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).
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
Impact of Dependence on Some Multivariate Risk Indicators.
Copulas, Dependence modeling, Multivariate risk indicators, Optimal capital allocation, Risk theory, Sub-exponential distributions
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