TUESDAY APRIL 28TH, 2020

WEDNESDAY APRIL 29TH, 2020

Caroline HILLAIRET - Ramsey rule withe progressive utility in long term yield curves modeling

The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial. Thus, after recalling some important properties on progressive utility, this paper first provides an extension of the notion of a consistent progressive utility to a consistent pair of progressive utilities of investment and consumption. An optimality condition is that the utility from the wealth satisfies a second order SPDE of HJB type involving the Fenchel-Legendre transform of the utility from consumption. This SPDE is solved in order to give a full characterization of this class of consistent progressive pair of utilities. An application of this results is to revisit the classical backward optimization problem in the light of progressive utility theory, emphasizing intertemporal-consistency issue. Then we study the dynamics of the marginal utility yield curve, and give example with backward and progressive power utilities.

Beatrice ACCIAIO - Learning dynamic generative models via causal optimal transport

José BLANCHET - Building a platform to help in some economic problems derived from covid 19

Jaye Kyung WOO - Optimal relativities in a modified bonus-malus system with long memory transition rules

In the classical Bonus-Malus System (BMS) in automobile insurance, the premium for the next year is adjusted according to the policyholder’s claim history (particularly frequency) in the previous year. Some variations of the classical BMS have been considered by taking more of the driver’s claim experience into account to better assess an individual’s risk. Nevertheless, we note that in practice it is common for a BMS to adopt transition rules according to the claim history for the past multiple years in countries such as Belgium, Italy, Korea, and Singapore. In this talk, we revisit a modified BMS which was briefly introduced in Lemaire (1995) and Pitrebois et al. (2003a). Specifically, such a BMS extends the number of Bonus-Malus (BM) levels due to an additional component in the transition rules representing the number of consecutive