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pro vyhledávání: '"Baradel Nicolas"'
Autor:
Baradel, Nicolas, Cormier, Quentin
We consider an optimal control problem inspired by neuroscience, where the dynamics is driven by a Poisson process with a controlled stochastic intensity and an uncertain parameter. Given a prior distribution for the unknown parameter, we describe it
Externí odkaz:
http://arxiv.org/abs/2411.04917
Autor:
Baradel, Nicolas
We revisit the famous Mack's model which gives an estimate for the mean square error of prediction of the chain ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model accumulated total claims amou
Externí odkaz:
http://arxiv.org/abs/2406.03252
Autor:
Baradel, Nicolas
In reinsurance, Poisson and Negative binomial distributions are employed for modeling frequency. However, the incomplete data regarding reported incurred claims above a priority level presents challenges in estimation. This paper focuses on frequency
Externí odkaz:
http://arxiv.org/abs/2405.02871
Autor:
Baradel, Nicolas
We propose a general framework for studying optimal issue of CAT bonds in the presence of uncertainty on the parameters. In particular, the intensity of arrival of natural disasters is inhomogeneous and may depend on unknown parameters. Given a prior
Externí odkaz:
http://arxiv.org/abs/1809.09545
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order
Externí odkaz:
http://arxiv.org/abs/1802.08135
Publikováno v:
ESAIM: Proceedings and Surveys, Vol 65, Pp 145-181 (2019)
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order
Externí odkaz:
https://doaj.org/article/80518ca30e5f4b838d4bf91906a67b3d
Autor:
Baradel, Nicolas
Publikováno v:
Analyse classique [math.CA]. Université Paris sciences et lettres, 2018. Français. ⟨NNT : 2018PSLED078⟩
This PhD thesis is composed of three chapters, which deal with applications of impulse control in Finance and Insurance. In the first chapter, we introduce a general framework of impulse control with uncertainty. Knowing a prior on unknown parameters
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::fb0329bf74845280d1a63ab61d312e84
https://tel.archives-ouvertes.fr/tel-03222702/file/2018PSLED078.pdf
https://tel.archives-ouvertes.fr/tel-03222702/file/2018PSLED078.pdf
Akademický článek
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Publikováno v:
R Journal. Dec2017, Vol. 9 Issue 2, p539-540. 2p.