IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01086342.html
   My bibliography  Save this paper

Colloque International Book of Abstracts Edité par K. Boukhetala et J.F Dupuy

Author

Listed:
  • Kamal Boukhetala

    (Faculté de Mathématiques - USTHB - Université des Sciences et de la Technologie Houari Boumediene = University of Sciences and Technology Houari Boumediene [Alger])

  • Jean-François Dupuy

    (IRMAR - Institut de Recherche Mathématique de Rennes - UR - Université de Rennes - INSA Rennes - Institut National des Sciences Appliquées - Rennes - INSA - Institut National des Sciences Appliquées - ENS Rennes - École normale supérieure - Rennes - UR2 - Université de Rennes 2 - CNRS - Centre National de la Recherche Scientifique - INSTITUT AGRO Agrocampus Ouest - Institut Agro - Institut national d'enseignement supérieur pour l'agriculture, l'alimentation et l'environnement)

Abstract

Le colloque international Modélisation Stochastique et Statistique, dans sa troisième édition, est une rencontre scientifique de haut niveau regroupant chercheurs uni-versitaires et experts praticiens du calcul stochastique et statistique et ses applications dans les domaines so-cio économique, industriel et environnemental. Par les différents thèmes abordés, cette rencontre constituera un cadre idéal pour débattre et discuter des développe-ments récents. Un atelier sur le calcul numérique sto-chastique intensif et ses applications sera animé par des spécialistes en la matière. D'autre part, cette rencontre offrira une occasion de rapprochement entre académi-ciens et professionnels en matière d'échange d'idées et d'expériences dans le domaine de l'utilisation de l'ou-til stochastique et statistique en analyse, modélisation, simulation et prospection pour l'aide à la prise de déci-sion.

Suggested Citation

  • Kamal Boukhetala & Jean-François Dupuy, 2014. "Colloque International Book of Abstracts Edité par K. Boukhetala et J.F Dupuy," Post-Print hal-01086342, HAL.
    • Handle: RePEc:hal:journl:hal-01086342
    Note: View the original document on HAL open archive server: https://hal.science/hal-01086342
    as

    Download full text from publisher

    File URL: https://hal.science/hal-01086342/document
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Jones, Bruce L. & Zitikis, Ricardas, 2007. "Risk measures, distortion parameters, and their empirical estimation," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 279-297, September.
    2. Belomestny, Denis & Krätschmer, Volker, 2010. "Central limit theorems for law-invariant coherent risk measures," SFB 649 Discussion Papers 2010-052, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    4. J. Dhaene & S. Vanduffel & M. Goovaerts, 2007. "Comonotonicity," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(2), pages 265-278.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2017. "Statistical estimation of composite risk functionals and risk optimization problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(4), pages 737-760, August.
    2. Fr'ed'eric Planchet & Pierre-Emanuel Th'erond, 2010. "Allocation d'actifs selon le crit\`ere de maximisation des fonds propres \'economiques en assurance non-vie," Papers 1001.1867, arXiv.org.
    3. Griselda Deelstra & Michèle Vanmaele & David Vyncke, 2010. "Minimizing the Risk of a Financial Product Using a Put Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 767-800, December.
    4. Brahimi, Brahim & Meraghni, Djamel & Necir, Abdelhakim & Zitikis, Ričardas, 2011. "Estimating the distortion parameter of the proportional-hazard premium for heavy-tailed losses," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 325-334.
    5. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
    6. Marta Cardin & Graziella Pacelli, 2005. "On characterization of a class of convex operators for pricing insurance risks," Game Theory and Information 0511011, University Library of Munich, Germany.
    7. Boonen, Tim J. & De Waegenaere, Anja & Norde, Henk, 2020. "A generalization of the Aumann–Shapley value for risk capital allocation problems," European Journal of Operational Research, Elsevier, vol. 282(1), pages 277-287.
    8. Alemany, Ramon & Bolancé, Catalina & Guillén, Montserrat, 2013. "A nonparametric approach to calculating value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 255-262.
    9. Frédéric Planchet & Pierre-Emmanuel Thérond, 2007. "Allocation d'actifs selon le critère de maximisation des fonds propres économiques en assurance non-vie : présentation et mise en oeuvre dans la réglementation française et dans un référentiel de type," Post-Print hal-00443028, HAL.
    10. Miryana Grigorova, 2011. "Stochastic dominance with respect to a capacity and risk measures," Working Papers hal-00639667, HAL.
    11. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
    12. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2014. "Quasi-Hadamard differentiability of general risk functionals and its application," Papers 1401.3167, arXiv.org, revised Feb 2015.
    13. Krätschmer, Volker & Zähle, Henryk, 2010. "Sensitivity of risk measures with respect to the normal approximation of total claim distributions," SFB 649 Discussion Papers 2010-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    14. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
    15. Ramon Alemany & Catalina Bolance & Montserrat Guillen, 2014. "Accounting for severity of risk when pricing insurance products," Working Papers 2014-05, Universitat de Barcelona, UB Riskcenter.
    16. Asimit, Alexandru V. & Li, Jinzhu, 2016. "Extremes for coherent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 332-341.
    17. Psarrakos, Georgios & Sordo, Miguel A., 2019. "On a family of risk measures based on proportional hazards models and tail probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 232-240.
    18. Henryk Zähle, 2011. "Rates of almost sure convergence of plug-in estimates for distortion risk measures," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 74(2), pages 267-285, September.
    19. Kim, Joseph H.T., 2010. "Bias correction for estimated distortion risk measure using the bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 198-205, October.
    20. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01086342. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.