3 citations · 9 across the 9 of their papers we have counts for
11 papers
Approximation of stochastic insurer balance-sheet results using signatures of economic scenarios
Hervé Andrès, Alexandre Boumezoued, Arthur Bourdon +1
In the insurance industry, Asset and Liability Management (ALM) models are key tools for numerous applications, including Solvency Capital Requirement (SCR) computation and asset a…
Optimized Multi-Level Monte Carlo Parametrization and Antithetic Sampling for Nested Simulations
Alexandre Boumezoued, Adel Cherchali, Vincent Lemaire +2
Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte C…
The implied volatility surface (also) is path-dependent
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
We propose a new model for the forecasting of both the implied volatility surfaces and the underlying asset price. In the spirit of Guyon and Lekeufack (2023) who are interested in…
Cyber risk modeling using a two-phase Hawkes process with external excitation
Alexandre Boumezoued, Yousra Cherkaoui, Caroline Hillairet
With the growing digital transformation of the worldwide economy, cyber risk has become a major issue. As 1 % of the world's GDP (around $1,000 billion) is allegedly lost to cyberc…
Signature-based validation of real-world economic scenarios
Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chev…
Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient
Hervé Andres, Pierre-Edouard Arrouy, Paul Bonnefoy +2
We propose to take advantage of the common knowledge of the characteristic function of the swap rate process as modelled in the LIBOR Market Model with Stochastic Volatility and Di…
Nonparametric adaptive inference of birth and death models in a large population limit
Alexandre Boumezoued, Marc Hoffmann, Paulien Jeunesse
Motivated by improving mortality tables from human demography databases, we investigate statistical inference of a stochastic age-evolving density of a population alimented by time…
Mortality data reliability in an internal model
Fabrice Balland, Alexandre Boumezoued, Laurent Devineau +2
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned wit…
Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion
Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy +1
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusi…
Population viewpoint on Hawkes processes
Alexandre Boumezoued
This paper focuses on a class of linear Hawkes processes with general immigrants. These are counting processes with shot noise intensity, including self-excited and externally exci…
One-year reserve risk including a tail factor: closed formula and bootstrap approaches
Alexandre Boumezoued, Yoboua Angoua, Laurent Devineau +1
In this paper, we detail the main simulation methods used in practice to measure one-year reserve risk, and describe the bootstrap method providing an empirical distribution of the…