Estimating L-functionals for heavy-tailed distributions and application.
Estimation multidimensionnelle des contrôles et de l'effet moyen d'une mesure de sécurité routière
Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast
2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.We estimate a regression function on a point process by the Tukey regressogram method in a general setting and we give an application in the case of a Risk Process. We show among other things that, in classical Poisson model with parameter r, if W is the amount of the claim with finite espectation E(W) = m, Sn (resp. Rn) the accumulated interval waiting time for successive claims (resp. the aggregate claims amount) up to the...
Evidence for nonlinear asymmetric causality in US inflation, metal, and stock returns.
EWMA historical volatility estimators
Extremal moment methods and stochastic orders.
Extremal moment methods and stochastic orders. Application in actuarial science.