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An extension of Davis and Lo's contagion model
Didier Rullière
,
Diana Dorobantu
,
Areski Cousin
Article dans une revue
hal-00374367v2
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A note on the computation of an actuarial Waring formula in the finite-exchangeable case
Areski Cousin
,
Diana Dorobantu
,
Didier Rullière
2011
Pré-publication, Document de travail
hal-00557751v2
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A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Yahia Salhi
Article dans une revue
hal-01258645v1
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Arrêt optimal pour les processus de Markov forts et les fonctions affines
Diana Dorobantu
2008
Autre publication scientifique
hal-00274914v1
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Risky debt and optimal coupon policy and other optimal strategies
Diana Dorobantu
,
Monique Pontier
Stochastic processes and applications to mathematical finance, World scientific, pp.85-95, 2007
Chapitre d'ouvrage
hal-00635660v1
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First passage time density of an Ornstein-Uhlenbeck process with broken drift
Stefan Ankirchner
,
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Laura Gay
Article dans une revue
hal-03159498v1
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Some properties for ν-zeros of Parabolic Cylinder functions
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Benoît Nieto
2023
Pré-publication, Document de travail
hal-03737404v1
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Hitting time for correlated three-dimensional Brownian motion
Christophette Blanchet-Scalliet
,
Areski Cousin
,
Diana Dorobantu
2013
Pré-publication, Document de travail
hal-00846450v2
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Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities
Diana Dorobantu
,
Yahia Salhi
,
Pierre-Emmanuel Thérond
Methodology and Computing in Applied Probability, 2020, 22, pp.711-745
Article dans une revue
hal-01840057v1
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First passage time law for some Lévy processes with compound Poisson : existence of a density
Laure Coutin
,
Diana Dorobantu
Article dans une revue
hal-00980467v1
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A class of optimal stopping problems for Markov processes
Diana Dorobantu
Revue roumaine de mathématiques pures et appliquées, 2011, 4 (56), pp.283-294
Article dans une revue
hal-00325406v1
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Optimal stopping for Lévy processes and affine functions
Diana Dorobantu
2008
Autre publication scientifique
hal-00274545v1
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The density of the ruin time for a renewal-reward process perturbed by a diffusion
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Didier Rullière
Article dans une revue
hal-00625099v3
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The density of the ruin time for a mixed process (Brownian motion and renewal-reward process)
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Didier Rullière
Les journées de Probabilités 2011, Jun 2011, Nancy, France
Communication dans un congrès
hal-00603651v1
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First passage time law for some jump-diffusion processes : existence of a density
Laure Coutin
,
Diana Dorobantu
Article dans une revue
hal-00374879v3
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The density of a passage time for a renewal-reward process perturbed by a diffusion
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Didier Rullière
the 8th world congress in Probability and Statistics, Jul 2012, Istanbul, Turkey
Communication dans un congrès
hal-00727690v1
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Joint Law of an Ornstein-Uhlenbeck Process and its Supremum
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Laura Gay
Article dans une revue
hal-01935756v1
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A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Benoît Nieto
Article dans une revue
hal-03847613v5
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Optimal strategies in a risky debt context
Diana Dorobantu
,
Maria Elvira Mancino
,
Monique Pontier
Article dans une revue
hal-00666737v1
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Risk assessment using suprema data
Christophette Blanchet-Scalliet
,
Diana Dorobantu
,
Laura Gay
,
Véronique Maume-Deschamps
,
Pierre Ribereau
Article dans une revue
hal-01615196v2
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Modélisation du risque de défaut en entreprise
Diana Dorobantu
Mathématiques [math]. Université Paul Sabatier - Toulouse III, 2007. Français. ⟨NNT : ⟩
Thèse
tel-00257243v1
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Valuation of Portfolio Loss Derivatives in An Infectious Model
Areski Cousin
,
Diana Dorobantu
,
Didier Rullière
Perna, Cira; Sibillo, Marilena. Mathematical and Statistical Methods for Actuarial Sciences and Finance, Springer, pp.139-147, 2011, ⟨10.1007/978-88-470-2342-0_17⟩
Chapitre d'ouvrage
istex
hal-00665027v1
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