tel-00703797, version 2 - 7 Jun 2012 Chapitre 1. Sur la nécessité d’un modèle <strong>de</strong> marché Hastie, T. J. and Tibshirani, R. J. (1990), Generalized Additive Mo<strong>de</strong>ls, Chapman and Hall. 67, 76 Hastie, T. J. and Tibshirani, R. J. (1995), ‘Generalized additive mo<strong>de</strong>ls’, to appear in Encyclopedia of Statistical Sciences . 69 Jackman, S. (2011), pscl: Classes and Methods for R Developed in the Political Science Computational Laboratory, Stanford University, Department of Political Science, Stanford University. R package version 1.04.1. 65 Kagraoka, Y. (2005), Mo<strong>de</strong>ling insurance surren<strong>de</strong>rs by the negative binomial mo<strong>de</strong>l. Working Paper 2005. 46 Kelsey, R., An<strong>de</strong>rson, D., Beauchamp, R., Black, S., Bland, R., Klauke, P. and Senator, I. (1998), Workshop - price/<strong>de</strong>mand elasticity, in ‘General Insurance Convention & ASTIN Colloquium’. 46 Kim, C. (2005), ‘Mo<strong>de</strong>ling surren<strong>de</strong>r and lapse rates with economic variables’, North American Actuarial Journal 9(4), 56–70. 46 Loisel, S. and Milhaud, X. (2011), ‘From <strong>de</strong>terministic to stochastic surren<strong>de</strong>r risk mo<strong>de</strong>ls: Impact of correlation crises on economic capital’, European Journal of Operational Research 214(2). 46 McCullagh, P. and Nel<strong>de</strong>r, J. A. (1989), Generalized Linear Mo<strong>de</strong>ls, 2nd edn, Chapman and Hall. 47, 50, 75 McFad<strong>de</strong>n, D. (1981), Econometric Mo<strong>de</strong>ls of Probabilistic Choice, in ‘Structural Analysis of Discrete Data with Econometric Applications’, The MIT Press, chapter 5. 63 Milhaud, X., Maume-Deschamps, V. and Loisel, S. (2011), ‘Surren<strong>de</strong>r triggers in Life Insurance: What main features affect the surren<strong>de</strong>r behavior in a classical economic context?’, Bulletin Français d’Actuariat 22(11). 46 Nel<strong>de</strong>r, J. A. and Wed<strong>de</strong>rburn, R. W. M. (1972), ‘Generalized linear mo<strong>de</strong>ls’, Journal of the Royal Statistical Society 135(3), 370–384. 47 Ohlsson, E. and Johansson, B. (2010), Non-Life Insurance Pricing with Generalized Linear Mo<strong>de</strong>ls, Springer. 47 R Core Team (2012), R: A Language and Environment for Statistical Computing, R Foundation for Statistical Computing, Vienna, Austria. URL: http://www.R-project.org 47 Rabehi, H. (2007), Study of multi-risk household, Master’s thesis, ISUP. Mémoire confi<strong>de</strong>ntiel - AXA France. 46 Rothschild, M. and Stiglitz, J. E. (1976), ‘Equilibrium in competitive insurance markets: An essay on the economics of imperfect information’, The Quarterly Journal of Economics 90(4), 630–649. 62 Sergent, V. (2004), <strong>Etu<strong>de</strong></strong> <strong>de</strong> la sensibilité <strong>de</strong> l’assuré au prix en assurance auto <strong>de</strong> particuliers, Master’s thesis, ISUP. Mémoire confi<strong>de</strong>ntiel - AXA France. 46 88
tel-00703797, version 2 - 7 Jun 2012 BIBLIOGRAPHY Shapiro, A. F. and Jain, L. C. (2003), Intelligent and Other Computational Techniques in Insurance, World Scientific Publishing. 46, 87, 89 Steihaug, T. (2007), Splines and b-splines: an introduction, Technical report, University of Oslo. 78 Su, L. and White, H. (2003), Testing conditional in<strong>de</strong>pen<strong>de</strong>nce via empirical likelihood. UCSD Department of Economics Discussion Paper. 63 Turner, H. (2008), Introduction to generalized linear mo<strong>de</strong>ls, Technical report, Vienna University of Economics and Business. 79 Venables, W. N. and Ripley, B. D. (2002), Mo<strong>de</strong>rn Applied Statistics with S, 4th edn, Springer. 48, 77 Wood, S. N. (2001), ‘mgcv: GAMs and Generalized Ridge Regression for R’, R News 1, 20–25. 69 Wood, S. N. (2003), ‘Thin plate regression splines’, Journal of the Royal Statistical Society: Series B 65(1), 95–114. 78 Wood, S. N. (2008), ‘Fast stable direct fitting and smoothness selection for generalized additive mo<strong>de</strong>ls’, Journal of the Royal Statistical Society: Series B 70(3). 68 Wood, S. N. (2010), ‘Fast stable reml and ml estimation of semiparametric glms’, Journal of the Royal Statistical Society: Series B 73(1), 3–36. 68 Yeo, A. C. and Smith, K. A. (2003), An integretated Data Mining Approach to Premium Pricing for the Automobile Insurance Industry, Vol. 6 of Innovative Intelligence Shapiro and Jain (2003), chapter 5. 46 Zeileis, A., Kleiber, C. and Jackman, S. (2008), ‘Regression mo<strong>de</strong>ls for count data in r’, Journal of Statistical Software 27(8). 64 89
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