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Documents  91B30 | enregistrements trouvés : 23

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- xi; 402 p.
ISBN 978-2-7108-0965-4

Localisation : Colloque 1er étage (MARS)

risque # théorie de la ruine # copule # risque multiple # mesure du risque # assurance # risque alimentaire # construction digue

91B30 ; 62N05 ; 90B25 ; 90C09

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Localisation : Colloque 1er étage (MARS)

risque # théorie de la ruine # copule # risque multiple # mesure du risque # assurance # risque alimentaire # construction digue

91B30 ; 62N05 ; 90B25 ; 90C09

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- viii; 80 p.
ISBN 978-3-540-75258-5

Localisation : Colloque 1er étage (PARI)

finance # programmation stochastique # programmation en espace abstrait # théorie du risque # dualité # théorie de la décision

90C15 ; 90C48 ; 91B30 ; 90C46 ; 91-06 ; 91B28 ; 00B25

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- 306 p.
ISBN 978-3-540-22953-7

Lecture notes in mathematics , 1856

Localisation : Collection 1er étage

contrôle stochastique # équation différentielle stochastique retrograde # finance # marché financier # risque # banqueroute

60-06 ; 91B28 ; 91B30 ; 60H10 ; 60H15 ; 93E20 ; 93E11

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- 272 p.
ISBN 978-0-8218-3466-4

Contemporary mathematics , 0336

Localisation : Collection 1er étage

analyse stochastique # modèle stochastique # processus stochastique # mathématique financière # intégrale stochastique # équilibre # entropie # risque de crédit # EDP stochastique

60-06 ; 91-06 ; 60E15 ; 60F10 ; 60G15 ; 60G50 ; 60H05 ; 60H10 ; 60H15 ; 60J60 ; 91B26 ; 91B30

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Research talks

The term ‘Public Access Defibrillation’ (PAD) is referred to programs based on the placement of Automated External Defibrillators (AED) in key locations along cities’ territory together with the development of a training plan for users (first responders). PAD programs are considered necessary since time for intervention in cases of sudden cardiac arrest outside of a medical environment (out-of-hospital cardiocirculatory arrest, OHCA) is strongly limited: survival potential decreases from a 67% baseline by 7 to 10% for each minute of delay in first defibrillation. However, it is widely recognized that current PAD performance is largely below its full potential. We provide a Bayesian spatio-temporal statistical model for predidicting OHCAs. Then we construct a risk map for Ticino, adjusted for demographic covariates, that explains and forecasts the spatial distribution of OHCAs, their temporal dynamics, and how the spatial distribution changes over time. The objective is twofold: to efficiently estimate, in each area of interest, the occurrence intensity of the OHCA event and to suggest a new optimized distribution of AEDs that accounts for population exposure to the geographic risk of OHCA occurrence and that includes both displacement of current devices and installation of new ones. The term ‘Public Access Defibrillation’ (PAD) is referred to programs based on the placement of Automated External Defibrillators (AED) in key locations along cities’ territory together with the development of a training plan for users (first responders). PAD programs are considered necessary since time for intervention in cases of sudden cardiac arrest outside of a medical environment (out-of-hospital cardiocirculatory arrest, OHCA) is strongly ...

62F15 ; 62P10 ; 62H11 ; 91B30

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Research talks;Mathematics in Science and Technology

Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the development of a new field of managerial science known as Real Options.
The use of Real Option techniques incorporates also the value of flexibility and gives a broader view of many business decisions that brings in techniques from quantitative finance and risk management. Such techniques are now part of the decision making process of many corporations and require a substantial amount of mathematical background. Yet, there has been substantial debate concerning the use of risk neutral pricing and hedging arguments to the context of project evaluation. We discuss some alternatives to risk neutral pricing that could be suitable to evaluation of projects in a realistic context with special attention to projects dependent on commodities and non-hedgeable uncertainties. More precisely, we make use of a variant of the hedged Monte-Carlo method of Potters, Bouchaud and Sestovic to tackle strategic decisions. Furthermore, we extend this to different investor risk profiles. This is joint work with Edgardo Brigatti, Felipe Macias, and Max O. de Souza.
If time allows we shall also discuss the situation when the historical data for the project evaluation is very limited and we can make use of certain symmetries of the problem to perform (with good estimates) a nonintrusive stratified resampling of the data. This is joint work with E. Gobet and G. Liu.
Industrial strategic decisions have evolved tremendously in the last decades towards a higher degree of quantitative analysis. Such decisions require taking into account a large number of uncertain variables and volatile scenarios, much like financial market investments. Furthermore, they can be evaluated by comparing to portfolios of investments in financial assets such as in stocks, derivatives and commodity futures. This revolution led to the ...

91B26 ; 91B06 ; 91B30 ; 91B24

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Research talks;Probability and Statistics

This paper introduces a class of Schur-constant survival models, of dimension n, for arithmetic non-negative random variables. Such a model is defined through a univariate survival function that is shown to be n-monotone. Two general representations are obtained, by conditioning on the sum of the n variables or through a doubly mixed multinomial distribution. Several other properties including correlation measures are derived. Three processes in insurance theory are discussed for which the claim interarrival periods form a Schur-constant model.
This is a joint work with A. Castaner, M.M. Claramunt and S. Loisel.

Keywords: Schur-constant property; survival function; multiple monotonicity; mixed multinomial distribution; insurance risk theory
This paper introduces a class of Schur-constant survival models, of dimension n, for arithmetic non-negative random variables. Such a model is defined through a univariate survival function that is shown to be n-monotone. Two general representations are obtained, by conditioning on the sum of the n variables or through a doubly mixed multinomial distribution. Several other properties including correlation measures are derived. Three processes in ...

60E05 ; 91B30

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Research talks;Probability and Statistics

We study a renewal risk model in which the surplus process of the insurance company is modeled by a compound fractional Poisson process. We establish the long-range dependence property of this non-stationary process. Some results for the ruin probabilities are presented in various assumptions on the distribution of the claim sizes.

60G22 ; 60G55 ; 91B30 ; 60K05 ; 33E12

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Research talks;Analysis and its Applications

We investigate a method based on risk minimization to hedge observable but non-tradable source of risk on financial or energy markets. The optimal portfolio strategy is obtained by minimizing dynamically the Conditional Value-at-Risk (CVaR) using three main tools: a stochastic approximation algorithm, optimal quantization and variance reduction techniques (importance sampling (IS) and linear control variable (LCV)) as the quantities of interest are naturally related to rare events. We illustrate our approach by considering several portfolios in connection with energy markets.

Keywords : VaR, CVaR, Stochastic Approximation, Robbins-Monro algorithm, Quantification
We investigate a method based on risk minimization to hedge observable but non-tradable source of risk on financial or energy markets. The optimal portfolio strategy is obtained by minimizing dynamically the Conditional Value-at-Risk (CVaR) using three main tools: a stochastic approximation algorithm, optimal quantization and variance reduction techniques (importance sampling (IS) and linear control variable (LCV)) as the quantities of interest ...

91G70 ; 91B30 ; 62L20

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- xii; 500 p.
ISBN 978-1-107-07693-8

International series on actuarial science

Localisation : Ouvrage RdC (HIND)

assurance de dommages # méthode de provisionnement # théorie du risque # mathématiques financières

91-01 ; 91B30 ; 62P05

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- xxviii; 964 p.
ISBN 978-1-107-02343-7

Localisation : Ouvrage RdC (HAND)

finances internationales # risque financier # modèles économétriques

91-00 ; 91BXX ; 91B30

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- xv; 436 p.
ISBN 978-0-898716-87-0

MPS-SIAM series on optimization

Localisation : Ouvrage RdC (SHAP)

optimisation # programmation stochastique # théorie du risque # approximation moyenne d'échantillon # inférene statistique

90-02 ; 90C15 ; 91B30 ; 65C05

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- xi; 219 p.
ISBN 978-3-642-28438-0

EAA series

Localisation : Ouvrage RdC (KOLL)

statistiques # mathématiques économiques # distribution # assurance # chaîne de Markov

60G35 ; 62J20 ; 60J10 ; 60J27 ; 60J65 ; 60K30 ; 60J70 ; 91-02 ; 62P05 ; 91B30

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- vii; 171 p.
ISBN 978-1-107-60844-3

International series on actuarial science

Localisation : Ouvrage RdC (DICK)

assurance # théorie du risque # problèmes # exercice # solution

91-01 ; 91B30 ; 00A07

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- ix; 254 p.
ISBN 978-3-642-22146-0

Lecture notes in mathematics , 2033

Localisation : Collection 1er étage

probabilités # inégalités # matrice éparse # minimisation du risque empirique # processus de Rademacher

62J99 ; 62H12 ; 60B20 ; 60G99 ; 91-02 ; 91B30 ; 62H30 ; 90C08 ; 60G35

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- xii; 375 p.
ISBN 978-0-387-87861-4

Problem books in mathematics

Localisation : Ouvrage RdC (THEO)

processus stochastiques # mathématiques financières # risque # processus gaussien # martingale # processus de Markov # intégrale de îto

60-XX ; 60Gxx ; 60G07 ; 60H10 ; 91B30 ; 60-01 ; 60G05

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- xv, 345 p.
ISBN 978-3-540-92899-7

EAA Lecture Notes

Localisation : Ouvrage RdC (SUND)

probabilités # risque # distribution de Poisson # convolution # distibution de comptes # distribution composée # transformation de De Pril # recursion

60-02 ; 60E05 ; 91B30

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- xv, 432 p.
ISBN 978-3-540-88232-9

Universitext

Localisation : Ouvrage RdC (MIKO)

assurance # risque # ruine

91B30 ; 60G35 ; 60K10

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- ix; 596 p.
ISBN 978-2-7178-4860-1

Économie et statistiques avancées

Localisation : Ouvrage RdC (DENU)

91B30

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