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of 47
pro vyhledávání: '"Mailhot, Mélina"'
We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These dynamic uncerta
Externí odkaz:
http://arxiv.org/abs/2308.12856
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable features which e
Externí odkaz:
http://arxiv.org/abs/2007.07068
The concept of univariate Range Value-at-Risk, presented by Cont et al. (2010), is extended in the multidimensional setting. Traditional risk measures are not well suited when dealing with heavy-tail distributions and infinite tail expectations. The
Externí odkaz:
http://arxiv.org/abs/2005.12473
A generalization of expectiles for d-dimensional multivariate distribution functions is introduced. The resulting geometric expectiles are unique solutions to a convex risk minimization problem and are given by d-dimensional vectors. They are well be
Externí odkaz:
http://arxiv.org/abs/1704.01503
Publikováno v:
In Journal of Multivariate Analysis July 2021 184
Autor:
Mailhot, Mélina
En théorie du risque, la tâche principale de l'actuaire consiste à gérer les risques souscrits par l'entreprise afin qu'elle soit à tout moment en mesure de remplir ses obligations. Les mesures de risque sont de précieux outils à cet effet. Da
Externí odkaz:
http://www.theses.ulaval.ca/2012/29656/29656.pdf
Autor:
Jessup, Sébastien1 (AUTHOR), Mailhot, Mélina1 (AUTHOR) melina.mailhot@concordia.ca, Pigeon, Mathieu2 (AUTHOR)
Publikováno v:
Annals of Actuarial Science. Nov2023, Vol. 17 Issue 3, p459-478. 20p.
Akademický článek
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Publikováno v:
In Journal of Multivariate Analysis September 2014 130:1-20