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Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2022
Persistent link: https://www.econbiz.de/10013170008
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A unified theory of extreme Expected Shortfall inference
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2024
Persistent link: https://www.econbiz.de/10015097279
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Extreme value estimation of the conditional risk premium in reinsurance
Goegebeur, Yuri; Guillou, Armelle; Qin, Jing - In: Insurance / Mathematics & economics 96 (2021), pp. 68-80
Persistent link: https://www.econbiz.de/10012482751
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Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
Goegebeur, Yuri; Guillou, Armelle; Pedersen, Tine; Qin, Jing - In: Insurance / Mathematics & economics 107 (2022), pp. 102-122
Persistent link: https://www.econbiz.de/10013471190
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On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
Dutang, Christophe; Lefevre, Claude; Loisel, Stéphane - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 774-785
Persistent link: https://www.econbiz.de/10010227872
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Properties of a risk measure derived from the expected area in red
Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199
Persistent link: https://www.econbiz.de/10010366178
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Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
Loisel, Stéphane; Mazza, Christian; Rullière, Didier - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 374-381
Persistent link: https://www.econbiz.de/10009517556
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On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment
Lefevre, Claude; Loisel, Stéphane; Montesinos, Pierre - In: Scandinavian actuarial journal 2021 (2021) 6, pp. 476-504
Persistent link: https://www.econbiz.de/10012588355