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).


Reset

On Multivariate Extensions of Conditional-Tail-Expectation.

Copulas and dependence, Level sets of distribution functions, Multivariate probability integral transformation, Multivariate risk measures, Stochastic orders

On Multivariate Extensions of Value-at-Risk.

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

On multivariate extensions of Conditional-Tail-Expectation.

Copulas and dependence, Level sets of distribution functions, Multivariate probability integral transformation, Multivariate risk measures, Stochastic orders

On multivariate extensions of Value-at-Risk.

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

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

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

Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory.

Hyperbolic conversion functions, Iterated compositions, Level sets estimation, Multivariate probability distortions, Multivariate risk measures