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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Stochastic approximations for financial risk computations.

American options, Approximation faibles, Credit risk measures, Décomposition en polynômes du chaos, Forward Variance, Initial Margin, Marge Initiale, Mesures de risque de crédit, Meta-modeling, Monte Carlo multi-Niveaux, Multilevel Monte Carlo, Métamodélisation, Options américaines, Orthogonal polynomials, Polynomial Chaos Expansion, Polynômes orthogonaux, Risk management, VIX, Variance Forward, Weak approximations

A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model.

Compound Poisson model, Gamma series expansion, Laplace transform inversion, Natural exponential families with quadratic variance functions, Orthogonal polynomials, Ultimate ruin probability

Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions.

Bivariate Laplace Transform, Bivariate aggregate claims model, Bivariate distribution, Natural exponential families with quadratic variance functions, Numerical inversion of Laplace transform, Orthogonal polynomials

Polynomial approximations of probability densities and applications in insurance.

Best estimate liabilities, Compound distributions, Distributions composées, Familles Exponentielles Naturelles Quadratiques, Model points, Méthodes numériques d'approximation, Natural Exponential Families with Quadratic Variance Function, Numerical methods, Orthogonal polynomials, Polynômes orthogonaux, Provision best estimate, Ruin theory, Solvabilité II, Solvency II, Théorie de la ruine

A comparative study of polynomial-type chaos expansions for indicator functions.

Metamodeling, Orthogonal polynomials, Polynomial chaos expansion