Etienne Marceau, professeur titulaire
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

Enseignement

ACT-2001 Introduction à l'actuariat II
ACT-3000 Théorie du risque
ACT-7003 Mathématiques des risques financiers
ACT-7004 Primes brutes et réserves-vie
ACT-7016 Modélisation et évaluation des risques vie

Publications

  • 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., Marceau, E. & F. Marri (2012). "On a compound Poisson risk model with dependance and in the presence of a constant dividend barrier", Applied Stochastic Models in Business and Industry. Sous presse,
  • 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.

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)
 
Retour à la liste