Exponential inequalities and functional estimations for weak dependent datas ; applications to dynamical systems

We estimate density and regression functions for weak dependant datas. Using an exponential inequality obtained by Dedecker and Prieur and in a previous article of the author, we control the deviation between the estimator and the function itself. These results are applied to a large class of dynamical systems and lead to estimations of invariant densities and on the mapping itself

Decay of correlations on towers with non-Holder continuous Jacobian and non-exponential return time

We establish upper bounds on the rate of decay of correlations of tower systems with summable variation of the Jacobian and integrable return time. That is, we consider situations in which the Jacobian is not Holder and the return time is only subexponentially decaying. We obtain a subexponential bound on the correlations, which is essentially the slowest of the decays of the variation of the Jacobian and of the return time

Surrender triggers in life insurance: classification and risk predictions

This paper shows that some policy features are crucial to explain the decision of the policyholder to surrender her contract. We point it out by applying two segmentation models to a life insurance portfolio: the Logistic Regression model and the Classification And Regression Trees model. Protection as well as Savings lines of business are impacted, and results clearly explicit that the profit benefit option is highly discrimi- nant. We develop the study with endowment products. First we present the models and discuss their assumptions and limits. Then we test different policy features and policyholder's characteristics to be lapse triggers so as to segment a portfolio in risk classes regarding the surrender choice : duration and profit benefit option are essential. Finally, we explore the main dfferences of both models in terms of operational results.