1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.RM2018★ 1 cited
A sparse grid approach to balance sheet risk measurement
Cyril Bénézet, Jérémie Bonnefoy, Jean-François Chassagneux +3
In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We fi…
math.ST2014
Hastings-Metropolis algorithm on Markov chains for small-probability estimation
François Bachoc, Lionel Lenôtre, Achref Bachouch
Shielding studies in neutron transport, with Monte Carlo codes, yield challenging problems of small-probability estimation. The particularity of these studies is that the small pro…