04/07/2021

Detra Note 2021-3, Tarification d’expérience sur statistiques sinistres écrêtées

We are pleased to share with you our Detra Note 2021-1. In this working paper, we adapt the Heath-Jarrow Morton (HJM) framework by considering a constraint of convergence of future forward rates toward a constant exogeneous rate set e.g. by a regulator.
12/05/2021

Lunch & Learn: “A Heath-Jarrow-Morton model compliant with Solvency II? Promises and pitfalls”

We are pleased to announce that our next Lunch & Learn will take place on May 25, 2021 from 12:30 to 13:30.
19/04/2021

FAQctuary 2021-1, Model comparison

We are pleased to share with you our first FAQctuary of the year on "ICC, deviance, AUC : What are the differences ?"
02/04/2021

Detra Note 2021-2, Back to the future : moving insurance to the sharing economy

We are pleased to share with you our Detra Note 2021-1. In this working paper, we adapt the Heath-Jarrow Morton (HJM) framework by considering a constraint of convergence of future forward rates toward a constant exogeneous rate set e.g. by a regulator.