insurance: Mathematics and Economics, 2020/07. Hélène Cossette, Etienne Marceau, Julien Trufin, Pierre Zuyderhoff. DOI 10.1016/j.insmatheco.2020.05.003

On sums of two counter-monotonic risks Insurance: Mathematics and Economics, 2020/05. Ihsan Chaoubi, Hélène Cossette, Simon-Pierre Gadoury, Etienne Marceau. DOI 10.1016/j.insmatheco.2020.02.010

Machine Learning in Property and Casualty Insurance: A Review for Pricing and Reserving SSRN, 2020. Blier-Wong, C., Cossette, H., Lamontagne, L., Marceau, E.. DOI 10.2139/ssrn.3723780

Encoding neighbor information into geographical embeddings using convolutional neural networks Proceedings of the 33rd International Florida Artificial Intelligence Research Society Conference, FLAIRS 2020, 2020. Blier-Wong, C., Baillargeon, J.-T., Cossette, H., Lamontagne, L., Marceau, E..

Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions Journal of Multivariate Analysis, 2019/07. Hélène Cossette, Simon-Pierre Gadoury, Etienne Marceau, Christian Y. Robert. DOI 10.1016/j.jmva.2019.03.008

Collective risk models with dependence Insurance: Mathematics and Economics, 2019/07. Hélène Cossette, Etienne Marceau, Itre Mtalai. DOI 10.1016/j.insmatheco.2019.04.008

Weighting Words Using Bi-Normal Separation for Text Classification Tasks with Multiple Classes Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), 2019. Baillargeon, J.-T., Lamontagne, L., Marceau, É.. DOI 10.1007/978-3-030-18305-9_41

Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models Methodology and Computing in Applied Probability, 2019. Cossette, H., Marceau, E., Nguyen, Q.H., Robert, C.Y.. DOI 10.1007/s11009-017-9614-z