Finally I got it.
With version 1.2.* of BjyAuthorize, you simply add in config/autoload/bjyauthorize.global.php
:
return array(
'bjyauthorize' => array(
'unauthorized_strategy' => 'BjyAuthorize\View\RedirectionStrategy',
// [...]
),
);
And it will redirect you to the route configured in vendor/bjyoungblood/bjy-authorize/src/BjyAuthorize/View/RedirectionStrategy.php