Arthur Charpentier
Université du Québec à Montréal, Mathématics, Faculty Member
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Please be patient while the object screen loads. Changez de vue : Choisir un site
UCL FUNDP FUSL FUCaM. ...
Please be patient while the object screen loads. Changez de vue : Choisir un site
UCL FUNDP FUSL FUCaM. ...
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
Research Interests:
In this paper we suggest several nonparametric quantile estimators based on Beta kernel. They are applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte Carlo based study has shown... more
In this paper we suggest several nonparametric quantile estimators based on Beta kernel. They are applied to transformed data by the generalized Champernowne distribution initially fitted to the data. A Monte Carlo based study has shown that those estimators improve the efficiency of the traditional ones, not only for light tailed distributions, but also for heavy tailed, when the probability
Research Interests:
Research Interests:
INTRODUCTION Copulas are a way of formalising dependence structures of random vectors. Although they have been known about for a long time (Sklar (1959)), they have been rediscovered relatively recently in applied sciences (biostatistics,... more
INTRODUCTION Copulas are a way of formalising dependence structures of random vectors. Although they have been known about for a long time (Sklar (1959)), they have been rediscovered relatively recently in applied sciences (biostatistics, reliability, biology, etc). ...
Research Interests:
Page 1. Arthur CHARPENTIER - Optimal reinsurance with ruin probability target Optimal reinsurance with ruin probability target Arthur Charpentier 7th International Workshop on Rare Event Simulation, Sept. 2008 http... more
Page 1. Arthur CHARPENTIER - Optimal reinsurance with ruin probability target Optimal reinsurance with ruin probability target Arthur Charpentier 7th International Workshop on Rare Event Simulation, Sept. 2008 http ://blogperso.univ-rennes1.fr/arthur.charpentier/ 1 Page 2. ...
In complete markets, pricing financial products is easy (at least from a theoretical point of view). In incomplete markets (eg when the underlying process has jumps with random size, such has an insurance loss process), the price is no... more
In complete markets, pricing financial products is easy (at least from a theoretical point of view). In incomplete markets (eg when the underlying process has jumps with random size, such has an insurance loss process), the price is no longer unique. So on the one hand, it ...