Related papers: On a risk model with tree-structured Poisson Marko…
We take on a Random Matrix theory viewpoint to study the spectrum of certain reversible Markov chains in random environment. As the number of states tends to infinity, we consider the global behavior of the spectrum, and the local behavior…
This study aims to widen the sphere of pratical applicability of the HAC model combined with the ARMA-APARCH volatility forecast model and the extreme values theory. A sequential process of modeling of the VaR of a portfolio based on the…
Distributed models to forecast the spatial and temporal occurrence of rainfall-induced shallow landslides are based on deterministic laws. These models extend spatially the static stability models adopted in geotechnical engineering, and…
This paper considers limit theorems associated with subgraph counts in the age-dependent random connection model. First, we identify regimes where the count of sub-trees converges weakly to a stable random variable under suitable…
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…
With graphical Markov models, one can investigate complex dependences, summarize some results of statistical analyses with graphs and use these graphs to understand implications of well-fitting models. The models have a rich history and…
This paper is the second in a series of papers which combine graphical modelling and marked spatial point patterns. Extending the previous results of \cite Eckardt (2016a), we introduce a marked spatial dependence graph model which depicts…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
By building on a recently introduced genetic-inspired attribute-based conceptual framework for safety risk analysis, we propose a novel methodology to compute construction univariate and bivariate construction safety risk at a situational…
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
We consider random rectangles in $\mathbb{R}^2$ that are distributed according to a Poisson random measure, i.e., independently and uniformly scattered in the plane. The distributions of the length and the width of the rectangles are…
The robustness of an ecological network quantifies the resilience of the ecosystem it represents to species loss. It corresponds to the proportion of species that are disconnected from the rest of the network when extinctions occur…
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…
Random fields are useful mathematical tools for representing natural phenomena with complex dependence structures in space and/or time. In particular, the Gaussian random field is commonly used due to its attractive properties and…
In this article, we develop a new class of multivariate distributions adapted for count data, called Tree P\'olya Splitting. This class results from the combination of a univariate distribution and singular multivariate distributions along…
We estimate the global minimum variance (GMV) portfolio in the high-dimensional case using results from random matrix theory. This approach leads to a shrinkage-type estimator which is distribution-free and it is optimal in the sense of…
A number of methods have been developed to infer differential rates of species diversification through time and among clades using time-calibrated phylogenetic trees. However, we lack a general framework that can delineate and quantify…
To disentangle the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework…
This paper presents a method for incorporating risk aversion into existing decision tree models used in economic evaluations. The method involves applying a probability weighting function based on rank dependent utility theory to reduced…