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Ruin related quantities in a risk model based on time series for count data
Ruin related quantities in a risk model based on time series for count data This abstract describes ... considers various specifications of the general discrete time risk model in which a serial dependence ...- Authors: Etienne Marceau, HELENE COSSETTE, Florent Toureille, Veronique Maume-Deschamps
- Date: Jul 2010
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods>Forecasting
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Rick Models Based on Time Series for Count Random Variables
Based on Time Series for Count Random Variables This is the abstract for the presentation on risk models ... models based on time series for count random variables. Abstract; 14507 11/3/2011 12:38:52 PM ...- Authors: Etienne Marceau, HELENE COSSETTE, Florent Toureille
- Date: Nov 2011
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TVaR-based capital allocation with dependence
consisting of several dependent risks and aims to evaluate the capital allocation for the overall portfolio ... portfolio and the contribution of each risk over their aggregation. Capital Allocation;Tail Risk; 14597 ...- Authors: Etienne Marceau, HELENE COSSETTE
- Date: Jul 2010
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Modeling Insurance Losses Resulting from Natural Catastrophes
abstract of presentation from 39th Actuarial Research Conference, 8/5-7/2004, University of Iowa in Iowa ... Iowa City, Iowa. In this talk, we examine the modeling of insurance losses resulting from natural catastrophes ...- Authors: Etienne Marceau, Mathieu Boudreault, HELENE COSSETTE
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Risk measurement - Finance & Investments