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How large is the jump discontinuity in the diffusion coefficient of a time-homogeneous diffusion?

Robert, Christian Yann - In: Econometric theory 39 (2023) 4, pp. 848-880

Persistent link: https://www.econbiz.de/10014342267

From risk reduction to risk elimination by conditional mean risk sharing of independent losses

Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 108 (2023), pp. 46-59

Persistent link: https://www.econbiz.de/10013534509

Graph-based learning for stock movement prediction with textual and relational data

Chen, Qinkai; Robert, Christian Yann - In: The journal of financial data science 4 (2022) 4, pp. 152-166

Persistent link: https://www.econbiz.de/10014232783

Joint asymptotic distributions of smallest and largest insurance claims

Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...

Persistent link: https://www.econbiz.de/10010400269

Asset allocation strategies in the presence of liability constraints

Cousin, Areski; Jiao, Ying; Robert, Christian Yann; … - In: Insurance / Mathematics & economics 70 (2016), pp. 327-338

Persistent link: https://www.econbiz.de/10011597318

Stop-loss protection for a large P2P insurance pool

Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 100 (2021), pp. 210-233

Persistent link: https://www.econbiz.de/10012622390

From risk sharing to pure premium for a large number of heterogeneous losses

Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 96 (2021), pp. 116-126

Persistent link: https://www.econbiz.de/10012482774

Large-loss behavior of conditional mean risk sharing

Denuit, Michel; Robert, Christian Yann - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1093-1122

Persistent link: https://www.econbiz.de/10012307400

Risk-sharing rules and their properties, with applications to peer-to-peer insurance

Denuit, Michel; Dhaene, Jan; Robert, Christian Yann - In: The journal of risk & insurance 89 (2022) 3, pp. 615-667

Persistent link: https://www.econbiz.de/10013395995

Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model

Denuit, Michel; Robert, Christian Yann - In: Insurance / Mathematics & economics 112 (2023), pp. 23-32

Persistent link: https://www.econbiz.de/10014446652