Mathieu Boudreault : Publications : GERAD

Group for Research in Decision Analysis

Jan 2021

Do jumps matter in the long term? A tale of two horizons

Jean-François Bégin and Mathieu Boudreault

To appear in: North American Actuarial Journal , 2021 BibTeX reference

Oct 2020

Likelihood evaluation of jump-diffusion models using deterministic nonlinear filters

Jean-François Bégin and Mathieu Boudreault

To appear in: Journal of Computational and Graphical Statistics, 2020 BibTeX reference

Jun 2020

Pricing flood insurance with a hierarchical physics-based model

Mathieu Boudreault, Patrick Grenier, Mathieu Pigeon, Jean-Mathieu Potvin, and Richard Turcotte

North American Actuarial Journal, 24(2), 251–274, 2020 BibTeX reference

Jun 2019

Credit and systemic risks in the financial services sector: Evidence from the 2008 global crisis

Jean-François Bégin, Mathieu Boudreault, Delia-Alexandra Doljanu, and Geneviève Gauthier

Journal of Risk and Insurance, 86(2), 263–296, 2019 BibTeX reference

Mar 2019

Impact of reanalysis boundary conditions on downscaled Atlantic hurricane activity

Jean-Philippe Baudouin, Louis-Philippe Caron, and Mathieu Boudreault

Climate Dynamics, 52(5-6), 3709–3727, 2019 BibTeX reference

Mar 2019

Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias

Diego Amaya, Mathieu Boudreault, and Don L. McLeish

Journal of Economic Dynamics and Control, 100, 297–313, 2019 BibTeX reference

Mar 2018

Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure

Maciej Augustyniak, Mathieu Boudreault, and Manuel Morales

Methodology and Computing in Applied Probability, 20(1), 165–188, 2018 BibTeX reference

Feb 2018

Hedging variable annuities: How often should the hedging portfolio be rebalanced?

Maciej Augustyniak and Mathieu Boudreault

Risk & Rewards, 71, 1–7, 2018 BibTeX reference

Nov 2017

Firm-specific credit risk estimation in the presence of regimes and noisy prices

Jean-François Bégin, Mathieu Boudreault, and Geneviève Gauthier

Finance Research Letters, 23, 306–313, 2017 BibTeX reference

Sep 2017

Mitigating interest rate risk in variable annuities: An analysis of hedging effectiveness under model risk

Maciej Augustyniak and Mathieu Boudreault

North American Actuarial Journal, 21(4), 502–525, 2017 BibTeX reference

Apr 2017

Reanalysis of climate influences on Atlantic tropical cyclone activity using cluster analysis

Mathieu Boudreault, Louis-Philippe Caron, and Suzana J. Camargo

Journal of Geophysical Research: Atmospheres, 122(8), 4258–4280, 2017 BibTeX reference

Mar 2017

Compendium of credit risk resources for P&C actuaries

Jean-Philippe Boucher, Mathieu Boudreault, and Jean-François Forest-Désaulniers

E-Forum, Casualty Actuarial Society, 69 pages, 2017 BibTeX reference

Dec 2015

Estimation of correlations in portfolio credit risk models based on noisy security prices

Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin

Journal of Economic Dynamics and Control, 61, 334–349, 2015 BibTeX reference

Dec 2015

On the variability and predictability of eastern pacific tropical cyclone activity

Louis-Philippe Caron, Mathieu Boudreault, and Suzana J. Camargo

Journal of Climate, 28(24), 9679–9696, 2015 BibTeX reference

Aug 2015

On the importance of hedging dynamic lapses in variable annuities

Maciej Augustyniak and Mathieu Boudreault

Risk & Rewards, 66, 12–16, 2015 BibTeX reference

Apr 2015

Changes in large-scale controls of Atlantic tropical cyclone activity with the phases of the Atlantic multidecadal oscillation

Louis-Philippe Caron, Mathieu Boudreault, and Cindy L. Bruyère

Climate Dynamics, 44(7-8), 1801–1821, 2015 BibTeX reference

Jun 2014

Contagion effect on bond portfolio risk measures in a hybrid credit risk model

Mathieu Boudreault and Geneviève Gauthier

Finance Research Letters, 11(2), 131–139, 2014 BibTeX reference

Jan 2014

Risk models with dependence between claim occurrences and severities for Atlantic hurricanes

Mathieu Boudreault, Hélène Cossette, and Étienne Marceau

Insurance: Mathematics and Economics, 54, 123–132, 2014 BibTeX reference

Sep 2013

Recovery rate risk and credit spreads in a hybrid credit risk model

Mathieu Boudreault, Geneviève Gauthier, and Tommy Thomassin

Journal of Credit Risk, 9(3), 3–39, 2013 BibTeX reference

Nov 2012

An out-of-sample analysis of investment guarantees for equity-linked products

Maciej Augustyniak and Mathieu Boudreault

North American Actuarial Journal, 16(2), 183–206, 2012 BibTeX reference

Apr 2019

Actuarial finance: Derivatives, quantitative models and risk management

Mathieu Boudreault and Jean-François Renaud

Wiley, 592 pages, 2019 BibTeX reference

Sep 2013

Une approche actuarielle de la gestion et de la modélisation des risques de séismes et d’ouragans

Mathieu Boudreault

A. De Serres (ed.), La gestion des risques majeurs: La résilience organisationnelle - Apprendre à être surpris, Éditions Yvon Blais, Thomson Reuters, 477–524, 2013 BibTeX reference