Karim Barigou

Karim Barigou
ISFA Lyon · SAF (Sciences Actuarielle et Financière) - Actuarial Science and Finance

PhD

About

18
Publications
4,658
Reads
How we measure 'reads'
A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text. Learn more
139
Citations
Introduction
I am post-doctoral researcher at ISFA in Lyon, France. My research interests are at the interplay between life insurance and quantitative finance. My current research projects include longevity modelling under model uncertainty, pricing and hedging equity-linked insurance products in incomplete markets, and data science applications for life insurance. To know more, feel free to check my webpage: https://karimbarigou.com/

Publications

Publications (18)
Article
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality. We price the equity-linked contracts by assuming that the insurer hedges the risks to reduce the local varianc...
Article
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the preferences represented by the regulatory risk measure are not reflected in the hedging process. We address this iss...
Article
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Various stochastic frameworks have been developed to model mortality patterns by taking into account the main stylized facts driving these patterns. However, relying on the prediction of one specific model can be too restrictive and can lead to so...
Preprint
Full-text available
We introduce the class of actuarial-consistent valuation methods for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles. We propose to extend standard actuarial principles by a new actuarialconsistent procedure, which we call "two-step actuari...
Preprint
Full-text available
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Various stochastic frameworks have been developed to model mortality patterns taking into account the main stylized facts driving these patterns. However, relying on the prediction of one specific model can be too restrictive and lead to some well...
Article
Full-text available
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the sample size and, on the other hand, model choice is still often based on in-sample criterion, such...
Preprint
Full-text available
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the preferences represented by the regulatory risk measure are not reflected in the hedging process. We address this iss...
Preprint
Full-text available
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality. We price the equity-linked contracts by assuming that the insurer hedges the risks to reduce the local varianc...
Article
We investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is set up, based on the assets traded in the market and a quadratic hedging objective, while in the seco...
Article
In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to-model for claims independent of financial market evolutions), market-consistent (mark-to-market for any hedgeable part of a claim) and time-consistent, extending t...
Article
Delong et al. (2018) presented a theory of fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. In this paper, we investigate in detail two practical applications of our theory of fair valuation. In the first example, we consider the fair valuation of a terminal benefit which is contingent on...
Article
Full-text available
In this paper, we investigate the fair valuation of insurance liabilities in a dynamic multi-period setting. We define a fair dynamic valuation as a valuation which is actuarial (mark-to-model for claims independent of financial market evolutions), market-consistent (mark-to-market for any hedgeable part of a claim) and time-consistent, extending t...
Article
A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. [Insurance: Mathematics & Economics, 76, 14–27 (2017)] in a single period framework. In particular, the...
Preprint
Full-text available
A general class of fair valuations which are both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evolutions) was introduced in Dhaene et al. [Insurance: Mathematics & Economics, 76, 14-27 (2017)] in a single period framework. In particular, the...
Article
Full-text available
We investigate fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. We first consider one-period hedge-based valuations, where in the first step, an optimal dynamic hedge for the liability is set up, based on the assets traded in the market and a quadratic hedging objective, while in the seco...
Article
Full-text available
Delong et al. (2018) presented a theory of fair (market-consistent and actuarial) valuation of insurance liability cash-flow streams in continuous time. In this paper, we investigate in detail two practical applications of our theory of fair valuation. In the first example, we consider the fair valuation of a terminal benefit which is contingent on...
Article
Full-text available
In this paper, we investigate the fair valuation of liabilities related to an insurance policy or portfolio in a single period framework. We define a fair valuation as a valuation which is both market-consistent (mark-to-market for any hedgeable part of a claim) and actuarial (mark-to-model for any claim that is independent of financial market evol...

Questions

Question (1)
Question
I would like to capture the dependence between returns using regime switching copulas and I'd like to know if there is any code currently available.
More in details, I would like to estimate the maximum likelihood estimates using the EM algorithm displayed in Hamilton in particular. In the framework, we consider two states of the economy, each one characterized by a certain copula and dependence parameter.
Thank you very much in advance.

Network

Cited By

Projects

Projects (3)
Project
Most developed countries are currently experiencing unprecedented improvements in longevity, which puts pressure on existing pension funds, retirement schemes and social security. These developments raise a number of problems to which historical experience offers no answers. This research proposal considers in some integrated way important sources of longevity uncertainties. More precisely, we aim at tackling the adequate choice of consistent models and the way longevity trend can be monitored by new mathematical techniques. First, to predict the future trends, there are plenty of stochastic mortality models proposed in the literature. The selection of one of these is one key stage of the insurer in setting their Best Estimate Assumption. Therefore, we aim at developing a selection procedure that will be a robust and exhaustive justification for the selected modelling approach. The second axis of the proposal will tackle the change-point detection problem for longevity trends and for multi-sensors (corresponding to monitoring of different age groups or different classes of policyholders). A sudden change in the longevity trend can induce serious financial consequences, and it is necessary to react as soon as data would suggest it. The specific context of COVID-19, and its potential impact on longevity trend will also be covered. Therefore, we will provide optimal surveillance strategies suited for longevity risk.
Project
We investigate the pricing and valuation of financial, actuarial and combined financial-actuarial claims. We consider financial valuations, actuarial valuations, market-consistent valuations, model-consistent valuations and fair valuations.
Project
In this project, we investigate dependency concepts between random variables, representing financial, actuarial or combined contingent claims. These claims might be traded (bought and sold) in a financial (arbitrage-free) market, they might be part of an insurance portfolio, or, in the more general case, they might consist of a combination of traded and insured claims. This research builds further on the expertise on dependency modeling in the actuarial research group of KU Leuven. Topics that will be investigated include 'measuring herd behavior in stock market', 'market-consistent valuation of combined financial-actuarial risks' and ‘pricing and hedging claims with dependent mortality and equity risks”.