0000000000758767

AUTHOR

Stéphane Loisel

showing 2 related works from this author

Towards the developpement of improved cultivars of Saccharina latissima for large-scale cultivation

2018

International audience

[SDV] Life Sciences [q-bio][SDE] Environmental Sciences[SDV]Life Sciences [q-bio][SDE]Environmental Sciences[SDV.BV]Life Sciences [q-bio]/Vegetal Biology[SDV.BV] Life Sciences [q-bio]/Vegetal BiologyComputingMilieux_MISCELLANEOUS
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Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation

2013

International audience; In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative. Explicit formulas in the case of two branches are obtained for several models independent exponential, correlated Pareto). The asymptotic behavior (as the initial capital goes to infinity) is studied. For higher dimension and several periods, no explicit expression is available. Using a stochastic algorithm, we get estimations of the allocation, compare the different allocatio…

[MATH.MATH-PR]Mathematics [math]/Probability [math.PR]capital allocation[ QFIN.RM ] Quantitative Finance [q-fin]/Risk Management [q-fin.RM][MATH.MATH-PR] Mathematics [math]/Probability [math.PR]risk indicatorsdependent lines of businesscapital allocationdependent lines of businessrisk indicators; dependent lines of business; capital allocation[QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM][QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]risk indicators[ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]
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