Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context

no code implementations • 14 Oct 2024 • Jérôme Lelong, Véronique Maume-Deschamps, William Thevenot

We consider optimal allocation problems with Conditional Value-At-Risk (CVaR) constraint.

Portfolio Optimization

Estimation of multivariate generalized gamma convolutions through Laguerre expansions

no code implementations • 4 Mar 2021 • Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps, Didier Rullière

The generalized gamma convolutions class of distributions appeared in Thorin's work while looking for the infinite divisibility of the log-Normal and Pareto distributions.

Statistics Theory Statistics Theory 62H12, 60E07 (Primary) 60E10 (Secondary)

On quantile oriented sensitivity analysis

no code implementations • 11 Feb 2021 • Kevin Elie-Dit-Cosaque, Véronique Maume-Deschamps

We propose to study quantile oriented sensitivity indices (QOSA indices) and quantile oriented Shapley effects (QOSE).

Methodology Probability

Pricing foreseeable and unforeseeable risks in insurance portfolios

no code implementations • 15 Jul 2020 • Weihong Ni, Corina Constantinescu, Alfredo Egídio dos Reis, Véronique Maume-Deschamps

In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones.

Dependence structure estimation using Copula Recursive Trees

no code implementations • 6 May 2020 • Oskar Laverny, Esterina Masiello, Véronique Maume-Deschamps, Didier Rullière

We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators.

Dimensionality Reduction Statistics Theory Statistics Theory