Sélection de publications

Ailliot P., Thompson C., Thomson P., Mixed methods for fitting the GEV distribution. Water Resources Research 47, W0551, (2011)

Armel K., Planchet F., Kamega A., Quelle structure de dépendance pour un générateur de scénarios économiques en assusrance ? Impact sur le besoin en capital. Bull. Français d'Actuariat, Vol. 11, n° 22 (2011)

As Soulaimani, S.; Quincampoix, M.; Sorin, S. Repeated games and qualitative differential games: approachability and comparison of strategies. SIAM J. Control Optim. 48 (2009), no. 4, 2461–2479

Buckdahn, R.; Hu, Y. Hedging contingent claims for a large investor in an incomplete market. Adv. in Appl. Probab. 30 (1998), no. 1, 239–255

Buckdahn, R.; Quincampoix, M.; Rainer, C.; Teichmann, J. Another proof for the equivalence between invariance of closed sets with respect to stochastic and deterministic systems. Bull. Sci. Math. 134 (2010), no. 2, 207–214

Buckdahn, R.; Li, J. Peng, S. Mean-field backward stochastic differential equations and related partial differential equations. Stochastic Process. Appl. 119 (2009), no. 10, 3133–3154.

Bai, XuePeng; Buckdahn, R. Inf-convolution of G-expectations. Sci. China Math. 53 (2010), no. 8, 1957–1970,

Cardaliaguet, P.; Quincampoix, M. Deterministic differential games under probability knowledge of initial condition. Int. Game Theory Rev. 10 (2008), no. 1, 1–16.

Cardaliaguet, P.; Rainer, C. On a continuous-time game with incomplete information. Math. Oper. Res. 34 (2009), no. 4, 769–794,

Cardaliaguet, P.; Rainer, C. Stochastic differential games with asymmetric information. Appl. Math. Optim. 59 (2009), no. 1, 1–36.

Corlosquet-Habart M., Janssen J., Lefevre C., Manca R., The impact of a pandemic event on mortality risk for protection insurance, Applied Stochastic Models and Data Analysis, Rome, Italy, June 7 - 10, 2011

Corlosquet-Habart M., Janssen J., Manca, R., Modélisation stochastique du risque de pandémie, Stratégies de couverture et d'assurance, Ed. Lavoisier (2012)

Gaitsgory, V.; Quincampoix, M. Linear programming approach to deterministic infinite horizon optimal control problems with discounting. SIAM J. Control Optim. 48 (2009), no. 4, 2480–2512.

Goreac D., Insurance, Reinsurance and Dividend Payment, 2010, arXiv:0804.3900

Habart M., Lenca P., The need to assess and to manage the risk of avian in influenza in insurance business, International Workshop on Applied Probability, Compiègne, France, 7-10 July, 2008.

Habart M., Lenca P., Hillion A., Modelling the Spread of Pandemic Influenza for Insurance Industry, Applied Stochastic Models and Data Analysis, Vilnius, Lithuania, June 30 - July 3, 2009

Habart M., Taking into account the pandemic risk in a partial internal model, Bulletin Français d'Actuariat, vol. 11, n°20, / juillet-décembre 2010. pp 101-138.

Hénaff, P. Hedging exotic derivatives through stochastic optimization. Algorithms and economic dynamics (Geneva, 1996). J. Econom. Dynam. Control 22 (1998), no. 8-9, 1453–1466,

Kala Kamdjoug J.-R., Lenca P. and Barthélemy J.-P., Assessment of actions in a multi-actor and multicriteria framework: application to the refunding of microfinance institutions, Computational Economics, 2007, vol. 29 (2), pp. 213-227.

Kaméga A. Impact de la sursuicidité en Bretagne sur les garanties temporaires de décès, Bulletin Français d'Actuariat, Vol. 8, n°15, janvier-juin 2008, pp. 97-128

Kamega A. Planchet, F Hétérogénéité : mesure du risque d’estimation dans le cas d’une modélisation intégrant des facteurs observables. Bulletin Français d'Actuariat, Vol. 11, n°21

Lenca P., Lallich S., Vaillant B., Construction of an off-centered entropy for the supervised learning of imbalanced classes: Some first results, Communications in Statistics - Theory and Methods, Taylor & Francis, 2010, vol. 39(3), pp. 493-507.

Lenca P., Meyer P., Vaillant B. and Lallich S., On selecting interestingness measures for association rules: user oriented description and multiple criteria decision aid, European Journal of Operational Research, 2008 vol. 184 (2), pp. 610-626.

Paglia A., Phelippe-Guinvarc'h, Tarification des risques en assurance non-vie, une approche par modèle d'apprentissage statistique. Bulletin Français d'Actuariat, Vol. 11, n°22 (2011)

Planchet F. Thérond P. Kamega A. Scénarios économiques en assurance, Économica, Collection Assurance Audit Actuariat (2009)

Souquière. Approximation and representation of the value for some differential games with asymmetric information. Internat. J. Game Theory 39 (2010), no. 4, 699–722.


 

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