125 citations
- Centre de Recherche en Économie et StatistiqueFR24 papers
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Showing 2017Show all
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q-fin.CP2017
Pricing formulae for derivatives in insurance using the Malliavin calculus
Caroline Hillairet, Ying Jiao, Anthony Réveillac
In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In…
stat.ML2017★ 73 cited
Learning Generative Models with Sinkhorn Divergences
Aude Genevay, Gabriel Peyré, Marco Cuturi
The ability to compare two degenerate probability distributions (i.e. two probability distributions supported on two distinct low-dimensional manifolds living in a much higher-dime…
math.OC2017
Optimal Contract with Moral Hazard for Public Private Partnerships
Ishak Hajjej, Caroline Hillairet, Mohamed Mnif +1
Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospit…