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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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

On a capital allocation by minimizing multivariate risk indicators.

Coherence properties, Dependence modeling, Multivariate risk indicators, Optimal capital allocation, Risk theory

On a capital allocation by minimization of some risk indicators.

Coherence properties, Dependence modeling, Multivariate risk indicators, ORSA, Optimal capital allocation, Own risk and solvency assessment, Risk theory, SCR, Solvency 2, Solvency capital requirement

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

A risk management approach to capital allocation.

Coherence properties, Dependence modeling, Multivariate risk indicators, Optimal capital allocation, Own Risk and Solvency Assessment ORSA, Risk theory, Solvency 2, Solvency Capital Requirement SCR

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