57 citations
- Lyon 1 UniversitéFR13 papers
- Institut Camille JordanFR7 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR5 papers
- Université de LyonFR5 papers
- Centre National de la Recherche ScientifiqueFR4 papers
- Institut de Mathématiques de ToulouseFR3 papers
- Institut de Recherche Mathématique AvancéeFR3 papers
- Laboratoire de Mathématiques Blaise PascalFR3 papers
- Nankai UniversityCN3 papers
- Society of American ForestersUS3 papers
- Centre de Recherche en Mathématiques de la DécisionFR2 papers
- Laboratoire de Mathématiques de Bretagne AtlantiqueFR2 papers
47 papers
Non-Parametric Simulation of Multivariate Extreme Events via Spectral Bootstrap
Nisrine Madhar, Juliette Legrand, Maud Thomas
Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric simulat…
Convex order and increasing convex order for McKean-Vlasov processes with common noise
Armand Bernou, Théophile Le Gall, Yating Liu
We establish results on the conditional and standard convex order, as well as the increasing convex order, for two processes and $ Y = (Y_t)_{t \in [0,…
Asymptotic properties of maximum composite likelihood estimators for max-stable Brown-Resnick random fields over a fixed-domain
Nicolas Chenavier, Christian Y. Robert
Likelihood-based inference for max-stable random fields is challenging, since finite-dimensional densities are either unavailable in closed form or computationally intractable in m…
Limit theorems for squared increment sums of the maximum of two isotropic fractional Brownian fields under fixed-domain asymptotics
Nicolas Chenavier, Christian Y. Robert
We study squared increment sums of the pointwise maximum of two independent and identically distributed isotropic fractional Brownian fields over a fixed two-dimensional domain. Th…
Central limit theorems for squared increment sums of fractional Brownian fields based on a Delaunay triangulation in
Nicolas Chenavier, Christian Y. Robert
An isotropic fractional Brownian field (with Hurst parameter ) is observed in a family of points in the unit square % . These points are assumed t…
Market-based insurance ratemaking: application to pet insurance
Pierre-Olivier Goffard, Pierrick Piette, Gareth W. Peters
This paper introduces a method for pricing insurance policies using market data. The approach is designed for scenarios in which the insurance company seeks to enter a new market,…