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Faculté des sciences et de génie
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Hélène Cossette

Professeure titulaire

Champs d'intérêts

  • Théorie du risque
  • Théorie de la ruine
  • Modélisation de la dépendance en actuariat
  • Théorie de la crédibilité
  • Modélisation des risques catastrophiques en actuariat
  • Projection de la mortalité
Hélène Cossette, professeure à l'École d'actuariat

ACT-1002 Analyse probabiliste des risques actuariels
ACT-2009 Processus stochastiques
ACT-7011 Mathématiques actuarielles IARD
ACT-7017 Modélisation et évaluation quantitative des risques en actuariat

  • Théorie du risque
  • Théorie de la ruine
  • Modélisation de la dépendance en actuariat
  • Théorie de la crédibilité
  • Modélisation des risques catastrophiques en actuariat
  • Projection de la mortalité

  • Cossette, H., Gadoury, S-P., Marceau E. et Robert, C. (2018). "Composite Likelihood Estimation Method for Hierarchical Archimedean Copulas Defineed with Multivariate Compound Distributions", Journal of Multivariate analysis, 
  • Cossette, H., Marceau, E., Mtalai, I. et Veilleux, D. (2018). "A note on the Univariate and Multivariate Mixed Exponential Distributions", ASTIN Bulletin
  • Cossette, H., Marceau, E. et Mtalai, I. (2018). "Collective Risk Models with Hierarchical Archimedean Copulas", Insurance: Mathematics and Economics
  • Cossette, H., Marceau, E., Mtalai, I. et Veilleux, D. (2018). "Archimedean Copulas and Aggregation Methods", Insurance: Mathematics and Economics, 78, 53-71.
  • Cossette, H., Marceau, E., Nguyen, Q.H. et Robert, C. (2018). "Tail approximations for sums of dependent regularly varying variables under Archimedean copula models", Methodology and Computing in Applied Probability, 21 (2), 461-490. Available Online.
  • Cossette, H., Gadoury, S-P., Marceau, E. et Mtalai, I. (2017). "Hierarchical Archimedean copulas through multivariate compound distributions", Insurance: Mathematics and Economics, 76, 1-13.
  • Cossette, H., Marceau, E., Mtalai, I. et Veilleux, D. (2017). "Dependent risk Models with Archimedean Copulas: A Computational Strategy Based on Common Mixtures and Applications", Insurance: Mathematics and Economics, 
  • Abdallah, A., Boucher, J-P., Cossette, H. et Trufin, J. (2016). "Sarmanov family of bivariate distribution for multivariate loss reserving analysis", North American Actuarial Journal
  • Abdallah, A., Boucher, J-P. et Cossette, H. (2016). "Sarmanov family of multivariate distributions for bivariate dynamic claim counts model", Insurance: Mathematics and Economics
  • Cossette, H., Landriault, D., Marceau, E. et Moutanabbir, K. (2016). "Moment-Based approximation with Finite Mixed Erlang Distributions", Variance
  • Cossette, H., Gaillardetz, P., Marceau, E. et Moutanabbir, K. (2016). "A Stochastic International Investment Model and Risk Allocation"
  • Abdallah, A., Boucher, J-P. et Cossette, H. (2015). "Modeling Dependence between Loss Triangle with hierarchical Archimedean copulas", ASTIN Bulletin 
  • Cossette, H., Larrivée-Hardy, E., Marceau, E. et Trufin, J. (2015) "A note on compound renewal risk models with dependence", Journal of Computational and Applied Mathematics, 
  • Cossette, H., Marceau, E. et Perreault, S. (2015). "On two families of bivariate exponential distributions: aggregation and capital allocation", Insurance: Mathematics and Economics, 64, 214-224.
  • Cossette, H., Mailhot, M., Marceau, E. et Mesfioui, M. (2015). "Vector-valued Tail Value-at-Risk and Capital Allocation", Methodology and Computing in Applied Probability, 18 (3), 653-674. Available online.
  • Cossette, H., Côté, M-P., Mailhot, M. et Marceau, E. (2014). "A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks", Journal of Multivariate Analysis, 130, 1–20.
  • Boudreault, M., Cossette, H. et Marceau, E. (2014). "An actuarial model of hurricane risk applied to Florida data", Insurance: Mathhematics and Economics 54, 123-134.
  • Cossette, H., Marceau, E. et Marri, F. (2014). "On a coumpound Poisson risk model with dependence and in the presence of a constant dividend barrier", Applied Stochastic Models in Business and Industry 30, 82-98.
  • Cossette, H., Larrivée-Hardy, E., Marceau, E., Truffin, J. (2013). "Infinite-time ruin measures for compound renewal risk models with dependence",
  • Boudreault, M., Cossette, H. et Marceau, E. (2013). "An actuarial approach to modeling natural catastroph risk applied to Canadian earthquake risk", Insurance: Mathematics and Economics
  • Cossette, H., Mailhot, M., Marceau, E. et Mesfioui, M. (2013). "Bivariate lower and upper orthant Value-at-Risk", European Actuarial Journal 3, 321-357.
  • Cossette, H., Côté, M-P., Marceau, E. et Moutanabbir, K. (2013). "Risk measures and capital allocation using the Farlie-Gumbel-Morgenstern Copula", Insurance: Mathematics and Economics 52, 560-573.
  • Cossette, H. et Marceau, E. (2013). "Dynamic risk measures within discrete-timerisk models and stochastic orders". In: "SORR2011 Stochastic Orders in Reliability and Risk Management. In Honor of Professor Moshe Shaked" (Editors: Haijun Li, Xiaohu Li). Lecture Notes in Statistics, Springer Verlaag.
  • Cossette, H., Landriault, D., Marceau, E. et Moutanabbir, K. (2012). "Analysis of the discounted sum of ascending ladder heights", Insurance : Mathematics and Economics 41, 393-401,
  • Cossette, H., Mailhot, M. et Marceau, E. (2012). "T-Var based capital allocation for multivariate compound distributions", Insurance : Mathematics and Economics 50 (2), 247-256,
  • Cossette, H., Gaillardetz, P., Marceau, R. et Moutanabbir, K. (2012). "A stochastic international investment model and risk allocation", Scandinavian Actuarial Journal, 
  • Cossettte, H., Maume-Deschamps, V. et Marceau, E. (2011). "Adjustement coefficient for risk processes in some dependent contexts", Methodology and Computing in Applied Probability, 13 (4), 695-721,
  • Cossette, H., Marceau, E. et Marri, R. (2011). "Constant dividend barrier in a risk model with a generalized Farlie-Gumber-Morgenstern copula", Methodology and Computing in Applied Probability, 13 (3), 487-510,
  • Cossette, H., Marceau, E. et Toureille, F. (2011). "Risk models based on time series for count random variables", Insurance : Mathematics and Economics 48 (1), 19-28,
  • Boudreault, M., Cossette, H. et Marceau, E. (2010). "An actuarial model of hurricane risk applied to Florida data", Insurance : Mathematics and Economics,
  • Cossette, H., Marceau, E. et Marri, F. (2010). "Analysis of ruin measures for the classical compound Poisson risk model with dependance", Scandinavian Actuarial Journal (3), 221-245,
  • Cossette, H., Maume-Deschamps, V. et E. Marceau (2010). "Discrete-time risk models based on time series for count random variables", ASTIN Bulletin 40 (1), 123-150,
  • Bargès, M., Cossette, H., Loisel, S. et E. Marceau (2010). "On the moments of the aggregate discounted claims with dependance introduced by a FGM copula", ASTIN Bulletin (41) (1), 215-238,
  • Bargès, M., Cossette, H. et E. Marceau (2009). "TVaR-based capital allocation with copulas", Insurance : Mathematics and Economics 45, 348-361,
  • Cossette, H., Marceau, E. and F. Marri (2008). "On the compound Poisson risk model with dependance based on a generalized Farlie-Gumbel-Morgenstern copula", Insurance : Mathematics and Economics 43, 444-455,
  • Cossette, H., Delwarde, A., Denuit, M., Guillot, F., et E. Marceau (2007). "Pension plan valuation and dynamic mortality tables", North American Actuarial Journal 11 (2), 1-34
  • Boudreault, M., Cossette, H., Landriault, D. et E. Marceau (2006). "On a risk model with dependance between interclaim arrivals and claim amounts", Scandinavian Actuarial Journal, 5, 265-285,
  • Boudreault M., Cossette, H., Landriault, D. and E. Marceau (2006). "Ruin probabilities in the discrete- time renewal risk model", Scandinavian Actuarial Journal, 5, 265-285
  • Cossette, H., Landriault, D. et E. Marceau (2006). "Ruin probabilities in the discrete-time renewal risk model", Insurance: Mathematics and Economics 38, 309-323,
  • Cossette, H., Landriault, D. and E. Marceau (2004). "Compound binomial risk model in a Markovian environment", Insurance: Mathematics and Economics 35, 425-443,
  • Cossette, H., Landriault, D. et E. Marceau (2004). "Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model", Insurance: Mathematics and Economics 34, 449-466,
  • Cossette, H., Landriault, D. and E. Marceau (2004). "Risk measures related to the surplus process in the compound Markov binomial model", Bulletin de l'association suisse des actuaires, 77-114,
  • Cossette, H. et A. Luong (2003). "Generalized least squares estimators for credibility regression models with Moving Average errors", Insurance: Mathematics and Economics 32, 281-293,
  • Cossette, H., Duchesne, T. et E. Marceau (2003). "Modelling catastrophes and their impact on insurance portfolios", North American Actuarial Journal 7 (4), 1-22,
  • Cossette, H., Landriault, D. and E. Marceau (2003). "Ruin probabilities in the compound Markov binomial model", Scandinavian Actuarial Journal, 301-323,
  • Cossette, H., Gaillardetz, P. and E. Marceau (2002). "Common mixtures in the individual risk model", Bulletin de l'association suisse des actuaires, 131-157,
  • Cossette, H., Denuit, M. et E. Marceau (2002). "Distributional bounds for functions of dependent risks", Bulletin de l'association suisse des actuaires, 45-65,
  • Cossette, H., Gaillardetz, P., Marceau, E. et J. Rioux (2002). "On two dependent individual risk models", Insurance: Mathematics and Economics 30, 153-166,
  • Cossette, H., Denuit, M., Dhaene, J. et E. Marceau (2001). "Stochastic approximations of present value functions", Bulletin de l'association suisse des actuaires, 15-28,
  • Cossette, H., et E. Marceau (2000). "The discrete-time risk model with correlated classes of business", Insurance: Mathematics and Economics 26, 133-149,
  • Cossette, H., Denuit, M. et E. Marceau (2000). "The impact of dependence among multiple claims in a single loss", Insurance: Mathematics and Economics 26, 213-222,
  • De Vylder, F., Goovaerts, M. and H. Cossette (1995). "Classical regression model under zero-excess assumptions", Journal of Computational Mathematics and Statistics 64, 189-196
  • De Vylder, F. and H. Cossette (1994). "Dependent contracts in Bühlmann's credibility model", Bulletin de l'Association Suisse des Actuaires, Heft 2, 127-142

  • Recherche et études graduées (mars 2018)
    5e Congrès africain des actuaires, Casablanca, Maroc
  • Modeling dependence between loss triangle with Hierarchical Archimedean copulas (Novembre 2016)
    CAS Annual Meeting, Orlando, États-Unis
  • Exchangeable and nested Archimedean copulas: risk aggregation (Octobre 2016)
    International Conference on Statistical Distributions and Applications, Niagara Falls, Canada
  • Finite Mixed Erlang Distribution: Moment-Based Approximation And Loss Modeling With Actuarial Applications (Août 2014)
    Joint Statistical Meeting, Boston, États-Unis
  • Finite Mixed Erlang Distribution: Moment-Based Approximation And Loss Modeling With Actuarial Applications (Juillet 2014)
    49th Actuarial Research Conference, University of Santa Barbara, California, États-Unis
  • Étude de la dépendance en théorie de la crédibilité (Mars 2003)
    Séminaire de Statistique du département de Mathématiques et Statistiques de l'Université Laval, Québec, Canada
  • Modèles de régression de crédibilité avec erreurs de type MA (Mars 2000)
    Séminaire ISFA Lyon-HEC Lausanne, Lausanne, Suisse
  • Classical and renewal models with time dependent claim amounts (mai 2005)
    CORS/SCRO 2005, Halifax, Canada
  • Modèles de risque avec montants de sinisres dépendants dans le temps (Juin 2005)
    XXXVII ièmes Journées de Statistique, Pau, France
  • Ruin related quantities in a model with time dependent claims (juillet 2005)
    International congress on Insurance: Mathematics and Economics, Québec, Canada
  • Generalized least squares estimators for credibility regression models with moving average errors (juillet 2000)
    International Congress on Insurance: Mathematics and Economics, Barcelone, Espagne
  • Ruin measures in a risk model with time dependent claim amounts (août 2005)
    Actuarial Research Conference, Mexico, Mexique
  • Discrete-time risk models based on time series for count random variables (26 au 30 avril 2010)
    Spatio-temporal risk modeling, CIRM, Luminy, France
  • Discrete-time risk models based on times series for count random variables (23 au 26 mai 2010)
    Société Statistique du Canada, Québec
  • Discrete-time risk models based on time series for count random variables (17 au 19 juin 2010)
    14th International Congress on Insurance: Mathematics and Economics, University of Toronto, Toronto, Canada
  • Ruin related quantities in a risk model based on time series for count data (16 au 20 août 2010)
    Actuarial Research Conference, Vancouver, Canada

  • Ph. D. Université catholique de Louvain, Belgique (1996)
  • M. Sc. Mathématiques, Université Laval (1993)
  • B.Sc. Actuariat, Université Laval (1992)