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Research Article

Double comptabilisation des frais de gestion sous Solvabilité II

    Olivier Gossner et Michael Florig
    Revue Risques, 2023

    Résumé : Nous mettons en évidence une double comptabilisation des frais de gestion des actifs assurantiels dans l’interprétation majoritaire actuelle de la directive Solvabilité II. Cette double comptabilisation conduit à des provisions injustifiées d’un montant total que nous estimons être de l’ordre de 100 milliards d’euros, et à une distorsion de l’investissement de l’épargne qui pénalise considérablement l’investissement productif et de long terme. Nous exposons ici les données du problème, les moyens de le résoudre et l’impact positif significatif qu’une correction entraînerait pour l’investissement productif français et européen.

    S-2 frais de gestion


    High-sensitivity SARS-CoV-2 group testing by digital PCR among symptomatic patients in hospital settings

      A. Martin , A. Storto , Q. Le Hingrat , G. Collin , B. André, A. Mallory , R. Dangla , D. Descamps , B. Visseaux , O. Gossner
      Journal of Clinical Virology, 2021

      Background: Worldwide demand for SARS-CoV-2 RT-PCR testing is still high as testing remains central to follow the disease spread and vaccine efficacy. Group testing has been proposed as a solution to expand testing capabilities but sensitivity concerns may limit its impact on the management of the pandemic. Digital PCR (RT-dPCR) has been shown to be highly sensitive and could help by providing larger testing capabilities without compromising sensitivity.

      Methods: We implemented RT-dPCR based COVID-19 group testing on a commercially available system and assay (naica® system from Stilla Technologies) and investigated the sensitivity of the method in real life conditions of a university hospital in Paris, France, in May 2020. We tested the protocol in a direct comparison with reference RT-PCR testing on 448 samples split into groups of 8, 16 and 32 samples for RT-dPCR analysis.

      Results: Individual RT-PCR testing identified 25/448 positive samples. Using 56 groups of 8, RT-dPCR identified 23 groups as positive, corresponding to 26 positive samples by individual PCR (positive percentage agreement 95.2% [95% confidence interval: 76.2-99.9%]) and including 2 samples not detected by individual RT-PCR but confirmed positive by further investigation. 15 of 28 groups of 16 tested positive, corresponding to 25 positive samples by individual PCR (positive percentage agreement 87.5% [95% confidence interval: 61.7-98.4%]). 14 groups of 32 were fully concordant with individual PCR testing but will need to be confirmed on larger datasets.


      Attention please!

        Olivier Gossner, Jakub Steiner and Colin Stewart
        Econometrica, Vol. 89, No. 4 (July, 2021), 1717–1751, 2021

        Abstract: We study the impact of manipulating the attention of a decision-maker who learns sequentially about a number of items before making a choice. Under natural assump- tions on the decision-maker’s strategy, directing attention toward one item increases its likelihood of being chosen regardless of its value. This result applies when the decision- maker can reject all items in favor of an outside option with known value; if no outside option is available, the direction of the effect of manipulation depends on the value of the item. A similar result applies to manipulation of choices in bandit problems.


        Payoffs-beliefs duality and the value of information

          Michel de Lara and Olivier Gossner
          SIAM Journal on Optimization, 30(1), 464-489, 2020.

          Abstract: In decision problems under incomplete information, actions (identified to payoff vectors indexed by states of nature) and beliefs are naturally paired by bilinear duality. We exploit this duality to analyze the value of information, using concepts and tools from convex analysis. We define the value function as the support function of the set of available actions:  the subdifferential at a belief is the set of optimal actions at this belief; the set of beliefs at which an action is optimal is the normal cone of the set of available actions at this point. Our main results are 1) a necessary and sufficient condition for positive  value of information 2) global estimates of the value of information of any information structure from local properties of the  value function and of the set of optimal actions taken at the prior belief only. We apply our results to the marginal value of  information at the null, that is, when the agent is close to receiving no information at all, and we provide conditions under which the marginal value of information is infinite, null, or positive and finite.

          payoff-beliefs duality

          Group testing against Covid-19

            Christian Golliier and Olivier Gossner
            EconPol Policy Brief, No. 24, ifo Institute – Leibniz Institute for Economic Research, Munich, 2020

            Abstract: We show how group testing can be used in three applications to multiply the efficiency of tests: estimation of virus prevalence, releasing group to the work force, and testing for individual infectious status. For an infection level around 2%, group testing could potentially allow to save 94% of tests in the first application, 95% in the second, and 85% in the third one.


            Preferences under ignorance

              Olivier Gossner and Christoph Kuzmics
              International Economic Review, 60: 241-257, 2018

              Abstract: A decision maker (DM) makes choices from different sets of alternatives. The DM is initially ignorant of the payoff associated with each alternative, and learns these payoffs only after a large number of choices have been made. We show that, in the presence of an outside option, once payoffs are learned, the optimal choice rule from sets of alternatives can be rationalized by a DM with strict preferences over all alternatives. Under this model, the DM has preferences for preferences while being ignorant of what preferences are “right”.


              On the cost of misperception: General results and behavioural applications

                Olivier Gossner and Jakub Steiner
                Journal of Economic Theory, 177: 816-847, 2018

                Abstract: In a choice model, we characterize the loss induced by misperceptions of payoff- relevant parameters across a distribution of decision problems. When the agent cannot avoid misperceptions but has some control over the distribution of errors, we show that strategies that minimize loss from misperception exhibit systematic biases, akin to some documented in the behavioural and psychological literatures. We include illusion of control, order effect, overprecision, and overweighting of small probabilities as illustrative examples.


                A normalized value for information purchases

                  Antonio Cabrales, Olivier Gossner and Roberto Serrano
                  Journal of Economic Theory, 170: 266-288, 2017

                  Abstract: Consider agents who are heterogeneous in their preferences and wealth levels. These agents may acquire information prior to choosing an investment that has a property of no-arbitrage, and each piece of information bears a corresponding cost. We associate a numeric index to each information purchase (information-cost pair). This index describes the normalized value of the information purchase: it is the risk-aversion level of the unique CARA agent who is indifferent between accepting and rejecting the pur- chase, and it is characterized by a “duality” principle that states that agents with a stronger preference for information should engage more often in information purchases. No agent more risk-averse than the index finds it profitable to acquire the information, whereas all agents less risk-averse than the index do. Given an empirically measured range of degrees of risk aversion in a competitive economy with no-arbitrage investments, our model therefore comes close to describing an inverse demand for information, by predicting what pieces of information are acquired by agents and which ones are not. Among several desirable properties, the normalized value formula induces a complete ranking of information structures that extends Blackwell’s classic ordering.

                  value for information purchases

                  The complexity of interacting automata

                    Olivier Gossner, Penelope Hernández, and Ron Peretz
                    International Journal of Game Theory, 45:461-496, 2016

                    Abstract: This paper studies the interaction of automata of size m. We characterise statistical properties satisfied by random plays generated by a correlated pair of automata with m states each. We show that in some respect the pair of automata can be identified with a more complex automaton of size comparable to m log m. We investigate implications of these results on the correlated min–max value of repeated games played by automata.

                    Interacting automata

                    Finite-sample exact tests for linear regressions with bounded dependent variables

                      Olivier Gossner and Karl Schlag
                      Journal of Econometrics, 177: 75-94, 2013

                      Abstract: This paper studies the interaction of automata of size m. We characterise statistical properties satisfied by random plays generated by a correlated pair of automata with m states each. We show that in some respect the pair of automata can be identified with a more complex automaton of size comparable to m log m. We investigate implications of these results on the correlated min–max value of repeated games played by automata.