Hélène Cossette, professeure titulaire
Pavillon Paul-Comtois, local 4165
T. 418-656-2603
helene.cossette@act.ulaval.ca
Champs d'intérêts
  • Théorie du risque
  • Théorie de la ruine
  • Modélisation de la dépendance en actuariat
  • Théorie de la crédibilité
  • Modélisation des risques catastrophiques en actuariat
  • Projection de la mortalité

Enseignement

ACT-1002 Analyse probabiliste des risques actuariels
ACT-2009 Processus stochastiques
ACT-7011 Mathématiques actuarielles IARD
ACT-7017 Modélisation et évaluation quantitative des risques en actuariat

Publications

  • Cossette, H., Landriault, D., Marceau, E. et K. Moutanabbir (2012). "Analysis of the discounted sum of ascending ladder heights", Insurance : Mathematics and Economics 41, 393-401,
  • Cossette, H., Marceau, E. et F. Marri (2012). "On a coumpound Poisson risk model with dependence and in the presence of a constant dividend barrier", Applied Stochastic Models in Business and Industry,
  • Cossette, H., Côté, M.-P., Marceau, E. et K. Moutanabbir (2012). "Risk measures and capital allocation using the Farlie-Gumbel-Morgenstern Copula", Scandinavian Actuarial Journal,
  • Cossette, H., Mailhot, M. et E. Marceau (2012). "T-Var based capital allocation for multivariate compound distributions", Insurance : Mathematics and Economics 50 (2), 247-256,
  • Cossettte, H., Maume-Deschamps, V. et E. Marceau (2011). "Adjustement coefficient for risk processes in some dependent contexts", Methodology and Computing in Applied Probability, 13 (4), 695-721,
  • Cossette, H., Marceau, E. et F. Marri (2011). "Constant dividend barrier in a risk model with a generalized Farlie-Gumber-Morgenstern copula", Methodology and Computing in Applied Probability, 13 (3), 487-510,
  • Cossette, H., Marceau, E. et F. Toureille (2011). "Risk models based on time series for count random variables", Insurance : Mathematics and Economics 48 (1), 19-28,
  • Boudreault, M., Cossette, H. et E. Marceau (2010). "An actuarial model of hurricane risk applied to Florida data", Insurance : Mathematics and Economics,
  • Cossette, H., Marceau, E. et F. Marri (2010). "Analysis of ruin measures for the classical compound Poisson risk model with dependance", Scandinavian Actuarial Journal (3), 221-245,
  • Cossette, H., Maume-Deschamps, V. et E. Marceau (2010). "Discrete-time risk models based on time series for count random variables", ASTIN Bulletin 40 (1), 123-150,
  • Bargès, M., Cossette, H., Loisel, S. et E. Marceau (2010). "On the moments of the aggregate discounted claims with dependance introduced by a FGM copula", ASTIN Bulletin (41) (1), 215-238,
  • Bargès, M., Cossette, H. et E. Marceau (2009). "TVaR-based capital allocation with copulas", Insurance : Mathematics and Economics 45, 348-361,
  • Cossette, H., Marceau, E. and F. Marri (2008). "On the compound Poisson risk model with dependance based on a generalized Farlie-Gumbel-Morgenstern copula", Insurance : Mathematics and Economics 43, 444-455,
  • Cossette, H., Delwarde, A., Denuit, M., Guillot, F., et E. Marceau (2007). "Pension plan valuation and dynamic mortality tables", North American Actuarial Journal 11 (2), 1-34
  • Boudreault, M., Cossette, H., Landriault, D. et E. Marceau (2006). "On a risk model with dependance between interclaim arrivals and claim amounts", Scandinavian Actuarial Journal, 5, 265-285,
  • Boudreault M., Cossette, H., Landriault, D. and E. Marceau (2006). "Ruin probabilities in the discrete- time renewal risk model", Scandinavian Actuarial Journal, 5, 265-285
  • Cossette, H., Landriault, D. et E. Marceau (2006). "Ruin probabilities in the discrete-time renewal risk model", Insurance: Mathematics and Economics 38, 309-323,
  • Cossette, H., Landriault, D. and E. Marceau (2004). "Compound binomial risk model in a Markovian environment", Insurance: Mathematics and Economics 35, 425-443,
  • Cossette, H., Landriault, D. et E. Marceau (2004). "Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model", Insurance: Mathematics and Economics 34, 449-466,
  • Cossette, H., Landriault, D. and E. Marceau (2004). "Risk measures related to the surplus process in the compound Markov binomial model", Bulletin de l'association suisse des actuaires, 77-114,
  • Cossette, H. et A. Luong (2003). "Generalized least squares estimators for credibility regression models with Moving Average errors", Insurance: Mathematics and Economics 32, 281-293,
  • Cossette, H., Duchesne, T. et E. Marceau (2003). "Modelling catastrophes and their impact on insurance portfolios", North American Actuarial Journal 7 (4), 1-22,
  • Cossette, H., Landriault, D. and E. Marceau (2003). "Ruin probabilities in the compound Markov binomial model", Scandinavian Actuarial Journal, 301-323,
  • Cossette, H., Gaillardetz, P. and E. Marceau (2002). "Common mixtures in the individual risk model", Bulletin de l'association suisse des actuaires, 131-157,
  • Cossette, H., Denuit, M. et E. Marceau (2002). "Distributional bounds for functions of dependent risks", Bulletin de l'association suisse des actuaires, 45-65,
  • Cossette, H., Gaillardetz, P., Marceau, E. et J. Rioux (2002). "On two dependent individual risk models", Insurance: Mathematics and Economics 30, 153-166,
  • Cossette, H., Denuit, M., Dhaene, J. et E. Marceau (2001). "Stochastic approximations of present value functions", Bulletin de l'association suisse des actuaires, 15-28,
  • Cossette, H., et E. Marceau (2000). "The discrete-time risk model with correlated classes of business", Insurance: Mathematics and Economics 26, 133-149,
  • Cossette, H., Denuit, M. et E. Marceau (2000). "The impact of dependence among multiple claims in a single loss", Insurance: Mathematics and Economics 26, 213-222,
  • De Vylder, F., Goovaerts, M. and H. Cossette (1995). "Classical regression model under zero-excess assumptions", Journal of Computational Mathematics and Statistics 64, 189-196
  • De Vylder, F. and H. Cossette (1994). "Dependent contracts in Bühlmann's credibility model", Bulletin de l'Association Suisse des Actuaires, Heft 2, 127-142

Formation et expériences professionnelles

  • Ph. D. Université catholique de Louvain, Belgique (1996)

  • M. Sc. Mathématiques, Université Laval (1993)

  • B.Sc. Actuariat, Université Laval (1992)
 
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