125 citations
- Centre de Recherche en Économie et StatistiqueFR40 papers
- Centre for Research in Engineering Surface TechnologyIE16 papers
- École Nationale de la Statistique et de l'Analyse de l'InformationFR13 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Center for Responsible TravelUS9 papers
- Criteo (France)FR4 papers
- École PolytechniqueFR4 papers
- HEC ParisFR4 papers
- Université Paris Dauphine-PSLFR4 papers
- Centre de Recherche en Mathématiques de la DécisionFR3 papers
- Centre Inria de SaclayFR3 papers
- Columbia UniversityUS3 papers
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q-fin.RM2025
Combination of traditional and parametric insurance: calibration method based on the optimization of a criterion adapted to heavy tail losses
Olivier Lopez, Daniel Nkameni
In this paper, we address the problem of providing insurance protection against heavy-tailed losses, for which the expected loss may not even be finite. The product we study is bas…
q-fin.RM2025★ 2 cited
Physical Climate Risk in Asset Management
Michele Azzone, Matteo Ghesini, Davide Stocco +1
Climate-related phenomena are increasingly affecting regions worldwide, manifesting as floods, water scarcity, and heat waves, significantly impairing companies' assets and product…
q-fin.RM2021
Liquidity Stress Testing in Asset Management -- Part 1. Modeling the Liability Liquidity Risk
Thierry Roncalli, Fatma Karray-Meziou, François Pan +1
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers liability liq…