4 citations · 6 across the 8 of their papers we have counts for
10 papers
Hashpower allocation in Pay-per-Share blockchain mining pools
Pierre-Olivier Goffard, Hansjoerg Albrecher, Jean-Pierre Fouque
Mining blocks in a blockchain using the \textit{Proof-of-Work} consensus protocol involves significant risk, as network participants face continuous operational costs while earning…
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,…
Collaborative and parametric insurance on the Ethereum blockchain
Pierre-Olivier Goffard, Stéphane Loisel
This paper introduces a blockchain-based insurance scheme that integrates parametric and collaborative elements. A pool of investors, referred to as surplus providers, locks funds…
Blockchain mining in pools: Analyzing the trade-off between profitability and ruin
Hansjoerg Albrecher, Dina Finger, Pierre-Olivier Goffard
The resource-consuming mining of blocks on a blockchain equipped with a proof of work consensus protocol bears the risk of ruin, namely when the operational costs for the mining ex…
Bayesian model averaging for mortality forecasting using leave-future-out validation
Karim Barigou, Pierre-Olivier Goffard, Stéphane Loisel +1
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns…
On the profitability of selfish blockchain mining under consideration of ruin
Hansjoerg Albrecher, Pierre-Olivier Goffard
Mining blocks on a blockchain equipped with a proof of work consensus protocol is well-known to be resource-consuming. A miner bears the operational cost, mainly electricity consum…
Approximate Bayesian Computations to fit and compare insurance loss models
Pierre-Olivier Goffard, Patrick J. Laub
Approximate Bayesian Computation (ABC) is a statistical learning technique to calibrate and select models by comparing observed data to simulated data. This technique bypasses the…
Orthogonal polynomial expansions to evaluate stop-loss premiums
Pierre-Olivier Goffard, Patrick J. Laub
A numerical method is proposed to evaluate the survival function of a compound distribution and the stop-loss premiums associated with a non-proportional global reinsurance treaty.…
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
Pierre-Olivier Goffard, Andrey Sarantsev
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality al…
Orthonormal polynomial expansions and lognormal sum densities
Søren Asmussen, Pierre-Olivier Goffard, Patrick J. Laub
Approximations for an unknown density in terms of a reference density and its associated orthonormal polynomials are discussed. The main application is the approximation…