Published papers

Period 2015-2020 – Data Analytics & Models in Insurance

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Period 2010-2015 – Management of Modelling in Insurance

Since its launch in October 2010, the academic research activity of the chair members focused on the following topics.

  • The explicit calculation of ruin probability when the claims amount and/or the inter-arrival of claims are dependent
  • The evaluation and quantification of the risk of misestimation and the bias present when aggregation risks
  • Statistical estimation of risk indicators in the presence of several risk factors (multidimensional problems), and applications in risk theory, the ERM (“Enterprise Risk Management”) and in the context of Solvency 2
  • The modeling of rare or extreme events and its applications in risk theory
  • The calculation of the risk margin for non-life insurance risks in the context of Solvency 2
  • The modeling of biometric risks and catastrophic events
  • The management of correlated risks, particularly for credit, counterparty and liquidity risks
  • Accounting issues in insurance related to the implementation of Solvency 2


The academic research during the period 2010-2015, focused on three main themes:

  1. New developments of risk theory  : taking account of dependencies, explicit calculations of ruin probabilities, multivariate risk indicators, rare or extreme events, economic risk analysis. Contributions from the chair to this theme.
  2. Management of economic capital of insurance companies : Solvency 2 related adjustment, economic scenarios generator, model risk, risk aggregation, capital allocation, risk margin, ERM. Contributions from the chair to this theme.
  3. Default risks, liquidity, biometric risks : correlated default risk, counterparty risk, own credit, impact of new regulations on the cost and resources sustainability, modeling of longevity and mortality risks. Contributions from the chair to this theme.