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Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2018

Persistent link: https://www.econbiz.de/10013490908

Tail expectile-VaR estimation in the semiparametric Generalized Pareto model

Abbas, Yasser; Daouia, Abdelaati; Nemouchi, Boutheina; … - 2025

Persistent link: https://www.econbiz.de/10015192022

Extreme M-quantiles as risk measures : from L1 to Lp optimization

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - 2017

Persistent link: https://www.econbiz.de/10012266461

Fatality risk regulation

Hammitt, James K.; Treich, Nicolas; Gijbels, Irène; … - 2021

Persistent link: https://www.econbiz.de/10012434752

ExpectHill estimation, extreme risk and heavy tails

Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117

Persistent link: https://www.econbiz.de/10012618802

Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks

Mao, Tiantian; Stupfler, Gilles; Yang, Fan - In: Insurance / Mathematics & economics 111 (2023), pp. 173-192

Persistent link: https://www.econbiz.de/10014317144

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

Measuring and comparing risks of different types

Aigner, Maximilian; Chavez-Demoulin, Valérie; Guillou, … - In: Insurance / Mathematics & economics 102 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013271951

From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital

Loisel, Stéphane; Milhaud, Xavier - In: European journal of operational research : EJOR 214 (2011) 2, pp. 348-357

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Impact of climate change on heat wave risk

Biard, Romain; Blanchet-Scalliet, Christophette; … - In: Risks : open access journal 1 (2013) 3, pp. 176-191

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...

Persistent link: https://www.econbiz.de/10010338320