Dans cet article, nous allons étudier l’équilibre temporaire du producteur en portant une attention spéciale aux utilisations théoriques éventuelles et aux utilisations empiriques éventuelles. Si pour la théorie, l’on prend par exemple comme thème de référence la construction...

We consider a quadratic stochastic intensity model with a Gaussian autoregressive factor, derive explicit formulas for predictive mortality tables and recursive updating formulas are also provided. We also explain how to use appropriately the Kalman filter to estimate the parameters of the model...

We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the...

Dans cet article, on procède à des tests empiriques des anticipations d’évolution de la demande faites par les entreprises. On utilise pour ces tests des données de l’ « enquête trimestrielle sur la situation et les perspectives dans l’industrie ». On vérifie la validité du...

This paper examines granularity adjustments to parameter estimators in a default risk model with cohorts. The model is an extension of the Vasicek model (Vasicek, 1991) and includes a general factor and cohort specific factors. The granularity adjustments derived in the paper concern the mean...

The main tools and concepts of financial and actuarial theory are designed to handle standard, or even small risks. The aim of this paper is to reconsider some selected financial problems, in a setup including infrequent extreme risks. We first consider investors maximizing the expected utility...

The Wishart Autoregressive (WAR) process is a dynamic model for time series of multivariate stochastic volatility. The WAR naturally accommodates the positivity and symmetry of volatility matrices and provides closed-form non-linear forecasts. The estimation of the WAR is straighforward, as it...