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Asset allocation strategies in the presence of liability constraints
Christian Yann Robert
,
Areski Cousin
,
Ying Jiao
,
Olivier David Zerbib
Insurance: Mathematics and Economics, 2016, 70, pp.327-338
Article dans une revue
hal-02006791v1
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Chapter 1: Modeling and Forcasting Mortality with Machine Learning Approaches (with Q. Guibert and P. Piette) and Chapter 7: Measuring the Impact of a Binary Variable on a Quantitative Response in a Non Parametric Framework (with A. Wabo and M. de Lussac)
Frédéric Planchet
,
Christian Y. Robert
Insurance data analytics : some case studies of advanced algorithms and applications, Economica, 2020, 2717871373
Chapitre d'ouvrage
hal-02958662v1
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A characterization of the asymptotic cluster size distribution of extremes values for Poisson-Voronoi and Poisson-Delaunay tessellations
Christian Y. Robert
GT “Valeurs Extrêmes”, Apr 2016, Paris, France
Communication dans un congrès
hal-02014640v1
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Rare-event asymptotics for the number of exceedances of multiplicative factor models
Christian Yann Robert
Extremes, 2015, 18 (3), pp.511-527
Article dans une revue
hal-02006782v1
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On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims
Christian Yann Robert
Journal of Applied Probability, 2014, 51 (03), pp.874-879
Article dans une revue
hal-02006620v1
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Incomplete data, Machine Learning and Insurance, A research project on data science
Christian Y. Robert
ISFA-COLUMBIA Workshop, Jun 2016, Lyon, France
Communication dans un congrès
hal-02014727v1
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A characterization of the asymptotic cluster size distribution of extremes values for Poisson-Voronoi and Poisson-Delaunay tessellations
Christian Y. Robert
Workshop Extremes, Copulas and Actuarial Science, Feb 2016, Marseille, France
Communication dans un congrès
hal-02014770v1
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Credit risk valuation with rating transitions and partial information
Christian Y. Robert
Closing Conference Thematic Semester on “Information in Finance and Insurance”, Jun 2015, Paris, France
Communication dans un congrès
hal-02014772v1
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A characterization of the asymptotic cluster size distribution of extremes values for Poisson-Voronoi and Poisson-Delaunay tessellations
Christian Y. Robert
Groupe de travail Dépendance IHP, Jan 2017, Paris, France
Communication dans un congrès
hal-02014604v1
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Geometric ergodicity for some space–time max-stable Markov chains
Christian Yann Robert
,
Erwan Koch
Statistics and Probability Letters, 2019, 145, pp.43-49
Article dans une revue
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Systemic tail risk distribution
Christian Y. Robert
Summer School Risk measure and Optimization in Finance and Insurance, Jun 2015, pekin, China
Communication dans un congrès
hal-02014734v1
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Non parametric individual claims reserving
Christian Y. Robert
Séminaire de mathématiques actuarielles et financières, Oct 2017, Quebec, Canada
Communication dans un congrès
hal-02014745v1
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Joint asymptotic distributions of smallest and largest insurance claims
Hansjörg Albrecher
,
Christian Y. Robert
,
Jef L. Teugels
Article dans une revue
hal-01294387v1
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New efficient estimators in rare event simulation with heavy tails
Christian Yann Robert
,
Quang Huy Nguyen
Article dans une revue
hal-02006632v1
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Systemic Tail Risk Distribution
Christian Yann Robert
,
Alexis Bienvenüe
Annals of Economics and Statistics, 2016
Article dans une revue
hal-02006788v1
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Systemic tail risk distribution
Christian Y. Robert
Séminaire de statistique FSJES-Souissi, Jan 2017, Rabat, Morocco
Communication dans un congrès
hal-02014751v1
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Space‒time max-stable models with spectral separability
Christian Yann Robert
,
Paul Embrechts
,
Erwan Koch
Advances in Applied Probability, 2016, 48 (A), pp.77-97
Article dans une revue
hal-02006784v1
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Non parametric individual claims reserving
Christian Y. Robert
Workshop on « Data science in Finance and Insurance » ISBA (UCL), Sep 2017, Jena, Germany
Communication dans un congrès
hal-02014718v1
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A characterization of the asymptotic cluster size distribution of extremes values for Poisson-Voronoi and Poisson-Delaunay tessellations
Christian Y. Robert
KAUST University Workshop on Statistics for High-Dimensional and Complex Data, Nov 2016, Djeddah, Saudi Arabia
Communication dans un congrès
hal-02014764v1
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Data science, Apprentissage statistique et données incomplètes en assurance Quelques réflexions
Christian Y. Robert
Wiki Meeting, Jun 2016, Paris, France
Communication dans un congrès
hal-02014624v1
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Ambiguïté et impact sur les prises de décisions en univers incertain
Christian Y. Robert
Journée d’étude de la chaire BNP Paribas Cardif « Management de la Modélisation »,, May 2014, Paris, France
Communication dans un congrès
hal-02014666v1
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Estimation de Volatilité en Présence de Bruit de Microstructure Endogène
Christian Yann Robert
,
Mathieu Rosenbaum
41èmes Journées de Statistique, SFdS, Bordeaux, 2009, Bordeaux, France, France
Communication dans un congrès
inria-00386730v1
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Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models
Christian Yann Robert
,
Hélène Cossette
,
Etienne Marceau
,
Quang Huy Nguyen
Methodology and Computing in Applied Probability, 2017
Article dans une revue
hal-02006795v1
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Distortion risk measures, ambiguity aversion and optimal effort
Christian Robert
,
Pierre-Emmanuel Thérond
Article dans une revue
hal-00813199v1
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CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION
Donatien Hainaut
,
Christian Yann Robert
International Journal of Theoretical and Applied Finance, 2014, 17 (07), pp.1450046
Article dans une revue
hal-02006628v1
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Series expansions for convolutions of Pareto distributions
Christian Yann Robert
,
Quang Huy Nguyen
Article dans une revue
hal-02006775v1
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Infill asymptotics for extreme value estimators of the integral of the index function in C[0,1]
Christian Y. Robert
8ème séminaire Actuariat - Finance, Dec 2017, Le Mans, France
Communication dans un congrès
hal-02014599v1
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Likelihood based inference for high-dimensional extreme value distributions
Christian Y. Robert
Conference in honor of Paul Doukhan, May 2015, Paris, France
Communication dans un congrès
hal-02014658v1
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A central limit theorem for functions of stationary max-stable random fields on R d
Christian Yann Robert
,
Erwan Koch
,
Clément Dombry
Stochastic Processes and their Applications, 2018
Article dans une revue
hal-02006799v1
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Non parametric individual claims reserving
Christian Y. Robert
Workshop on « Data science in Finance and Insurance, Sep 2017, Louvain-La-Neuve, Belgium
Communication dans un congrès
hal-02014723v1
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