Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Julien Trufin"'
Autor:
Michel Denuit, Julien Trufin
Publikováno v:
European Actuarial Journal.
Publikováno v:
European Actuarial Journal. 13:487-489
Autor:
Corinne Sinner, Yves Dominicy, Julien Trufin, Wout Waterschoot, Patrick Weber, Christophe Ley
Publikováno v:
International Statistical Review. 91:35-54
Publikováno v:
Methodology and Computing in Applied Probability. 24:595-611
Autor:
Julien Trufin, Mhamed Mesfioui
Publikováno v:
European Actuarial Journal. 12:417-423
In this note, we establish the best lower and upper bounds on Spearman’s rho for zero-inflated continuous random variables studied by Pimentel (Kendall’s Tau and Spearman’s Rho for Zero Inflated Data (Ph.D. dissertation). Western Michigan Unive
Publikováno v:
Insurance: Mathematics and Economics, Vol. 101, p. 163-172 (2021)
Modern data science tools are effective to produce predictions that strongly correlate with responses. Model comparison can therefore be based on the strength of dependence between responses and their predictions. Positive expectation dependence turn
Publikováno v:
European Actuarial Journal. 12:321-348
Spearman’s rho is one of the most popular dependence measures used in practice to describe the association between two random variables. However, in case of at least one random variable being discrete, Spearman’s correlations are often bounded an
Autor:
Mhamed Mesfioui, Julien Trufin
Publikováno v:
Methodology and Computing in Applied Probability. 24:1051-1059
In this note, we derive upper bounds on Kendall’s tau and Spearman’s rho for multivariate zero-inflated continuous variables often encountered in insurance. A lower bound for Spearman’s rho is also established in the bivariate case. These bound
Autor:
Marcin Detyniecki, Michel Denuit, Matteo Sammarco, Alexandre Corradin, Julien Trufin, Vincent Grari
Publikováno v:
Astin Bulletin : the journal of the International Actuarial Association, Vol. 52, no.1, p. 33-54 (2022)
Telematicsdevices installed in insured vehicles provide actuaries with new risk factors, such as the time of the day, average speeds, and other driving habits. This paper extends the multivariate mixed model describing the joint dynamics of telematic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3bd0c23173f22e7b4b79caa31dbd3caa
https://hdl.handle.net/2078.1/257959
https://hdl.handle.net/2078.1/257959
Publikováno v:
Insurance: Mathematics and Economics. 93:246-261
For an insurance company, effective risk management requires an appropriate measurement of the risk associated with an insurance portfolio. The objective of the present paper is to study properties of ruin-based risk measures defined within discrete-