Three Essays on the Design, Pricing, and Hedging of Insurance Contracts ; Trois essais sur la conception, la tarification et la couverture de contrats d'assurance

This thesis makes use of some theoretical tools in finance, decision theory, machine learning, to improve the design, pricing and hedging of insurance contracts. Chapter 3 develops closed-form pricing formulas for participating life insurance contracts, based on matrix Wiener-Hopf factorization, where multiple risk sources, such as credit, market, and economic risks, are considered. The pricing method proves to be accurate and efficient. The dynamic and semi-static hedging strategies are introduced to assist insurance company to reduce risk exposure arising from the issue of participating contracts. Chapter 4 discusses the optimal contract design when the insured is third degree risk averse. The results showthat dual limited stop-loss, change-loss, dual change-loss, and stop-loss can be optimal contracts favord by both of risk averters and risk lovers in different settings. Chapter 5 develops a stochastic gradient boosting frequency-severity model, which improves the important and popular GLM and GAM frequency-severity models. This model fully inherits advantages ofgradient boosting algorithm, overcoming the restrictive linear or additive forms of the GLM and GAM frequency-severity models, through learning the model structure from data. Further, our model can also capture the flexible nonlinear dependence between claim frequency and severity ; Cette thèse utilise des outils théoriques de la finance, de la théorie de la décision et de l'apprentissage automatique, pour améliorer la conception, la tarification et la couverture des contrats d'assurance. Le chapitre 3 de cette thèse développe des formules de tarification sous forme fermée pour une classe de contrats d'assurance vie participatifs, sur la base de la factorisation matricielle de Wiener-Hopf, et prend en compte plusieurs types de risque, tels que les risques de crédit, de marché et économiques. La méthode de tarification se révèle précise et efficace. Les stratégies de couverture dynamique et semi-statique sont introduites pour aider les compagnies ...