Publications
    Articles scientifiques

    2015 - ...

    1. Cossette, H., Marceau, E., Nguyen, Q., Robert, C. Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models MCAP, 2018
    2. Cossette, H., Marceau, E., Mtalai, I., Veilleux, D. (2017) Dependent Risk Models with Archimedean Copulas, Insurance: Mathematics and Economics, 2018
    3. Cossette, H., Gadoury, S. P., Marceau, É., & Mtalai, I. (2017). Hierarchical Archimedean copulas through multivariate compound distributions. Insurance: Mathematics and Economics, 76, 1-13.
    4. Cossette, H., Landriault, D., Marceau, E., Moutanabbir (2017). Moment-Based Approximation with Finite Mixed Erlang Distributions. Variance. In press.
    5. Cossette, H., Mailhot, M., Marceau, E., Mesfioui, M. (2016). Vector-valued Tail-value at Risk and capital allocation. Methodology and Computing in Applied Probability 18 (3), 653-674.
    6. Abdallah, A., Boucher, J., Cossette, H., Trufin, J., (2016) Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis, North American Actuarial Journal, 20:2, 184-200
    7. Abdallah, A., Boucher, J., Cossette, H., Trufin, J., (2016), Sarmanov Family of Multivariate Distributions for Bivariate Dynamic Claim Counts Model, Insurance: Mathematics and Economics, Volume 68, 2016, Pages 120-133
    8. Abdallah, A., Boucher, J., Cossette, H. (2015). Modeling Dependance Between Loss Triangles with Hierarchical Archimedean Copoulas, ASTIN Bulletin, 45(3), 577-599. doi:10.1017/asb.2015.6
    9. Cossette, H., Marceau, E., Perreault, S. (2015). On two families of bivariate exponential distributions: aggregation and capital allocation.  Insurance: Mathematics & Economics. Sous presse.
    10. Cossette, H, Larrivée-Hardy, E., Marceau, E, Trufin, J. (2015). A note on the compound renewal risk models with dependence.  Journal of Computational and Applied Mathematics 285, 295-311.pdf

    2010 - 2014

    1. Cossette, H., Côté, M.-P., Mailhot, M., Marceau, E. (2014). A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. Journal of Multivariate Analysis 130, 1–20.pdf
    2. Boudreault, M., Cossette, Marceau, E. (2014). Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. Insurance : Mathematics and Economics 54, 123-134.pdf
    3. Cossette, H., Marceau, E., Marri, F. (2014). On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier. Applied Stochastic Models in Business and Industry 30, 82-98.pdf
    4. Cossette, H., Mailhot, M., Marceau, E., Mesfioui, M. (2013). Bivariate lower and upper orthant Value-at-Risk. European Actuarial Journal 3, 321-357.pdf
    5. Cossette, H., Côté, M-P, Marceau, E., Moutanabbir, K. (2013). Risk measures and capital allocation using the Farlie-Gumbel-Morgenstern Copula. Insurance: Mathematics and Economics 52, 560-572.pdf
    6. Cossette, H., Marceau, E. (2013). Dynamic risk measures within discrete-time risk models and stochastic orders. In : SORR2011 Stochastic Orders in Reliability and Risk Management. In Honor of Professor Moshe Shaked (Editors: Haijun Li, Xiaohu Li). Lecture Notes in Statistics, Springer Verlag.pdf
    7. Cossette, C., Landriault, D., Marceau, E., Moutannabir, K. (2012). Analysis of the discounted sum of ascending ladder heights. Insurance: Mathematics and Economics 51, 393-401.pdf
    8. Cossette, H., Mailhot, M., Marceau, E. (2012). T-Var based capital allocation for multivariate compound distributions. Insurance: Mathematics and Economics 50(2), 247-256.pdf
    9. Cossette, H., Marceau, E., Maume-Deschamps, V. (2011). Adjustment coefficient for risk processes in some dependent contexts. Methodology and Computing in Applied Probability 13(4), 695-721.pdf
    10. Cossette, H., Marceau, E., Marri, F. (2011). Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula. Methodology and Computing in Applied Probability 13(3), 487-510.pdf
    11. Bargès, M., Cossette, H., Loisel, S., Marceau, E. (2011). Discounted aggregate claims with dependence. ASTIN Bulletin 41(1), 215-238.pdf
    12. Cossette, H., Marceau, E., Toureille, F. (2011). Risk models based on time series for count random variables. Insurance: Mathematics and Economics 48(1), 19-28.pdf
    13. Cossette, H., Marceau, E., Maume-Deschamps, V. (2010). Discrete-time risk models based on time series for count random variables. ASTIN Bulletin 40(1), 123-150.pdf
    14. Cossette, H., Marceau, E., Marri, F. (2010). Analysis of ruin measures for the classical compound Poisson risk model with dependence. Scandinavian Actuarial Journal (3), 221-245.pdf

    2005 - 2009

    1. Bargès, M., Cossette, H., Marceau, E. (2009). TVaR-based capital allocation with copulas. Insurance : Mathematics and Economics 45(3), 348-361.pdf
    2. Marceau, E. (2009). On a general class of compound renewal risk models with dependence.  Insurance: Mathematics and Economics 44 (2), 245-259.pdf 
    3. Cossette, H., Marceau, E., Marri, F. (2008). On the compound Poisson risk model with dependence based on a generalized Farlie–Gumbel–Morgenstern copula». Insurance: Mathematics and Economics 43 (3), 444-455.pdf 
    4. Cossette, H., Delwarde, A., Denuit, M., Guillot, F., Marceau, E. (2007). Pension plan valuation and dynamic mortality tables. North American Actuarial Journal 11 (2), 1-34.pdf
    5. Boudreault, M., Cossette, H., Landriault, D., Marceau, E. (2006). On a risk model with dependence between interclaim arrivals and claim sizes. Scandinavian Actuarial Journal, 265-285.pdf
    6. Cossette, H., Landriault, D., Marceau, E. (2006). Ruin probabilities in the discrete-time renewal risk model. Insurance: Mathematics and Economics 38, 309-323.pdf 

    2000 - 2004

    1. Cossette, H., Landriault, D., Marceau, E. (2004). Compound binomial risk model in a markovian environment. Insurance: Mathematics and Economics 35, 425-443.pdf 
    2. Cossette, H., Landriault, D., Marceau, E. (2004). Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Insurance: Mathematics and Economics 34, 449-466.pdf
    3. Cossette, H., Landriault, D., Marceau, E. (2004). Risk measures related to the surplus process in the compound Markov binomial model. Bulletin de l’Association suisse des actuaires, 77-114.pdf
    4. Cossette, H., Duchesne, T., Marceau, E. (2003). Modelling catastrophes and their Impact on Insurance Portfolios, North American Actuarial Journal 7 (4), 1-22.pdf
    5. Cossette, H., Landriault, D., Marceau, E. (2003). Ruin probabilities in the compound Markov binomial model, Scandinavian Actuarial Journal, 301-323.pdf
    6. Cossette H., Luong A. (2003), Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors, Insurance: Mathematics and Economics, Volume 32, Issue 2, 2003, Pages 281-293
    7. Genest, C., Marceau, E., Mesfioui, M. (2003). Compound poisson approximations of individual models with dependent risks, Insurance: Mathematics and Economics 32, 73-81. 
    8. Cossette, H., Gaillardetz, P., Marceau, E. (2002). Common mixtures in the individual risk model, Bulletin de l’Association suisse des actuaires, 131-157.pdf
    9. Cossette, H., Gaillardetz, P., Marceau, E., Rioux, J. (2002). On two dependent individual risk models. Insurance: Mathematics and Economics 30, 153-166.pdf
    10. Genest, C., Marceau, E., Mesfioui, M. (2002).  Upper stop-loss bounds for sums of possibly dependent risks with given means and variances. Statistics and Probability Letters 57, 33-41.
    11. Denuit, M. Genest, C., Marceau, E. (2002). Criteria for the stochastic ordering of random sums, with actuarial applications. Scandinavian Actuarial Journal, 3-16.pdf
    12. Cossette, H., Denuit, M., Marceau, E. (2002). Distributional bounds for functions of dependent risks ". Bulletin de l’Association suisse des actuaires, 45-65. 
    13. Marceau, E., Rioux, J. (2001). On robustness in risk theory. Insurance: Mathematics and Economics 29, 167-185.pdf
    14. Cossette, H., Denuit, M., Dhaene, J., Marceau, E. (2001). Stochastic approximations of present value functions. Bulletin de l’Association suisse des actuaires, 15-28.
    15. Cossette, H., Marceau, E. (2000). The discrete-time risk model with correlated Classes of buiness. Insurance: Mathematics and Economics 26, 133-149.pdf
    16. Cossette, H., Denuit, M., Marceau, E. (2000). The impact of dependence among multiple claims in a single loss. Insurance: Mathematics and Economics 26, 213-222.pdf

    Avant 2000

    1. Denuit, M., Genest, C., Marceau, E. (1999). Stochastic bounds on sums of dependent risks. Insurance: Mathematics and Economics 25, 85-104.pdf
    2. Gaillardetz, P., Marceau, E. (1999). On life insurance reserves in a stochastic Mortality and Interest Rates Environment. Insurance: Mathematics and Economics 25, 261-280.pdf
    3. Gendron, M., Marceau, E. (1999). L'accès à l'assurance-habitation dans les quartiers centraux de quatre villes québécoises. Assurances : Revue d'assurances et de gestion des risques, octobre 1999,  479-494. 
    4. De Vylder, F., Goovaerts, M., Marceau, E. (1997). The solution to Schmitter’s simple problem: numerical illustration. Insurance: Mathematics and Economics 20, 43-58.pdf
    5. De Vylder, F., Goovaerts, M., Marceau, E. (1997). The bi-atomic uniform solution of Schmitter’s problem. Insurance: Mathematics and Economics 20, 59-78.pdf
    6. De Vylder, F., Marceau, E. (1996). Numerical solution of the Schmitter problems: theory. Insurance: Mathematics and Economics 20, 1-18. 
    7. De Vylder, F., Marceau, E. (1996). Classical numerical ruin probabilities. Scandinavian Actuarial Journal, 109-123.
    8. De Vylder, F., Marceau, E. (1995). Explicit analytic ruin probabilities for bounded claims. Insurance: Mathematics and Economics 16, 79-105.pdf