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Article
Impact of credit data for the valuation of insurance liabilities
12 July 2023 - by Pierre-Edouard Arrouy, Emmanuel Avril, David Baranes (S&P Global), Adrien Cortes, Rashi Garg (S&P Global), Leo Tondolo
In the valuation of insurance liabilities, using high-quality credit data reduces the need for excessive constraints in the calibration process.
Article
Sensitivity analysis for model risk management
30 November 2021 - by Alexandre Boumezoued, Leo Tondolo
Sensitivity testing with dependence has the potential for a wide range of applications in reporting, such as for Solvency II, IFRS 17, and balance sheet valuation.