École d'actuariat: Fiche de professeur

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

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.

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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