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Properties of a risk measure derived from the expected area in red
International audience -
SOME LINKS BETWEEN THE NON-ADDITIVE INTEGRATION THEORY AND THE FIELDS OF FINA...
In this dissertation we establish some links between the non-additive integration theory and some useful notions in finance and insurance, such as the notions of... -
Statistical inference of conditionally heteroskedastic models with stable inn...
In this thesis, we focus on the inference of conditionally heteroskedastic models under different assumptions. This thesis consists of three parts and an introductory... -
The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio
Publié in Risks 2, 260-276 (2014). DOI : https://doi.org/10.3390/risks2030260 -
What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Publié in Journal of Risk 18:2, 31-60 (2015). DOI : https://doi.org/10.21314/jor.2015.318 -
Impact of Climate Change on HeatWave Risk
International audience
