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78 résultats
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Inference for extremal regression with dependent heavy-tailed data2023
Pré-publication, Document de travail
hal-03612202v3
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Estimation of the parameters of a Markov-modulated loss process in insuranceInsurance: Mathematics and Economics, 2013, 53, pp.388-404. ⟨10.1016/j.insmatheco.2013.07.003⟩
Article dans une revue
hal-00589696v1
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Nonparametric extreme conditional expectile estimationScandinavian Journal of Statistics, 2022, 49 (1), pp.78-115. ⟨10.1111/sjos.12502⟩
Article dans une revue
hal-02114255v3
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Extreme Lp-quantile kernel regressionAdvances in Contemporary Statistics and Econometrics, Springer, pp.197-219, 2021, ⟨10.1007/978-3-030-73249-3_11⟩
Chapitre d'ouvrage
hal-03182032v1
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Estimating an endpoint using high order momentsEVA 2011 - 7th International Conference on Extreme Value Analysis, Jun 2011, Lyon, France
Communication dans un congrès
hal-00847585v1
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Estimation de point terminal dans le domaine d'attraction de Weibull par une méthode des moments d'ordre élevé44e Journées de Statistique, May 2012, Bruxelles, Belgique
Communication dans un congrès
hal-00801381v1
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Estimating a frontier function using a high-order moments method31st European Meeting of Statisticians, Jul 2017, Helsinki, Finland
Communication dans un congrès
hal-01571126v1
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Joint inference on extreme expectiles for multivariate heavy-tailed distributions2021
Pré-publication, Document de travail
hal-02902667v3
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Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles2023
Pré-publication, Document de travail
hal-04097302v2
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Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks2023
Pré-publication, Document de travail
hal-04103508v1
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Extreme geometric quantiles in a multivariate regular variation frameworkExtremes, 2015, 18 (4), pp.629-663. ⟨10.1007/s10687-015-0226-0⟩
Article dans une revue
hal-01155112v2
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Estimation of tail risk based on extreme expectilesWorkshop Extremes - Copulas - Actuarial science, Feb 2016, Luminy, France
Communication dans un congrès
hal-01311778v1
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Estimating the parameters of a seasonal Markov-modulated Poisson processStatistical Methodology, 2015, 26, pp.103-123. ⟨10.1016/j.stamet.2015.04.003⟩
Article dans une revue
hal-00965279v2
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An integrated functional Weissman estimator for conditional extreme quantilesREVSTAT - Statistical Journal, 2019, 17 (1), pp.109-144
Article dans une revue
hal-01362839v2
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Transformations to symmetry based on the probability weighted characteristic functionKybernetika, 2015, 51 (4), pp.571--587. ⟨10.14736/kyb-2015-4-0571⟩
Article dans une revue
hal-01457397v1
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On the asymptotic behaviour of extreme geometric quantilesWorkshop on Extreme Value Theory, with an emphasis on spatial and temporal aspects, Nov 2014, Besançon, France
Communication dans un congrès
hal-01086054v1
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Estimating an endpoint with high order momentsTest, 2012, 21 (4), pp.697-729. ⟨10.1007/s11749-011-0277-8⟩
Article dans une revue
inria-00596979v1
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On the study of extremes with dependent random right-censoring2017
Pré-publication, Document de travail
hal-01450775v3
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Estimation of the conditional tail index using a smoothed local Hill estimatorExtremes, 2014, 17 (1), pp.45-75
Article dans une revue
hal-00739454v2
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Extreme versions of Wang risk measures and their estimationThe 9th international conference on Extreme Value Analysis, Jun 2015, Ann Arbor, United States
Communication dans un congrès
hal-01169904v1
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Optimal weighted pooling for inference about the tail index and extreme quantiles2022
Pré-publication, Document de travail
hal-03435415v3
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Extremiles: A new perspective on asymmetric least squaresJournal of the American Statistical Association, 2019, 114 (527), pp.1366-1381. ⟨10.1080/01621459.2018.1498348⟩
Article dans une revue
hal-03109979v1
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Nonparametric extreme conditional expectile estimationCMStatistics 2019 - 12th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2019, London, United Kingdom
Communication dans un congrès
hal-02413682v1
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Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression modelsInsurance Data Science Conference 2022, Jun 2022, Milan, Italy. pp.1-65
Communication dans un congrès
hal-03683646v1
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Some negative results on extreme multivariate quantiles defined through convex optimisation 10th International Conference of the ERCIM WG on Computing and Statistics, Dec 2017, London, United Kingdom
Communication dans un congrès
hal-01667186v1
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Extreme versions of Wang risk measures and their estimation8th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2015, London, United Kingdom
Communication dans un congrès
hal-01258640v1
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Extreme versions of Wang risk measures and their estimation for heavy-tailed distributions12th International Conference on Operations Research, Mar 2016, La Havane, Cuba
Communication dans un congrès
hal-01313675v1
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Analyzing and Predicting CAT Bond Premiums: a Financial Loss Premium Principle and Extreme Value ModelingASTIN Bulletin, 2018, 48 (1), pp.375-411
Article dans une revue
hal-04464416v1
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Extreme M-quantiles as risk measures 10th International Conference of the ERCIM WG on Computing and Statistics, Dec 2017, London, United Kingdom
Communication dans un congrès
hal-01667201v1
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Nonparametric extreme conditional expectile estimationEVA 2019 - 11th International Conference on Extreme Value Analysis, Jul 2019, Zagreb, Croatia. pp.1
Communication dans un congrès
hal-02186705v1
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