no code implementations • 4 Jul 2022 • Caroline Hillairet, Sarah Kaakai, Mohamed Mrad
The paper designs and solves the social planner's dynamic decision criterion, and computes the optimal investment/pension policy in a general framework.
no code implementations • 17 Dec 2021 • Romuald Elie, Caroline Hillairet, François Hu, Marc Juillard
This paper addresses significant obstacles that arise from the widespread use of machine learning models in the insurance industry, with a specific focus on promoting fairness.
1 code implementation • 3 May 2017 • Stefano De Marco, Caroline Hillairet, Antoine Jacquier
We study the shapes of the implied volatility when the underlying distribution has an atom at zero and analyse the impact of a mass at zero on at-the-money implied volatility and the overall level of the smile.