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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Contributions to risk assessment in storm and automobile insurance.

Assurance, Besoins en fonds propres, Dépendance extrême, Extreme dependence, Extreme value theory, Gestion des riques, Indice tempête, Insurance, Pay-as-you-drive, Période de retour, Return period, Solvency II, Storm index, Théorie des valeurs extrêmes, Volatilité, Wind speed

Measuring and managing operational risk in the insurance and banking sectors.

Basel III, Bayesian Statistics, Bâle III, Estimation risk, Extreme Value Theory, Loss Distribution Approach, ORSA, Operational risk, Risque d'estimation, Risque opérationnel, Solvabilité II, Solvency II, Statistique Bayésienne, Théorie des valeurs extrêmes

Tail-GAN: Simulation of extreme events with ReLU neural networks.

Extreme Value Theory, Generative models, Neural networks

On the approximation of extreme quantiles with neural networks.

Extreme value theory, Generative models, Modèle génératif, Neural networks, Réseau de neurones, Théorie des valeurs extrêmes

Sloshing in the LNG shipping industry: risk modelling through multivariate heavy-tail analysis.

Asymptotic dependence, Extreme value theory, Monte-Carlo simulations, Multivariate heavy-tail distributions, Sloshing, Spectral clustering

Estimating a bivariate tail: A copula based approach.

Extreme Value Theory, Peaks Over Threshold method, Pickands-Balkema-de Haan Theorem, Tail dependence

Learning structures in extreme values in high dimension.

Apprentissage non-supervisé, Clustering, Dimension reduction, Extreme value theory, Réduction de dimension, Théorie des valeurs extrêmes, Unsupervised learning

Analysis and statistical modeling of electrical consumption data.

Analyse de survie, Censure à droite, Cox’s model, Extreme value theory, Heavy tails, Modèle de Cox, Queues lourdes, Right censoring, Survival analysis, Théorie des valeurs extrêmes

Consolidation of locally and regionally available hydrological information for probabilistic estimation of the flood regime.

Analyse Bayesienne, Analyse Fréquentielle, Bayesian Analysis, Estimation Régionale, Extreme Value Theory, Frequentist Analysis, MCMC Techniques, Méthodes MCMC, Regional Estimation, Théorie des Valeurs Extrêmes

Index for predicting insurance claims from wind storms with an application in France.

Extreme Dependence, Extreme Value Theory, Insurance, Storm Index, Wind Speed

Index for Predicting Insurance Claims from Wind Storms with an Application in France.

Extreme dependence, extreme value theory, insurance, storm index, wind speed

Wind storm risk management: sensitivity of return period calculations and spread on the territory.

Approche stochastique, Appréciation de risque, Dégât dû au vent, Extreme value, Extreme value theory, France, Return period, Risk assessment, Solvency II, Storm index, Tempête, Thunderstorm, Valeur extrême, Vent, Volatility Insurance, Wind, Wind damage, Évaluation des risques