Recherche · Chaire CARA

Publications

Cette section présente les articles scientifiques publiés par les membres de la Chaire Co-operators en analyse des risques actuariels dans le cadre de leurs travaux de recherche.

Publications récentes

Actuarial Fire-Spreading Model Based on Tree-Structured Graphical Models

A.O.Chuisseu Tchuisseu, J.-P. Boucher, H.Cossette & E.Marceau (2026)

Soumis pour publication

QUBO-Based Calibration for Regression Trees

I.Kouarfate, M.Dion, A.Mackay & M.Pigeon (2026)

Soumis pour publication

Varying Risk Exposure in Auto Insurance: A Weighted Tweedie Framework for Experience Rating and Cancellation Penalties

J.-P. Boucher, R.Coulibaly & J. Trufin (2026)

Soumis pour publication

Flexible Extreme Thresholds Through Generalised Bayesian Model Averaging

S.Jessup, M.Mailhot & M.Pigeon (2026)

European Actuarial Journal, publication prochaine

Comparison of offset and ratio weighted regressions in Tweedie models with application to mid-term cancellations

Jean-Philippe Boucher & Raïssa Coulibaly

European Actuarial Journal 16(2): 443–480

Individual loss reserving for multi-coverage insurance

Roxane Turcotte & Peng Shi

ASTIN Bulletin 56(2): 295–316

Parametric estimation of conditional Archimedean copula generators for censored data

Marie Michaelides, Hélène Cossette & Mathieu Pigeon

Computational Statistics & Data Analysis 216: 108309

Simulations of bivariate Archimedean copulas from their nonparametric generators for loss reserving under flexible censoring

Marie Michaelides, Hélène Cossette & Mathieu Pigeon

North American Actuarial Journal 29(4): 919–946

Uncertainty in heteroscedastic Bayesian model averaging

Sébastien Jessup, Mélina Mailhot & Mathieu Pigeon

Insurance: Mathematics and Economics 121: 63–78

Balancing Risk Assessment and Social Fairness: An Auto Telematics Case Study

J.-P. Boucher & M.Pigeon (2024)

Casualty Actuarial Society,

Telematics combined actuarial neural networks for cross-sectional and longitudinal claim count data

Francis Duval, Jean-Philippe Boucher & Mathieu Pigeon

ASTIN Bulletin 54(2): 239–262

Modeling of fire contagion in farms insurance

Jean-Philippe Boucher, Andra Crainic, Alexandre LeBlanc & Vincent Masse

Variance 17(1)

Bonus-Malus Scale Premiums for Tweedie’s Compound Poisson Models

J.-P. Boucher & R.Coulibaly (2023)

Annals of Actuarial Science, 1-25.

Impact of Combination Methods on Extreme Precipitation Projections

S.Jessup, M.Mailhot & M.Pigeon (2023)

Annals of Actuarial Science, 1-20.

GAMLSS for Longitudinal Multivariate Claim Count Models

R.Turcotte & J.-P. Boucher (2023)

North American Actuarial Journal, 1-24.

Individual claims reserving using activation patterns

Marie Michaelides, Mathieu Pigeon & Hélène Cossette

European Actuarial Journal 13(2): 837–869

Modeling payment frequency for loss reserves based on dynamic claim scores

Juan Sebastian Yanez, Jean-Philippe Boucher & Mathieu Pigeon

North American Actuarial Journal 28(3): 491–512

Enhancing claim classification with feature extraction from anomaly‐detection‐derived routine and peculiarity profiles

Francis Duval, Jean‐Philippe Boucher & Mathieu Pigeon

Journal of Risk and Insurance 90(2): 421–458

A comparison of two individual tree-based loss reserving methods

Mathieu Pigeon & Hélène Cossette

Variance 18

Multiple bonus–malus scale models for insureds of different sizes

Jean-Philippe Boucher

Risks 10(8): 152

Bonus-malus scale models: creating artificial past claims history

Jean-Philippe Boucher

Annals of Actuarial Science 17(1): 36–62

How much telematics information do insurers need for claim classification?

Francis Duval, Jean-Philippe Boucher & Mathieu Pigeon

North American Actuarial Journal 26(4): 570–590

Using Open Files for Individual Loss Reserving in Property and Casualty Insurance

H.Cossette & M.Pigeon (2021)

Casualty Actuarial Society,

Synthetic dataset generation of driver telematics

Banghee So, Jean-Philippe Boucher & Emiliano A. Valdez

Risks 9(4): 58

Cost-sensitive multi-class AdaBoost for understanding driving behavior based on telematics

Banghee So, Jean-Philippe Boucher & Emiliano A. Valdez

ASTIN Bulletin 51(3): 719–751

Micro-level parametric duration-frequency-severity modeling for outstanding claim payments

Juan Sebastian Yanez & Mathieu Pigeon

Insurance: Mathematics and Economics 98: 106–119

Working with a parametric copula-based model for individual non-life loss reserving

Roxane Turcotte, Hélène Cossette & Mathieu Pigeon

Variance 14(2)

A longitudinal analysis of the impact of distance driven on the probability of car accidents

Jean-Philippe Boucher & Roxane Turcotte

Risks 8(3): 91

On fitting dependent nonhomogeneous loss models to unearned premium risk

Sébastien Jessup, Jean-Philippe Boucher & Mathieu Pigeon

North American Actuarial Journal 25(4): 524–542

Pricing flood insurance with a hierarchical physics-based model

Mathieu Boudreault, Patrick Grenier, Mathieu Pigeon, Jean-Mathieu Potvin & Richard Turcotte

North American Actuarial Journal 24(2): 251–274

Individual loss reserving using a gradient boosting-based approach

Francis Duval & Mathieu Pigeon

Risks 7(3): 79

A Claim Score for Dynamic Claim Counts Modelling

J.-P. Boucher & M.Pigeon (2019)

Canadian Institute of Actuaries,

Publications plus anciennes

Dynamic moral hazard: a longitudinal examination of automobile insurance in canada

Peng Shi, Wei Zhang & Jean‐Philippe Boucher

Journal of Risk and Insurance 85(4): 939–958

Exposure as duration and distance in telematics motor insurance using generalized additive models

Jean-Philippe Boucher, Steven Côté & Montserrat Guillen

Risks 5(4): 54

Macro vs. micro methods in non-life claims reserving (an econometric perspective)

Arthur Charpentier & Mathieu Pigeon

Risks 4(2): 12

Compendium of credit risk resources

J.-P. Boucher, M.Boudreault & J.-F.Forest-Désaulniers (2016)

Casualty Actuarial Society,

Discrete distribution based on compound sum to model dental caries count data

Jean-Noel Vergnes, Jean-Philippe Boucher, Nathalie Lelong, Michel Sixou & Cathy Nabet

Caries Research 51(1): 68–78

Multilevel modeling of insurance claims using copulas

Peng Shi, Xiaoping Feng & Jean-Philippe Boucher

The Annals of Applied Statistics 10(2)

Sarmanov family of multivariate distributions for bivariate dynamic claim counts model

Anas Abdallah, Jean-Philippe Boucher & Hélène Cossette

Insurance: Mathematics and Economics 68: 120–133

Modeling the number of insured households in an insurance portfolio using queuing theory

Jean-Philippe Boucher & Guillaume Couture-Piché

ASTIN Bulletin 46(2): 401–430

Sarmanov family of bivariate distributions for multivariate loss reserving analysis

Anas Abdallah, Jean-Philippe Boucher, Hélène Cossette & Julien Trufin

North American Actuarial Journal 20(2): 184–200

Modeling the number of insureds’ cars using queuing theory

Jean-Philippe Boucher & Guillaume Couture-Piché

Insurance: Mathematics and Economics 64: 67–76

Modeling dependence between loss triangles with hierarchical Archimedean copulas

Anas Abdallah, Jean-Philippe Boucher & Hélène Cossette

ASTIN Bulletin 45(3): 577–599

Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models

Mathieu Pigeon, Bruno Henry de Frahan & Michel Denuit

European Actuarial Journal 4(2): 383–409

Individual loss reserving using paid–incurred data

Mathieu Pigeon, Katrien Antonio & Michel Denuit

Insurance: Mathematics and Economics 58: 121–131

A posteriori ratemaking with panel data

Jean-Philippe Boucher & Rofick Inoussa

ASTIN Bulletin 44(3): 587–612

Frequency and severity modelling using multifractal processes: an application to tornado occurrence in the usa and cat bonds

Donatien Hainaut & Jean-Philippe Boucher

Environmental Modeling & Assessment 19(3): 207–220

Individual loss reserving with the multivariate skew normal framework

Mathieu Pigeon, Katrien Antonio & Michel Denuit

ASTIN Bulletin 43(3): 399–428

Viability of ectomycorrhizal fungi following cryopreservation

Charlotte Crahay, Stéphane Declerck, Jan V. Colpaert, Mathieu Pigeon & Françoise Munaut

Fungal Biology 117(2): 103–111

Pay-as-you-drive insurance: the effect of the kilometers on the risk of accident

J.-P. Boucher, A.Perez & M.Santolino (2013)

Anales del Instituto de Actuarios Espanoles, 3(19): 135-154

Time Series of Correlated Count Data using Multifractal Process

J.-P. Boucher & D.Hainaut (2013)

UQAM – Archipel.,

Regression with Count Dependent Variables

J.-P. Boucher (2013)

dans Predictive Modeling Applications in Actuarial Science (édité par E.W. Frees, R. Derrig, G. Myers), Cambridge University Press,

General Insurance Pricing

J.-P. Boucher & A.Charpentier (2013)

dans Computational Actuarial Science with R (édité par A.Charpentier).,

Time Series of Count Data using Multifractal Process

J.-P. Boucher & D.Hainaut (2013)

UQAM – Archipel.,

Prévision de la fréquence et des coûts des réclamations 

J.-P. Boucher (2012)

Association québécoise d’établissement de santé et de services sociaux (AQESSS),

On the importance of dispersion modeling for claims reserving: an application with the Tweedie distribution

Jean-Philippe Boucher & Danaïl Davidov

Variance 5(2)

A semi-nonparametric approach to model panel count data

Jean-Philippe Boucher & Montserrat Guillen

Communications in Statistics - Theory and Methods 40(4): 622–634

Composite lognormal–Pareto model with random threshold

Mathieu Pigeon & Michel Denuit

Scandinavian Actuarial Journal 2011(3): 177–192

Modélisation statistique du coût d’une assurance parentale pour les étudiants de cycles supérieurs au québec

Jean-Philippe Boucher

Assurances et gestion des risques 79(3-4): 201

Correlated random effects for hurdle models applied to claim counts

Jean-Philippe Boucher, Michel Denuit & Montserrat Guillén

Variance 5(1)

Discrete distributions when modeling the disability severity score of motor victims

Jean-Philippe Boucher & Miguel Santolino

Accident Analysis & Prevention 42(6): 2041–2049

Modelling the Disability Severity Resulting from Motor Claims: an Application to the Spanish Case

M.Santolino & J.-P. Boucher (2010)

Journal of Financial Decision Making, 6(2): 81-93

Evaluation actuarielle concernant l’élargissement du régime d’assurance parentale aux étudiants aux études supérieures

J.-P. Boucher (2010)

Montréal : Conseil national des cycles supérieurs de la Fédération étudiante universitaire du Québec.,

number of accidents or number of claims? an approach with zero‐inflated Poisson models for panel data

Jean‐Philippe Boucher, Michel Denuit & Montserrat Guillen

Journal of Risk and Insurance 76(4): 821–846

A survey on models for panel count data with applications to insurance

Jean-Philippe Boucher & Montserrat Guillén

Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 103(2): 277–294

Modelling consumer credit risk via survival analysis (discussion)

J.-P. Boucher (2009)

SORT, 33(1): 35-37

Expert: modeling without data using expert opinion

Vincent Goulet, Michel Jacques & Mathieu Pigeon

The R Journal 1(1): 31

Statistical Modeling of Loss Distributions using actuar

V. Goulet & M.Pigeon (2008)

R News, 8(1): 34–40

actuar: anRpackage for actuarial science

Vincent Goulet

Journal of Statistical Software 25(7)

Models of insurance claim counts with time dependence based on generalization of Poisson and negative binomial distributions

Jean-Philippe Boucher, Michel Denuit & Montserrat Guillén

Variance 2(1)

Credibility premiums for the zero-inflated Poisson model and new hunger for bonus interpretation

Jean-Philippe Boucher & Michel Denuit

Insurance: Mathematics and Economics 42(2): 727–735

Modelling of insurance claim count with hurdle distribution for panel data

Jean-Philippe Boucher, Michel Denuit & Montserrat Guillén

Advances in Mathematical and Statistical Modeling (2008): 45–59

Crédibilité linéaire bivariée utilisant le nombre de périodes avec réclamations : modèles de Poisson, modèles à barrière et modèles gonflés à zéro

Jean-Philippe Boucher & Michel Denuit

Assurances et gestion des risques 75(4): 487–520

Risk classification for claim counts

Jean-Philippe Boucher, Michel Denuit & Montserrat Guillén

North American Actuarial Journal 11(4): 110–131

Duration dependence models for claim counts

Jean-Philippe Boucher & Michel Denuit

Blätter der DGVFM 28(1): 29–45

Fixed versus random effects in Poisson regression models for claim counts: a case study with motor insurance

Jean-Philippe Boucher & Michel Denuit

ASTIN Bulletin 36(1): 285–301