Actuarial Pricing Discrimination and Fairness

2025-12-08
Tomorrow, I will give a talk for the “pricing seminar” of a major insurance company. The slides are available online, and it will be on “Actuarial Pricing Discrimination and Fairness“. As always, my talk will explore why actuarial pricing inherently relies on discrimination between groups, and how this raises deep conceptual, legal, and ethical challenges. The objective is to understand both the mathematical foundations of “fairness” and the regulatory tensions that emerge. The starting point is that actuaries generalize from groups to individuals, transforming … …

Quand l’assurance se défait, la crise silencieuse de l’indemnisation

2025-12-07
J’avoue que j’aime ces articles (de presse quotidienne) qui, sans en avoir l’air, racontent beaucoup plus qu’une série d’anecdotes et de parcours de vies individuels. Comme celui qu’a publié le Financial Times le 22 novembre 2025, consacré à la hausse spectaculaire des refus d’indemnisation dans l’assurance habitation au Royaume-Uni. Il raconte des vies bouleversées par des sinistres apparemment banals (un dégât des eaux, un choc électrique, une infiltration) mais surtout il dévoile, presque malgré lui, les tensions profondes de système assurantiel. Avant même d’entrer …

The life of the artist “is a constant–and constantly losing–battle to keep at bay, on one side, the permanent shortfall of physical and mental abilities in the context of the perfection that art strives to be, and, on the other side, the inevitable arrival of silence and death.”

2025-12-07
Here’s musician and music critic Samuel Lipman on the inner life of the artist: This life is a constant–and constantly losing–battle to keep at bay, on one side, the permanent shortfall of physical and mental abilities in the context of … Continue reading → …

ARIMA-Black-Scholes: Semi-Parametric Market price of risk for Risk-Neutral Pricing (code + preprint)

2025-12-07
The post demonstrates a semi-parametric approach using ARIMA models to extract the market price of risk from physical stock price simulations and transform them into risk-neutral paths for option pricing.
Continue reading: ARIMA-Black-Scholes: Semi-Parametric Market …