Département et professeurs
Professeurs et personnel
Professeurs
Fiche de professeur
Etienne Marceau, professeur titulaire
Pavillon Paul-Comtois, local 4151
T. 418 656-2013
etienne.marceau@act.ulaval.ca
Champs d'intérêts
  • Modélisation, évaluation et gestion quantitative des risques en actuariat
  • Modélisation de la dépendance en actuariat
  • Mathématiques actuarielles en assurance de personne, en assurance de dommage et en régimes de retraite
  • Modélisation des risques financiers et de la mortalité en actuariat
  • Applications de la statistique en actuariat
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Enseignement

ACT-2001Introduction à l'actuariat II
ACT-2004Mathématiques actuarielles vie I
ACT-2101Projet de recherche
ACT-3000Théorie du risque
ACT-7003Mathématiques des risques financiers
ACT-7004Primes brutes et réserves-vie
ACT-7016Modélisation et évaluation des risques vie

Recherche

Domaines de recherche

  • Modélisation, évaluation et gestion quantitive des risques en actuariat
  • Modélisation de la dépendance en actuariat
  • Mathématiques actuarielles en assurance de personne, en assurance dommage et en régimes de retraite
  • Modélisation des risques financiers et de la mortalité en actuariat
  • Applications de la statistique en actuariat

Publications

  • Cossette, H., Gadoury, S-P., Marceau E. et Robert, C. (2018). "Composite Likelihood Estimation Method for Hierarchical Archimedean Copulas Defineed with Multivariate Compound Distributions", Journal of Multivariate analysis, 
  • Cossette, H., Marceau, E., Nguyen, Q.H. et Robert, C. (2018). "Tail approximations for sums of dependent regularly varying variables under Archimedean copula models", Methodology and Computing in Applied Probability, 21 (2), 461-490. Available Online.
  • Cossette, H., Marceau, E., Mtalai, I. et Veilleux, D. (2018). "A note on the Univariate and Multivariate Mixed Exponential Distributions", ASTIN Bulletin
  • Cossette, H., Marceau, E. et Mtalai, I. (2018). "Collective Risk Models with Hierarchical Archimedean Copulas", Insurance: Mathematics and Economics
  • Cossette, H., Marceau, E., Mtalai, I. et Veilleux, D. (2018). "Archimedean Copulas and Aggregation Methods", Insurance: Mathematics and Economics, 78, 53-71.
  • Marceau, E., Veilleuz, P-A., (2017). "On the Impact of Stochastic Volatility, Interest Rates and Mortality on the Hedge Efficiency of GLWB Guarantees", North America Actuarial Journal
  • Cossette, H., Marceau, E., Mtalai, I. et Veilleux, D. (2017). "Dependent risk Models with Archimedean Copulas: A Computational Strategy Based on Common Mixtures and Applications", Insurance: Mathematics and Economics, 
  • Cossette, H., Gadoury, S-P., Marceau, E. et Mtalai, I. (2017). "Hierarchical Archimedean copulas through multivariate compound distributions", Insurance: Mathematics and Economics, 76, 1-13
  • Cossette, H., Landriault, D., Marceau, E. et Moutanabbir, K. (2016). "Moment-Based approximation with Finite Mixed Erlang Distributions", Variance
  • Cossette, H., Gaillardetz, P., Marceau, R. et Moutanabbir, K. (2016). "A stochastic international investment model and risk allocation", Scandinavian Actuarial Journal
  • Cossette, H., Larrivée-Hardy, E., Marceau, E. et Trufin, J. (2015) "A note on compound renewal risk models with dependence", Journal of Computational and Applied Mathematics,
  • Cossette, H., Marceau, E. et Perreault, S. (2015). "On two families of bivariate exponential distributions: aggregation and capital allocation", Insurance: Mathematics and Economics, 64, 214-224.
  • Cossette, H., Mailhot, M., Marceau, E. et Mesfioui, M. (2016). "Vector-valued Tail Value-at-Risk and Capital Allocation", Methodology and Computing in Applied Probability, 18 (3), 653-674. Available online.
  • Boudreault, M., Cossette, H. et Marceau, E. (2014). "An actuarial model of hurricane risk applied to Florida data", Insurance: Mathhematics and Economics 54, 123-134.
  • Cossette, H., Côté, M-P., Mailhot, M. et Marceau, E. (2014). "A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks", Journal of Multivariate Analysis, 130, 1–20.
  • Cossette, H., Marceau, E. & F. Marri (2014). "On a compound Poisson risk model with dependance and in the presence of a constant dividend barrier", Applied Stochastic Models in Business and Industry, 30, 82-98
  • Cossette, H., Larrivée-Hardy, E., Marceau, E., Trufin, J. (2013) "Infinite-time ruin measures for compound renewal risk models with dependence",
  • Boudreault, M., Cossette, H. et Marceau, E. (2013). "An actuarial approach to modeling natural catastroph risk applied to Canadian earthquake risk", Insurance: Mathematics and Economics
  • Cossette, H., Mailhot, M., Marceau, E. et Mesfioui, M. (2013). "Bivariate lower and upper orthant Value-at-Risk", European Actuarial Journal 3, 321-357,
  • Cossette, H., Côté, M-P., Marceau, E. et Moutanabbir, K. (2013). "Risk measures and capital allocation using the Farlie-Gumbel-Morgenstern Copula", Insurance: Mathematics and Economics 52, 560-573,
  • Cossette, H. et Marceau, E. (2013). "Dynamic risk measures within discrete-timerisk models and stochastic orders". In: "SORR2011 Stochastic Orders in Reliability and Risk Management. In Honor of Professor Moshe Shaked" (Editors: Haijun Li, Xiaohu Li). Lecture Notes in Statistics, Springer Verlaag.
  • Cossette, H., Landriault, D., Marceau, E. & K. Moutannabir (2012). "Analysis of the discounted sum of ascending ladder heights", Insurance : Mathematics and Economics 51(2), 393-401,
  • Cossette, H., Mailhot, M. & E. Marceau (2012). "T-Var based capital allocation for multivariate compound distributions", Insurance : Mathematics and Economics 50(2), 247-256,
  • Cossette, H., Maume-Deschamps, V. & E. Marceau (2011). "Adjustment coefficient for risk processes in some dependant contexts", Methodology and Computing in Applied Probability 13(4), 695-721,
  • Cossette, H., Marceau, E. & F. Marri (2011). "Constant dividend barrier in a risk model with a generalized Farlie-Bumble-Morgenstern", Methodology and Computing in Applied Probability 13(3), 487-510,
  • Bargès, M., Cossette, H., Loisel, S. & E. Marceau (2011). "Discounted aggregate claims with dependence", ASTIN Bulletin 41(1), 215-238,
  • Cossette, H., Marceau, E. & 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. & E. Marceau (2010). "Discrete-time risk models based on time series for count random variables", ASTIN Bulletin 40(1), 123-150,
  • Cossette, H., Marceau, E. & F. Toureille (2010). "Risk models based on time series for count random variables", Insurance : Mathemathics and Economics 48(1), 19-28,
  • Marceau, E. (2009). "On a general class of compound renewal risk models with dependance", Insurance : Mathematics and Economics 44 (2), 245-259,
  • Bargès, M., Cossette, H. & E. Marceau (2009). "TVaR-based capital allocation with copulas", Insurance : Mathematics and Economics 45(3), 348-361,
  • Cossette, H., Marceau, E. & F. Marri (2008). "On the compound Poisson risk model with dependance based on a generalized Farlie-Gumbel-Morgenstern copula", Insurance : Mathematics and Economics 43 (3), 444-455,
  • Cossette, H., Delwarde, A., Denuit, M., Guillot., F & E. Marceau (2007). "Pension plan valuation and dynamic mortality tables", North American Actuarial Journal 11 (2), 1-34,
  • Goulet, V. & E. Marceau (2006). "Editorial", Insurance : Mathematics and Economics 39(3), page v,
  • Cossette, H., Landriault, D. et E. Marceau (2006). "Ruin probabilities in the discrete-time renewal risk model", Insurance : Mathematics and Economics 38, 309-323,
  • Boudreault, M., Cossette, H., Landriault, D. & E. Marceau (2006). "Ruin related quantities in a risk model with time-dependant claim sizes", Scandinavian Actuarial Journal, 265-285,
  • 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
  • Boudreault, M., Cossette, H., et E. Marceau (2004). "Modeling Insurance Losses Resulting from Natural Catastrophes: An Application to Canadian Earthquake Risk", Submitted to North American Actuarial Journal,
  • Cossette, H., Landriault, D. et 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
  • Genest, C., Marceau, E. et M. Mesfioui (2003). "Compound Poisson approximations of individual models with dependent risks", Insurance: Mathematics and Economics 32, 73-81
  • Marceau, E. (2003). "Introduction à la modélisation des risques en actuariat", Reference document,
  • Cossette, H., Duchesne, T. et E. Marceau (2003). "Modeling Catastrophes and their Impact on Insurance Portfolios", North American Actuarial Journal 7(4), 1-22
  • Cossette, C., Landriault, D. and E. Marceau (2003). "Ruin probability in the compound Markov binomial model", Scandinavian Actuarial Journal, 301-323
  • Cossette, H., Gaillardetz, P. et E. Marceau (2002). "Common mixtures in the individual risk model", Bulletin de l'Association suisse des actuaires, 131-157
  • Denuit, M. Genest, C. and É. Marceau (2002). "Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications", Scandinavian Actuarial Journal, 3-16
  • Cossette, H., Denuit, M. et E. Marceau (2002). "Distributional bounds for functions of dependent risks", Bulletin de l'Association suisse des actuaires, 45-65
  • Marceau, E. (2002). "Modélisation des risques en assurance collective", Reference document,
  • Cossette, H., Gaillardetz, P., Marceau, E. et J. Rioux (2002). "On two dependent individual risk models", Insurance: Mathematics and Economics 30, 153-166
  • Marceau, E., Cossette, H., Gaillardetz, P. and J. Rioux (2002). "On two dependent individual risk models", Insurance: Mathematics and Economics 30, 153-166
  • Genest, C., Marceau, E. et M. Mesfioui (2002). "Upper stop-loss bounds for sums of possibly dependent risks with given means and variances", Statistics and Probability Letters 57, 33-41
  • Marceau, E., et J. Rioux (2001). "On robustness in risk theory", Insurance: Mathematics and Economics 29, 167-185
  • 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., and E. Marceau (2000). "The Discrete-Time Risk Model with Correlated Classes of Business", Insurance: Mathematics and Economics 26, 133-149
  • Cossette, H., Denuit, M. & E. Marceau (2000). "The impact of dependance among multiple claims in a single loss", Insurance : Mathematics and Economics 26, 213-222,
  • Gendron, M., and E. Marceau (1999). "L'accès à l'assurance-habitation dans les quartiers centraux de quatre villes québécoises", Assurances : Revue d'assurances et de gestion des risques, octobre 1999, 479-494
  • Marceau, E., and P. Gaillardetz (1999). "On Life Insurance Reserves in a Stochastic Mortality and Interest Rates Environment", Insurance: Mathematics and Economics 25, 261-280
  • Denuit, M., Genest, C., and E. Marceau (1999). "Stochastic Bounds on Sums of Dependent Risks", Insurance: Mathematics and Economics 25, 85-104
  • Marceau, E. (1998). "Optimization of Ruin Probability in Risk Theory", ARCH Proceeding of the Actuarial Research Conference (August 1998, Atlanta, GA),
  • De Vylder, F., Goovaerts, M. and E. Marceau (1997). "The Bi-atomic Uniform Solution of Schmitter's Problem", Insurance: Mathematics and Economics 20, 59-78
  • De Vylder, F., Goovaerts, M. and E. Marceau (1997). "The Solution to Schmitter's Simple Problem: Numerical Illustration", Insurance: Mathematics and Economics 20, 43-58
  • De Vylder, F. and E. Marceau (1996). "Classical Numerical Ruin Probabilities", Scandinavian Actuarial Journal, 109-123
  • De Vylder, F. and E. Marceau (1996). "Numerical Solution of the Schmitter Problems: Theory", Insurance: Mathematics and Economics 20, 1-18
  • De Vylder, F. and E. Marceau (1995). "Explicit Analytic Ruin Probabilities for Bounded Claims", Insurance: Mathematics and Economics 16, 79-105
  • Cossette, H. & E. Marceau (). "Dynamic risk measures within discrete-time risk models and stochastic orders", In : "SORR2011 Stochastic Orders in Reliability and Risk Management. In Honnor of Professor Moshe Shaked" (Editors : Haijun Li, Xiaohu Li). Lecture Notes in Statistics, Springer Verlag. Sous presse.

Conférences et communications

  • Two Problems in Ruin Theory: Risk Models with Exchangeability and Ruin Theory with CLT (Février 2018)
    Ruin Day 2, Quantact-CRM, UQAM, Montréal, Canada
  • Assurabilité des chantiers de construction pour les structures CLT (octobre 2017)
    Bureau de la direction de la CIRCERB, Université Laval, Québec, Canada
  • On Recent Construction Approaches of Hierarchical Archimedean Copulas (Octobre 2017)
    Workshop: Dependence Modeling Tools for Risk Management, Centre de recherche mathématiques, Montréal, Canada
  • Measuring Risk for a Portfolio of Exchangeable Bernoulli Risks (Septembre 2017)
    Workshop: Risk Measurement and Regulatory Issues in Businees, Centre de recherches mathématiques, Montréal, Canada
  • Porfolio of Exchangeable Risks: Aggregation with Partial Information on Dependence (Juillet 2017)
    21st International Congress on Insurance: Mathematics and Economics, Vienne, Autriche
  • Porfolio of Exchangeable Risks: Aggregation with Partial Information on Dependence (Juin 2017)
    45e Congrès annuel de la Société statistique du Canada, University of Manitoba, Winnipeg, Canada
  • Exterme Negative Dependence: aggregation and diversification benefit (Juillet 2016)
    51st Actuarial Research Conference, University of Minnesota and University of St-Thomas, Monneapolis-St-Paul (MN), États-Unis
  • A note on Countermonotonicity: sum, difference and etc. (Juillet 2016)
    20th International Congress on Insurance: Mathematics and Economics, Georgie State University, Atlanta (GA), États-Unis
  • A Note on Extreme Negative Dependence: Countermonotonicity (Mai 2016)
    Brock University, St-Catharines, Ontario, Canada
  • Exchangeable risks in actuarial science and quantitative risk management 31 (juillet 2014)
    49th Actuarial Research Conference, Santa Barbara, États-Unis
  • Compound renewal risk models with dependence: change of measure technics and rare event simulation (Mai 2014)
    42nd Annual Meeting of Statistical Society of Canada, Toronto, Canada
  • Mixed Erlang Distribution: Moment-Based Approximation: Applicationsin Actuarial Science dans Quantitative Risk Management (Août 2013)
    48th Actuarial Research Conference, Philadelphie, États-Unis
  • Ruin Theory in risk models based on time series for count random variables (Juin 2013)
    Series of seminars at UW on June 18: A celebration of Hans Gerber's contributions, Waterloo, Ontario, Canada
  • Two papers on aggregation of dependent risks (Juin 2013)
    17th International Congress on Insurance: Mathematics and Economics, Copenhague, Danemark
  • Dependence models and risk aggregation (Mai 2013)
    41st Annual Meeting of the Statistical Society of Canada, Edmonton, Alberta, Canada
  • Modèles avec dépendance et agrégation des risques (Novembre 2012)
    Colloque Mathématiques appliquées au risque, Lyon, France
  • Some results on the compound Markov binomial model (Septembre 2002)
    2nd Conference in actuarial Science and Finance, Samos, Grève
  • Approximation par Poisson composée du modèle individuel avec risques dépendants (Octobre 2000)
    Séminaire de l'Institut de statistique et économétrie appliquée de Rabat, Rabat, Morocco
  • Stratégies pour construire des approximations par la distribution Poisson composée dans le cadre de modèles individuels avec risques dépendants (Octobre 2000)
    Séminaire de statistique du Département de mathématiques et de statistiques de l'Université Laval, Québec, Canada
  • Modèles avec dépendance et agrégation des risques (Novembre 2012)
    Entretiens Jacques Cartier, Lyon, France
  • Modèles de risque basés sur les processus de renouvellement avec sinistres dépendants (Novembre 2006)
    Journée finance - actuariat ENSIMAG Grenoble et ISFA Lyon, ENSIMAG, Grenoble, France
  • Dépendance et probabilité de ruine (Novembre 1998)
    Séminaire de statistique du Département de mathématiques et de statistiques de l'Université Laval, Québec, Canada
  • Ruin Measures in Renewal Risk Models with Time Dependent Claims Amounts (May 2006)
    2006 International Workshop on Applied Probability, Storrs, Connecticut, États-Unis
  • Modèles de risques avec dépendance temporelle entre les sinistres (Mars 2006)
    33e Journée de séminaires actuariels ISFA Lyon et ISA-HEC Lausanne, Lausanne, Suisse
  • Portefeuille de deux risques modélisés par une loi composée bivariée : agrégation et allocation du capital (Mai 2010)
    Séminaire MITACS de mathématiques actuarielles et financières de Montréal, Montréal, Canada
  • TVaR-based Capital Allocation with Dependence (Mai 2010)
    Congrès de la Société Statistique du Canada, Québec, Canada
  • A Compound Poisson risk model with dependence (Mai 2008) Congrès conjoint SCRO/Journées de l'Optimisation 2008, Québec, Canada
  • Actuarial aspects of catastrophe mortality risk (Mai 2008)
    Congrès conjoint de la Société de Statistique du Canada et de la Société Française de Statistique, Ottawa, Canada
  • Copulas and Actuarial Science: a good relationship (Mai 2008)
    Séminaire sur les copules, Université Laval, Québec, Canada
  • Dependence in actuarial science: Dependence models over several periods and ruin theory (Mai 2004)
    International Conference on Dependence Modelling: Statistical Theory and Applications in Finance and Insurance, Québec
  • Probabilités de ruine dans un modèle binomial composé défini dans un environnement markovien (Mai 2002)
    XXXIVèmes Journées de Statistiques, Bruxelles, Belgique
  • Modelling dependent risks with mixture models (Mai 2001)
    Congrès de la société canadienne de recherche opérationnelle (CORS/SCRO), Québec, Canada
  • Impact of dependence in the collective risk model (Mai 2000)
    Séminaire de l'Institut de Statistique de l'Université Catholique de Louvain, Louvain-la-Neuve, Belgique
  • Analysis of the sum of discounted capital injection (June 2011)
    15th International Congress on Insurance: Mathematics and Economics, Trieste, Italie
  • Sparre-Andersen risk model: capital assessment with ruin measures and analysis of discounted capital injections (June 2011)
    The 7th International Conference on Mathematical Methods in Reliability (MMR2011), Beijing, China
  • Three subjects on aggregation, risk assessment and capital allocation (June 2010)
    45th Actuarial Research Conference, Burnaby, Canada
  • TVaR-based capital allocation for bivariate compound distributions (June 2010)
    14th International IME Congress on Insurance: Mathematics and Economics, Toronto, Canada
  • Capital assessment with ruin probabilities - classic discrete-time risk model, 2 extensions and stochastic orders (Juin 2011)
    International Workshop on Stochastic Orders in Reliability and Risk Management, Beijing, China
  • Discrete-time risk models based on time series for count random variables: ruin measures on finite and infinite-time horizon (Juin 2010)
    Third International Gerber-Shiu Workshop, Waterloo, Canada
  • Discrete-time Risk Models Based on Time Series for Count Random Variables (Juin 2009)
    2009 Informs International Meeting, Toronto, Canada
  • On the compound binomial risk model in a markovian environment with applications (juin 2003)
    Conference on Risk Management in Insurance, Waterloo, Canada
  • Compound binomial risk model in a markovian environment (Juin 2002)
    Seventh International IME congress on Insurance: Mathematics and Economics, Lyon, France
  • Probability and severity of ruin in the compound Markov binomial model (Juillet 2002)
    Sixth International IME Congress on Insurance: Mathematics and Economics, Lisbonne, Portugal
  • Modelling dependent risks with mixture models (juillet 2001)
    Statistics 2001 Canada Congress, Université Concordia, Montreal, Canada
  • Compound Poisson approximations for individual models with dependent risks (Juillet 2000)
    Fourth International IME Congress on Insurance: Mathematics and Economics, Barcelone, Espagne
  • Dependence in the individual risk model (Juillet 1999)
    Third International IME Congress on Insurance: Mathematics and Economics, Londres, Grande-Bretagne
  • The incidence of stochastic interest rates in life insurance reserves (Juillet 1998)
    Second International IME Congress on Insurance: Mathematics and Economics, Lausanne, Suisse
  • On a general class of compound renewal risk models with dependence (February 2007) Research Seminar, Department of Statistics and Actuariel Science, University of Waterloo, Waterloo, Canada
  • On a general class of compound renewal risk models with dependence (February 2007)
    Research Seminar, Department of Statistics, University of Toronto, Toronto, Canada (Décembre 2010) 3rd International conference of the ERCIM Working Group on computing & Statistics, Londres, Grande-Bretagne
  • Agrégation des risques dépendants et allocation du capital (Avril 2010)
    Workshop : Modélisation spatiale et temporelle de la dépendance.
  • Applications au risque, Luminy, France
  • Analysis of ruin measures in renewal risk models with time dependent claim amounts (August 2006)
    2006 1st International Workshop on Gerber-Shiu Functions, Concordia University, Montreal, Canada
  • Discrete-Time Renewal Risk Model: Ruin Probabilities and Applications (Août 2003)
    Ann Arbor, États-Unis
  • Modelling Catastrophe Risks (Août 2002)
    Actuarial Research Conference, Waterloo, Canada
  • Common mixtures in the individual risk model (Août 2000)
    Actuarial Research Conference, Québec, Canada
  • Dependence in the individual risk model (Août 1999)
    Actuarial Research Conference, Desmoines, États-Unis
  • Optimization of ruin probability in risk theory (Août 1998)
    Actuarial Research Conference, Atlanta, États-Unis
  • Impact de la dépendance dans le modèle collectif de risque (9 mars, 2000)
    15th Actuarial Seminar ISFA Lyon-HEC Lausanne, Université de Lausanne, Suisse

Formation et expériences professionnelles

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

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

  • B. Sc. Actuariat, Université Laval (1988)

  • ASA (1988)

 
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