34 citations · 64 across the 23 of their papers we have counts for
24 papers
A Kernel Approach to Multivariate Generalized Gammas Convolutions
Léo Gonin, Esterina Masiello, Véronique Maume-Deschamps
We propose a kernel-based estimation framework for Multivariate Generalized Gamma convolutions (MGGC), a class of probability distributions on R d + . MGGC are useful for risk mode…
Recognizing a Spatial Extreme dependence structure: A Deep Learning approach
Manaf Ahmed, Véronique Maume-Deschamps, Pierre Ribereau
Understanding the behaviour of environmental extreme events is crucial for evaluating economic losses, assessing risks, health care and many other aspects. In the spatial context,…
Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps +1
The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions. Although…
Random Forest based Qantile Oriented Sensitivity Analysis indices estimation
Kevin Elie-Dit-Cosaque, Véronique Maume-Deschamps
We propose a random forest based estimation procedure for Quantile Oriented Sensitivity Analysis-QOSA. In order to be efficient, a cross validation step on the leaf size of trees i…
On quantile oriented sensitivity analysis
Kevin Elie-Dit-Cosaque, Véronique Maume-Deschamps
We propose to study quantile oriented sensitivity indices (QOSA indices) and quantile oriented Shapley effects (QOSE). Some theoretical properties of QOSA indices will be given and…
Pricing foreseeable and unforeseeable risks in insurance portfolios
Weihong Ni, Corina Constantinescu, Alfredo Egídio dos Reis +1
In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter…