14 citations · 31 across the 5 of their papers we have counts for
5 papers
Risk assessment using suprema data
Christophette Blanchet-Scalliet, Diana Dorobantu, Laura Gay +2
This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such…
First passage time law for some jump-diffusion processes : existence of a density
Laure Coutin, Diana Dorobantu
Let (Xt, t >= 0) be a diffusion process with jumps, sum of a Brownian motion with drift and a compound Poisson process. We consider T_x the first hitting time of a fixed level x >…
An extension of Davis and Lo's contagion model
Didier Rullière, Diana Dorobantu, Areski Cousin
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of…
A class of optimal stopping problems for Markov processes
Diana Dorobantu
Our purpose is to study a particular class of optimal stopping problems for Markov processes. We justify the value function convexity and we deduce that there exists a boundary fun…
Optimal stopping for Lévy processes and affine functions
Diana Dorobantu
This paper studies an optimal stopping problem for Lévy processes. We give a justification of the form of the Snell envelope using standard results of optimal stopping. We also jus…