Les compagnies d'assurance jouent un rôle important dans l'économie des pays en s'impliquant de façon notable dans les marchés boursiers, obligataires et immobiliers, d'où la nécessité de préserver leur solvabilité. Le cycle spécifique de production en assurance amène des défis particuliers aux actuaires et aux gestionnaires de risque dans l'accomplissement de leurs tâches. Dans cette thèse, on a pour but de développer des approches et des algorithmes susceptibles d'aider à résoudre certaines problématiques liées aux opérations de provisionnement et de solvabilité d'une compagnie d'assurance. Les notions préliminaires pour ces contributions sont présentées dans l'introduction de cette thèse. Les modèles de provisionnement traditionnels sont fondés sur des informations agrégées. Ils ont connu un grand succès, comme en témoigne le nombre important d'articles et documents actuariels connexes. Cependant, en raison de la perte d'informations individuelles des sinistres, ces modèles représentent certaines limites pour fournir des estimations robustes et réalistes dans des contextes susceptibles d'évoluer. Dans ce sens, les modèles de réserve individuels représentent une alternative prometteuse. En s'inspirant des récentes recherches, on propose dans le Chapitre 1 un modèle de réserve individuel basé sur un réseau de neurones récurrent. Notre réseau a l'avantage d'être flexible pour plusieurs structures de base de données détaillés des sinistres et capable d'incorporer plusieurs informations statiques et dynamiques. À travers plusieurs études de cas avec des jeux de données simulés et réels, le réseau proposé est plus performant que le modèle agrégé chain-ladder. La détermination des exigences de capital pour un portefeuille repose sur une bonne connaissance des distributions marginales ainsi que les structures de dépendance liants les risques individuels. Dans les Chapitres 2 et 3 on s'intéresse à la modélisation de la dépendance et à l'estimation des mesures de risque. Le Chapitre 2 présente une analyse tenant compte des structures de dépendance extrême. Pour un portefeuille à deux risques, on considère en particulier à la dépendance négative extrême (antimonotonocité) qui a été moins étudiée dans la littérature contrairement à la dépendance positive extrême (comonotonocité). On développe des expressions explicites pour des mesures de risque de la somme d'une paire de variables antimontones pour trois familles de distributions. Les expressions explicites obtenues sont très utiles notamment pour quantifier le bénéfice de diversification pour des risques antimonotones. Face à une problématique avec plusieurs lignes d'affaires, plusieurs chercheurs et praticiens se sont intéressés à la modélisation en ayant recours à la théorie des copules au cours de la dernière décennie. Cette dernière fournit un outil flexible pour modéliser la structure de dépendance entre les variables aléatoires qui peuvent représenter, par exemple, des coûts de sinistres pour des contrats d'assurance. En s'inspirant des récentes recherches, dans le Chapitre 3, on définit une nouvelle famille de copules hiérarchiques. L'approche de construction proposée est basée sur une loi mélange exponentielle multivariée dont le vecteur commun est obtenu par une convolution descendante de variables aléatoires indépendantes. En se basant sur les mesures de corrélation des rangs, on propose un algorithme de détermination de la structure, tandis que l'estimation des paramètres est basée sur une vraisemblance composite. La flexibilité et l'utilité de cette famille de copules est démontrée à travers deux études de cas réelles. / Insurance companies play an essential role in the countries economy by monopolizing a large part of the stock, bond, and estate markets, which implies the necessity to preserve their solvency and sustainability. However, the particular production cycle of the insurance industry may involve typical problems for actuaries and risk managers. This thesis project aims to develop approaches and algorithms that can help solve some of the reserving and solvency operations problems. The preliminary concepts for these contributions are presented in the introduction of this thesis. In current reserving practice, we use deterministic and stochastic aggregate methods. These traditional models based on aggregate information have been very successful, as evidenced by many related actuarial articles. However, due to the loss of individual claims information, these models represent some limitations in providing robust and realistic estimates, especially in variable settings. In this context, individual reserve models represent a promising alternative. Based on the recent researches, in Chapter 1, we propose an individual reserve model based on a recurrent neural network. Our network has the advantage of being flexible for several detailed claims datasets structures and incorporating several static and dynamic information. Furthermore, the proposed network outperforms the chain-ladder aggregate model through several case studies with simulated and real datasets. Determining the capital requirements for a portfolio relies on a good knowledge of the marginal distributions and the dependency structures linking the individual risks. In Chapters 2 and 3, we focus on the dependence modeling component as well as on risk measures. Chapter 2 presents an analysis taking into account extreme dependence structures. For a two-risk portfolio, we are particularly interested in extreme negative dependence (antimonotonicity), which has been less studied in the literature than extreme positive dependence (comonotonicity). We develop explicit expressions for risk measures of the sum of a pair of antimonotonic variables for three families of distributions. The explicit expressions obtained are very useful, e.g., to quantify the diversification benefit for antimonotonic risks. For a problem with several lines of business, over the last decade, several researchers and practitioners have been interested in modeling using copula theory. The latter provides a flexible tool for modeling the dependence structure between random variables that may represent, for example, claims costs for insurance contracts. Inspired by some recent researches, in Chapter 3, we define a new family of hierarchical copulas. The proposed construction approach is based on a multivariate exponential mixture distribution whose common vector is obtained by a top-down convolution of independent random variables. A structure determination algorithm is proposed based on rank correlation measures, while the parameter estimation is based on a composite likelihood. The flexibility and usefulness of this family of copulas are demonstrated through two real case studies.

Les coûts de revient des alliages de titane limitent leurs applications à des domaines de forte valeur ajoutée. La diminution des coûts de mise en forme des pièces tout en maitrisant les microstructures et les propriétés mécaniques est donc un enjeu important. Les procédés de mise en forme issus de la métallurgie des poudres comme le Spark Plasma Sintering (SPS) peuvent permettre d'atteindre ces objectifs. Les premiers instants du frittage ont été étudiés selon la compacité initiale du corps granulaire. Lorsque cette dernière est faible, les surfaces des cous entre les granules, mises en évidences par microtomographie, sont plus importantes. Ces observations peuvent être expliquées par le fait que les densités de courant au niveau des points de contacts sont plus importantes quand les surfaces de contacts sont plus faibles. De plus, les densités finales très proches malgré les compacités initiales différentes laissent penser que les mécanismes de frittage en action sont différents. Une modélisation Electro-Thermique et Mécanique par éléments finis a permis de décrire de façon très réaliste la densification du TA6V. La loi de densification du matériau a été paramétrée par le biais de campagnes d'essais en fluage menés dans le SPS ainsi que d'essais de compaction du corps granulaire. Des voies d'amélioration du modèle ont également été proposées. Dans la dernière partie de l'ouvrage, un panel des microstructures obtenues par frittage SPS du TA6V ainsi qu'un transfert d'échelle des échantillons modèles cylindriques de petites tailles vers des formes plus complexes et massives ont été étudiés. De plus, les propriétés mécaniques en traction sur pièces près des cotes ont été caractérisées. Les domaines (température et pressions) d'obtention de microstructures denses, homogènes et répétables ont été identifiés. Le transfert d'échelle révèle que la répétabilité du SPS est validée tant en termes de microstructures que de propriétés mécaniques des pièces densifiées. De plus, les propriétés en traction sont au niveau des matériaux forgés, notamment avec des allongements à rupture de près de 13%. / The cost prices of the titanium alloys limit their applications to strong added value fields. The decrease of the pieces shaping costs while mastering microstructures and mechanical properties is an important issue. Shaping processes from powder metallurgy as Spark Plasma Sintering (SPS) can allow to reach these goals. The first moments of the sintering were studied according to the initial compactness of the granular body. When the latter is low, the area of necks between granules, highlighted by microtomography, are bigger. These observations can be explained by the fact that current densities at contact points are higher when the contact areas are lower. Furthermore, the very close final densities in spite of the different initial compactness let think that the mechanisms in action during sintering are different. An electro-thermal and mechanical modelling by finished element allowed to describe in a very realistic way the densification of the TA6V. The densification law of the material was configured by means of creep tests programmes performed dine the SPS chamber as well as of compaction tests of the granular body. Ways of improvement of the model were also proposed. In the last part of the word, a panel of microstructures obtained by SPS of TA6V as well as a scale transfer from the small cylindrical samples towards more massive and complex shapes was studied. Furthermore, the tensile properties of near-net-shape specimens were characterised. Domains (temperature and pressure) of dense, homogeneous and repeatable microstructures obtaining were identified. The scale transfer reveals that the SPS repeatability is both validated in terms of microstructures and mechanical properties of the densified specimens. Furthermore, tensile properties are at the same level as the forged materials, in particular an elongation at break of about 13%.

Submitted by Izabel Franco (izabel-franco@ufscar.br) on 2016-09-19T14:45:03Z No. of bitstreams: 1 TesePASV.pdf: 1940745 bytes, checksum: b230555594cd2f40916188740d8317f7 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-20T14:00:44Z (GMT) No. of bitstreams: 1 TesePASV.pdf: 1940745 bytes, checksum: b230555594cd2f40916188740d8317f7 (MD5) / Approved for entry into archive by Marina Freitas (marinapf@ufscar.br) on 2016-09-20T14:01:04Z (GMT) No. of bitstreams: 1 TesePASV.pdf: 1940745 bytes, checksum: b230555594cd2f40916188740d8317f7 (MD5) / Made available in DSpace on 2016-09-20T14:01:14Z (GMT). No. of bitstreams: 1 TesePASV.pdf: 1940745 bytes, checksum: b230555594cd2f40916188740d8317f7 (MD5) Previous issue date: 2012-03-01 / Fundação de Amparo à Pesquisa do Estado de Mato Grosso (FAPEMAT) / This text aims to discuss the current policies concerning affirmative actions, especially the racial cotes, which in 2002 were implemented in Brazilian universities, above all in the public ones. After nearly one decade that the country has more than hundreds of institutions that have adopted these policies (with different emphasis and models), the controversy is not ended. The main controversy arises especially when these affirmative actions focus on aspects related to race in the models implemented in these educational institutions. This thesis is divided in three chapters. We have tried to develop a theoretical line approaching the current debate, which has been attempting to influence people and social groups, as well as politicians, either in favor or against the policies. The chapters are about relevant topics for this research: the construction of the nation and how science and social theories were important to create a society based on social hierarchy related to race. There is also a discussion about the reception of the racial cotes in a public university that applies racial criteria to select students for the graduation courses. Thus, the chapters try to understand how the process of racialization happened in Brazil and how this process was responsible for the creation of inflexible positions in terms of social status. This society is the same which is now discussing questions and themes that tend to appear against that stiff hierarchy. Therefore it is apparently clear that a paradox has been recently placed. The affirmative action‟s policies have always been supported, or at least not firmly criticized. On the other hand, when the same structure of the affirmative action‟s policies is used in favor of black people, it raises negative and opposite reactions. Making an effort to understand this reaction, we, first of all, have the hypothesis that the affirmative action‟s policies, mainly the racial cotes, allow us to establish at least two levels of comprehension: firstly, the emphasis in the process seeking equality; secondly, the proposal of a reflection about the difference – including the ethnic and racial ones. These two last have been one of the central elements of social inequality. Hence, our research challenges to show that the contemporary policies of affirmative action, mostly the racial cotes, cause a tension on the Brazilian social thought spotting other possibilities of interpretation for this society. Consequently, giving conceptual, theoretical and political strengths to the sociological category of race, it has allowed a new understanding for the social phenomenon in the country and a broader comprehension of what are the true elements involved whenever the racial cotes become one of the greatest symbols not only the public symbols not only the public higher education, but also the racial relation in Brazil in our time. / Este texto procura debater o tema das políticas contemporâneas de ação afirmativa destacando as cotas para negros implementadas em universidades brasileiras, sobretudo públicas, a partir de 2002. Após quase uma década e de o país contar com aproximadamente mais de uma centena de instituições que adotam políticas de ação afirmativa com diferentes recortes, ênfases e modelos a polêmica ainda se faz presente, particularmente quando estas políticas de ação afirmativa enfatizam aspectos e contornos étnicos e raciais nos modelos implementados nestas instituições de ensino superior. Esta pesquisa se estrutura em três capítulos que, embora possam ser lidos de maneira independente, foram construídos visando estabelecer um percurso teórico que tende a extrapolar certo viés presente no interior do debate que posiciona indivíduos e grupos sociais e políticos de maneira favorável ou contrária às políticas contemporâneas de ação afirmativa. Os capítulos se debruçam sobre alguns temas que se mostraram relevantes para a pesquisa: o tema da construção da nação e como ciência e teoria sociais foram importantes para a elaboração de uma arquitetura social baseada no erguimento de hierarquias sociais sustentadas por pertenças étnicas e raciais; sobre o debate mais recente e a recepção das cotas para negros nas universidades públicas; e sobre os impactos e as mudanças que já podem ser verificadas no interior de uma universidade que utiliza critérios raciais para o ingresso em seus cursos de graduação. Deste ponto de vista, os capítulos buscam compreender como se constituiu o processo de racialização da sociedade brasileira que impingiu à população negra rígidas posições na estrutura social desta mesma sociedade e que neste momento são tensionados pelas questões e temas que tendem a se insurgir contrariamente àquelas rígidas hierarquias construídas. Ao posicionar o debate sob este ângulo analítico chama a atenção um aparente paradoxo que se apresenta nos tempos atuais. Por um lado, as políticas de ação afirmativa em geral sempre contaram se não com irrestrito apoio, com um ambiente marcado pela ausência de críticas contundentes. Por outro, quando os mesmos mecanismos das políticas de ação afirmativa são acionados em prol dos povos indígenas e, sobretudo, da população negra surgem reações contrárias. Buscando compreender os fenômenos sociais que se manifestavam nessas reações, partiu-se da hipótese de trabalho que as políticas de ação afirmativa em sua dimensão mais polêmica, as cotas para negros, permitem estabelecer pelo menos dois níveis de compreensão. Em primeiro lugar, o que enfoca o processo de busca de igualdade. Em segundo lugar, o que propõe uma reflexão acerca da diferença, inclusive a étnica e a racial, que na hipótese levantada na pesquisa, tem sido um dos elementos centrais de estruturação da desigualdade social. Neste sentido, a pesquisa tende a demonstrar que as políticas contemporâneas de ação afirmativa, na modalidade cotas para negros, tencionam algumas matrizes interpretativas do pensamento social brasileiro apontando para possibilidades da superação de tais matrizes e a constituição de novas possibilidades de interpretação da sociedade brasileira. Portanto, atribuir densidade conceitual, teórica e política à categoria sociológica raça tem permitido a proposição de novas matrizes interpretativas dos fenômenos sociais da sociedade brasileira e, assim, possibilitado compreender de maneira mais ampliada quais são as várias facetas e o que está em jogo no momento em que as cotas para negros se tornam um dos maiores emblemas da educação pública de nível superior no Brasil contemporâneo.

Depuis la crise financière, la modélisation financière et la gestion des risques ont pris une place particulière dans les domaines de la finance et assurance. Cette thèse rentre dans ce cadre et aborde plus spécifiquement trois problématiques en lien avec la modélisation financière, l'évaluation et la couverture des risques. Les trois problématiques se déclinent en trois articles comme suit : "Optimal choice between CAT bond and debt to cover the risks of natural disasters". Ce document de recherche analyse le choix entre la dette non contingente et l'obligation catastrophe pour couvrir le risque de tremblements de terre. Un modèle dynamique d'optimisation stochastique avec frictions a été développé et montre sous quelles conditions il peut être avantageux pour un gouvernement d'émettre une obligation catastrophe plutôt qu'une obligation standard non contingente. "Écart de taux des obligations catastrophes, liquidité et taux d'intérêt " vise à analyser les déterminants de la liquidité des écarts de taux des obligations catastrophes en prenant en compte l'impact des taux d'intérêt. Ce projet permet d'analyser l'impact prépondérant du taux d'intérêt sur les écarts de taux des obligations catastrophes dans le contexte de taux d'intérêt durablement bas observé ces dernières années. "Pricing dynamics and solvency in insurance : capital allocation, surplus and insurance cycle". Cet article propose un modèle de tarification stochastique à plusieurs périodes basé sur la valeur des options de défaut, et qui prend en compte le cycle d'assurance afin d'examiner les interactions entre les prix, l'allocation optimale de capital et la solvabilité d'un assureur multirisque. / Since the financial crisis, financial modeling and risk management have taken on a special role in the fields of finance and insurance. This thesis is part of this context and addresses three specific issues related to financial modeling, risk assessment and risk coverage. The three issues are divided into three articles as follows: "Optimal choice between cat bond and debt to cover the risks of natural disasters ". This research paper analyzes the choice between non-contingent debt and catastrophe bonds to cover the risk of earthquakes. A dynamic stochastic optimization model with frictions has been developed and shows under which conditions it can be advantageous for a government to issue a catastrophe bond rather than a standard non-contingent bond. " Cat bond spreads, liquidity and interest rates" aims to analyze the determinants of liquidity and CAT bond spreads by taking into account the impact of interest rates. This project allows us to analyze the preponderant impact of interest rates on CAT bond spreads in the context of persistently low interest rates observed in recent years. "Pricing dynamics and solvency in insurance: capital allocation, surplus and insurance cycle". This paper proposes a multi-period stochastic pricing model based on the value of default options, and takes into account the insurance cycle, in order to examine the interactions among pricing, optimal capital allocation and solvency of a PC insurer.

Made available in DSpace on 2016-04-29T13:31:03Z (GMT). No. of bitstreams: 1 Naiara Roberta Vicente de Matos.pdf: 616830 bytes, checksum: b2525eb877dec6b9920f61fea3acfd42 (MD5) Previous issue date: 2013-06-14 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This research aims to analyze, based on the Social Historical Psychology, the subjective dimension of the dialectic process concern on inclusion/exclusion at work (with and without support) from people with intellectual deficiency as a way to reflect about professional education and supported work proposal. It is about to locate how the people with deficiency are situated historically, trying to understand which are the mediations and comprehend how is subjective lived the Cotes Law in the life of those people, and how this law work to orient the formation practices and job preparation that are offer to them. To do that, we will use the concepts of ethical-politic suffering, sense and meaning, social stigma, identity and preconception to analyze the living of looking for a job, and to became a worker with proper job preparation according to the conditions offers in the Cote, having as a background the social-historical condition unfavorable to inclusion to those people and the preparation project to the work that is given to them. The investigation method is based on Vygotsky s work that consider action, work and affect as in dissociable units of subjectivity, with the support of Spinoza philosophy and Marx s theory of society. The results pointed out a lag between juridical and social recognize, through the absence of social stigma, by preconception, by identity models presupposed, abandon and loneness, social conditions lived with sad felling, such as fear, humiliation, angry compromising the action potency of those people. The sense of work is ambiguous: it is only way to get self-esteem and recognition, (moreover than acquire deeds), however it is also fountain of sad passions, especially the constant fear of making a mistake, which will cost their job. It clams for work preparation and affective support, which those people encounter in their labor professor that accomplish them for a while, and to whom they send letters, expressing their feelings and needs. It is pointed out the importance of ―supported employment‖, where the professional act as a mediator to the effective of cotes law, at the development of abilities and as a affective reference / Esta pesquisa visa analisar na perspectiva da psicologia sócio-histórica a dimensão subjetiva do processo dialético de inclusão/exclusão no trabalho (com e sem apoio) das pessoas com deficiência intelectual para refletir sobre a educação profissional e a proposta de Emprego Apoiado. Trata-se de situar historicamente as pessoas com deficiência, buscando entender quais são as mediações presentes e compreendermos como é vivida subjetivamente a Lei de Cotas na vida dessas pessoas para orientar as práticas de formação e preparação ao trabalho que lhes são oferecidas. Para tanto, recorre aos conceitos de sofrimento ético-político, sentido e significado, estima social, identidade e preconceito para analisar a vivencia da busca por um trabalho, e de se tornar trabalhador nas condições de trabalho oferecidas pela Cota, tendo como pano de fundo a condição sócio-histórica desfavorável à inclusão oferecidas a esses sujeitos e os projetos de preparação para o trabalho que lhes são oferecidos. O método de investigação utilizado está embasado na concepção vygotskiana que considera ação, trabalho e afeto como unidades indissociáveis da subjetividade, amparada na filosofia de Espinosa e na teoria marxista de sociedade. Os resultados obtidos atestam a defasagem entre reconhecimento jurídico e social, pela ausência de estima social, pelo preconceito, pelos modelos de identidade pressupostas, desamparo e solidão a que são relegados, condição social vivida como sentimentos tristes de medo, humilhação, raiva comprometendo a potência de ação desses sujeitos O sentido de trabalho é ambíguo: ele é a única possibilidade de estima e reconhecimento, mais do que a possibilidade de adquirir bens, mas é também fonte de paixões tristes, especialmente o medo constante de errar e, assim perder o emprego. Clamam por preparação ao trabalho e apoio afetivo que eles encontraram no preparador laboral que os acompanhou por um tempo, ao qual enviaram cartas expressando seus sentimentos e necessidades. Ressalta-se a importância do ―Emprego Apoiado‖, onde o profissional desempenha o papel de mediador do cumprimento efetivo da lei de cotas, no plano de desenvolvimento de habilidades e da referência afetiva

L’objectif des essais de phase I en oncologie est d’identifier la dose maximale tolérée (DMT). Le schéma « 3+3 » nécessite d’interrompre les inclusions en attendant l’évaluation d’une cohorte de trois patients pour définir la dose à attribuer aux patients suivants. Les investigateurs d’oncologie pédiatrique ont proposé l’adaptation Rolling 6 pour éviter cette suspension temporaire des inclusions. Dans une étude de simulation, nous avons montré qu’un schéma adaptatif avec attribution des doses basées sur un modèle statistique permettait de pallier ce problème, et identifiait plus fréquemment la DMT. Néanmoins ces trois schémas restent limités pour identifier la DMT, notamment du fait que le critère de jugement est un critère binaire, la survenue de toxicité dose-limitante sur un cycle de traitement. Nous avons proposé un nouveau schéma adaptatif utilisant les données ordinales répétées de toxicité sur l’ensemble des cycles de traitement. La dose à identifier est celle associée au taux de toxicité grave maximal par cycle que l’on juge tolérable. Le grade maximal de toxicité par cycle de traitement, en 3 catégories (grave / modéré / nul), a été modélisé par le modèle mixte à cotes proportionnelles. Le modèle est performant à la fois pour détecter un effet cumulé dans le temps et améliore l’identification de la dose cible, sans risque majoré de toxicité, et sans rallonger la durée des essais. Nous avons aussi étudié l’intérêt de ce modèle ordinal par rapport à un modèle logistique mixte plus parcimonieux. Ces modèles pour données longitudinales devraient être plus souvent utilisés pour l’analyse des essais de phase I étant donné leur pertinence et la faisabilité de leur implémentation. / Phase I dose-finding trials aim at identifying the maximum tolerated dose (MTD). The “3+3” design requires an interruption of enrolment while the evaluation of the previous three patients is pending. In pediatric oncology, investigators proposed the Rolling 6 design to allow for a more continuous enrollment. In a simulation study, we showed that an adaptive dose-finding design, with dose allocation guided by a statistical model not only minimizes accrual suspension as with the rolling 6, and but also led to identify more frequently the MTD. However, the performance of these designs in terms of correct identification of the MTD is limited by the binomial variability of the main outcome: the occurrence of dose-limiting toxicity over the first cycle of treatment. We have then proposed a new adaptive design using repeated ordinal data of toxicities experienced during all the cycles of treatment. We aim at identifying the dose associated with a specified tolerable probability of severe toxicity per cycle. The outcome was expressed as the worst toxicity experienced, in three categories (severe / moderate / no toxicity), repeated at each treatment cycle. It was modeled through a proportional odds mixed model. This model enables to seek for cumulated toxicity with time, and to increase the ability to identify the targeted dose, with no increased risk of toxicity, and without delaying study completion. We also compared this ordinal model to a more parsimonious logistic mixed model.Because of their applicability and efficiency, those models for longitudinal data should be more often used in phase I dose-finding trials.