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pro vyhledávání: '"Kaakai, Sarah"'
In this paper, we present a probabilistic numerical method for a class of forward utilities in a stochastic factor model. For this purpose, we use the representation of dynamic consistent utilities with mean of ergodic Backward Stochastic Differentia
Externí odkaz:
http://arxiv.org/abs/2403.15039
The R Package IBMPopSim aims to simulate the random evolution of heterogeneous populations using stochastic Individual-Based Models (IBMs). The package enables users to simulate population evolution, in which individuals are characterized by their ag
Externí odkaz:
http://arxiv.org/abs/2303.06183
Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first one, syste
Externí odkaz:
http://arxiv.org/abs/2211.16159
We present a framework for constructing multivariate risk measures that is inspired from univariate Optimized Certainty Equivalent (OCE) risk measures. We show that this new class of risk measures verifies the desirable properties such as convexity,
Externí odkaz:
http://arxiv.org/abs/2210.13825
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution of the robu
Externí odkaz:
http://arxiv.org/abs/2210.07640
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to guarantee a minimal pension amount. The model aims at taking into acc
Externí odkaz:
http://arxiv.org/abs/2207.01536
The aim of this paper is to study the long-term consequence on longevity of a mortality shock. We adopt an historical and modeling approach to study how the population evolution following a mortality shock such as the COVID-19 pandemic could impact f
Externí odkaz:
http://arxiv.org/abs/2111.08338
Autor:
Kaakai, Sarah
Cette thèse porte sur la modélisation probabiliste de l’hétérogénéité des populations humaines et de son impact sur la longévité. Depuis quelques années, de nombreuses études montrent une augmentation alarmante des inégalités de mortal
Externí odkaz:
http://www.theses.fr/2017PA066553/document
Autor:
Kaakai, Sarah, El Karoui, Nicole
Publikováno v:
In Stochastic Processes and their Applications August 2023 162:218-248
Autor:
Kaakai, Sarah, Karoui, Nicole El
This paper deals with the stochastic modeling of a class of heterogeneous population in a random environment, called birth-death-swap. In addition to demographic events, swap events, i.e. moves between subgroups, occur in the population. Event intens
Externí odkaz:
http://arxiv.org/abs/1803.00790