Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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On Multivariate Extensions of Value-at-Risk.

Copulas, Kendall distributions, Level sets of distribution functions, Multivariate Risk Measures

On multivariate extensions of Value-at-Risk.

Copulas, Kendall distributions, Level sets of distribution functions, Multivariate Risk Measures

Lévy Processes in Finance: Inverse Problems and Dependence Modelling.

Calibration, Copulas, Copules, Dependence, Dépendance, Entropie relative, Ill-posed problems, Inverse problems, Lévy processes, Option pricing, Problèmes inverses, Problèmes mal posés, Processus de Lévy, Produits dérivés, Regularization, Relative entropy, Régularisation

Dependency structures and boundary results with applications to insurance finance.

Archimedean copulas, Assurance, Clayton copula, Copulas, Copule de Clayton, Copules, Copules d'Archimède, Credit risk, Dependence, Dépendance, Dépendance de queue, Extremes, Finance, Flood, Heat wave, Inondation, Insurance, Risk, Risque, Risque de crédit, Storms, Tail dependence, Tempêtes, Vague de chaleur

Dependency and boundary results, some applications in finance and insurance.

Archimedean copulas, Assurance, Canicule, Copulas, Copules, Copules archimédiennes, Credit risk, Estimation par noyaux, Extrêmes, Finance, Flood, Heat wave, Inondation, Insurance, Kernel estimates, Multivariate, Multivarié, Regular variation, Reinssurance, Risque de crédit, Réassurance, Storms, Tempête, Variation régulière

Three essays on addiction and the real estate market.

Copulas, Corrélation de défault, Default dependence, House prices, Mortgages, Portfeuille, Portfolio, Prix immobiliers, Prêts immobiliers

Modeling the dependency between pre-extremes.

Archimax copulas, Clustering, Copulas, Copules, Copules Archimax, Dependence modeling, Empirical processes, Extremes, Extrêmes, Inférence semiparametrique, Modélisation de la dépendence, Processus empiriques, Semi parametric inference

Dependency models in risk theory.

Allocation de capital, Capital allocation, Copulas, Copules, Dependence, Discounted aggregate claims, Dépendance, Environnement markovien, Markovian environment, Risk theory, Ruin theory, Somme de valeurs présentes, Théorie de la ruine, Théorie du risque

Multivariate extensions of expectiles risk measures.

Capital allocation, Coherence properties, Copulas, Dependence modeling, Elicitability, Multivariate expectiles, Multivariate risk measures, Risk management, Risk theory, Solvency 2, Stochastic approximation

Impact of Dependence on Some Multivariate Risk Indicators.

Copulas, Dependence modeling, Multivariate risk indicators, Optimal capital allocation, Risk theory, Sub-exponential distributions

Multivariate risk measures and applications in actuarial science.

Allocation du capital, Approximation stochastique, Capital allocation, Copulas, Copules, Dependence modeling, Extreme values, Gestion des risques, La théorie du risque, Mesures de risque multivariées, Modélisation de la dépendance, Multivariate risk measures, , , , , ,, Risk management, Risk theory, Stochastic approximation, Valeurs extrêmes

Multivariate extensions of expectiles risk measures.

Capital allocation, Coherence properties, Copulas, Dependence modeling, Elicitability, Multivariate expectiles, Multivariate risk measures, Risk management, Risk theory, Solvency 2, Stochastic approximation