55 citations · 168 across the 11 of their papers we have counts for
3 papers · 1 filter
Asymptotic multivariate expectiles
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
In [16], a new family of vector-valued risk measures called multivariate expectiles is introduced. In this paper, we focus on the asymptotic behavior of these measures in a multiva…
A risk management approach to capital allocation
Véronique Maume-Deschamps, Didier Rullière, Khalil Said
The European insurance sector will soon be faced with the application of Solvency 2 regulation norms. It will create a real change in risk management practices. The ORSA approach o…
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…