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		An extension of Davis and Lo's contagion model Didier Rullière , Diana Dorobantu , Areski Cousin Quantitative Finance, 2013, 13 (3), pp.407-420. ⟨10.1080/14697688.2012.727015⟩ Article dans une revue hal-00374367v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Hitting time for correlated three-dimensional Brownian motion Christophette Blanchet-Scalliet , Areski Cousin , Diana Dorobantu 2013 Pré-publication, Document de travail hal-00846450v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		First passage time law for some Lévy processes with compound Poisson : existence of a density Laure Coutin , Diana Dorobantu Bernoulli, 2011, 17 (4), p. 1127-1135. ⟨10.3150/10-BEJ323⟩ Article dans une revue hal-00980467v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives Christophette Blanchet-Scalliet , Diana Dorobantu , Yahia Salhi Methodology and Computing in Applied Probability, 2019, 21 (423-448), ⟨10.1007/s11009-017-9611-2⟩ Article dans une revue hal-01258645v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Arrêt optimal pour les processus de Markov forts et les fonctions affines Diana Dorobantu 2008 Autre publication scientifique hal-00274914v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		First passage time density of an Ornstein-Uhlenbeck process with broken drift Stefan Ankirchner , Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay Stochastic Models, 2022, 38 (2), pp.308-329. ⟨10.1080/15326349.2022.2026790⟩ Article dans une revue hal-03159498v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Some properties for ν-zeros of Parabolic Cylinder functions Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto 2023 Pré-publication, Document de travail hal-03737404v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal stopping for Lévy processes and affine functions Diana Dorobantu 2008 Autre publication scientifique hal-00274545v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		First passage time law for some jump-diffusion processes : existence of a density Laure Coutin , Diana Dorobantu Bernoulli, 2011, 17 (4), pp.1127-1135. ⟨10.3150/10-BEJ323⟩ Article dans une revue hal-00374879v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		The density of the ruin time for a renewal-reward process perturbed by a diffusion Christophette Blanchet-Scalliet , Diana Dorobantu , Didier Rullière Applied Mathematics Letters, 2013, 26 (1), http://dx.doi.org/10.1016/j.aml.2012.04.003. ⟨10.1016/j.aml.2012.04.003⟩ Article dans une revue hal-00625099v3	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Optimal strategies in a risky debt context Diana Dorobantu , Maria Elvira Mancino , Monique Pontier Stochastics: An International Journal of Probability and Stochastic Processes, 2009, 81 (3), pp.269-277. ⟨10.1080/17442500902917433⟩ Article dans une revue hal-00666737v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Modélisation du risque de défaut en entreprise Diana Dorobantu Mathématiques [math]. Université Paul Sabatier - Toulouse III, 2007. Français. ⟨NNT : ⟩ Thèse tel-00257243v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Joint Law of an Ornstein-Uhlenbeck Process and its Supremum Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay Journal of Applied Probability, 2020, 57 (2), pp.541-558. ⟨10.1017/jpr.2020.22⟩ Article dans une revue hal-01935756v1	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		Risk assessment using suprema data Christophette Blanchet-Scalliet , Diana Dorobantu , Laura Gay , Véronique Maume-Deschamps , Pierre Ribereau Stochastic Environmental Research and Risk Assessment, 2018, 32 (10), pp.2839 - 2848. ⟨10.1007/s00477-018-1595-0⟩ Article dans une revue hal-01615196v2	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations Christophette Blanchet-Scalliet , Diana Dorobantu , Benoît Nieto Statistical Inference for Stochastic Processes, 2024, ⟨10.1007/s11203-024-09307-4⟩ Article dans une revue hal-03847613v5	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More
		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	Envoyer sur ORCID Exporter BibTeX XML-TEI Dublin Core DC Terms EndNote DataCite Export avancé Partager Gmail Facebook X LinkedIn More

Filtrer vos résultats

An extension of Davis and Lo's contagion model

A note on the computation of an actuarial Waring formula in the finite-exchangeable case

Hitting time for correlated three-dimensional Brownian motion

Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities

First passage time law for some Lévy processes with compound Poisson : existence of a density

A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives

Arrêt optimal pour les processus de Markov forts et les fonctions affines

Risky debt and optimal coupon policy and other optimal strategies

First passage time density of an Ornstein-Uhlenbeck process with broken drift

Some properties for ν-zeros of Parabolic Cylinder functions

A class of optimal stopping problems for Markov processes

Optimal stopping for Lévy processes and affine functions

First passage time law for some jump-diffusion processes : existence of a density

The density of the ruin time for a renewal-reward process perturbed by a diffusion

The density of the ruin time for a mixed process (Brownian motion and renewal-reward process)

Optimal strategies in a risky debt context

Modélisation du risque de défaut en entreprise

Joint Law of an Ornstein-Uhlenbeck Process and its Supremum

Risk assessment using suprema data

The density of a passage time for a renewal-reward process perturbed by a diffusion

A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations

Valuation of Portfolio Loss Derivatives in An Infectious Model