Extrêmes – Copules- Actuariat
22 au 26 février 2016

Fractional Poisson process: long-range dependence and applications in ruin theory (pdf)

Inference pour des modèles semi paramétriques définis par des conditions sur leurs L-moments (pdf)

Weak convergence of the empirical copula process with respect to weighted metrics (pdf)

On tail dependence coefficients of transformed multivariate Archimedean copulas (pdf)

Full lilelihood inference for multivariate max-stable distributions (pdf)

Two problems arising in Population Modeling, Fast Detection of Unobservable Disorder Time and Cohort effect in Population dynamics (pdf)

Kernel estimation of extreme risk measures for all domains of attraction (pdf)

Single-index copulae (pdf)

Estimation of tail risk based on extreme expectiles (pdf)

Orthogonal polynomials expansions and lognormal sum densities (pdf)

Estimation of the marginal expected shortfall in the context of an infinite mean model (pdf)

Applications of the multivariate tail process for extremal inference (pdf)

All (copula) models are false but some are useful (pdf)

Ruin problems for processes in a changing environment (pdf)

Discrete Schur-constant models in insurance (pdf)

Nonparametric copula estimation under censoring (pdf)

Stress tests for lapse risk: correlation and contagion among policyholders’ behaviours (pdf)

A measure of dependence for stable distributions (pdf)

Probabilities of concurrent extremes (pdf)

Standardization of upper-semicontinuous processes applications in Extreme Value Theory (pdf)

Exogenous shock models in high dimensions (pdf)

Extremes in time series (pdf)

Extreme versions of Wang risk measures and their estimation (pdf)

Concentration results in extreme value theory (pdf)

Spatial dependence issues for extremes (pdf)

Model points and Tail-VaR in life insurance (pdf)