Cet article propose un algorithme qui vise à résoudre les problèmes d'optimisation dans le cas où la fonction objectif est estimée à l'aide de simulations stochastiques, en présence de contraintes donnant a priori le domaine d'optimisation de cette fonction. L'algorithme traite ainsi un...

We present in this paper the actuarial Waring formula, which is used in several fields, like life-insurance or credit risk. In a particular framework where considered random variables are exchangeable, we show that some problems can occur when using this formula. We propose alternative...

We consider the problem of the global minimization of a function observed with noise. This problem occurs for example when the objective function is estimated through stochastic simulations. We propose an original method for iteratively partitioning the search domain when this area is a nite...

Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x

In this paper, we propose a parametric model for multivariate distributions. The model is based on distortion functions, i.e. some transformations of a multivariate distribution which permit to generate new families of multivariate distribution functions. We derive some properties of considered...

The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by other defaulting firms (a domino effect being also...

Calculating return periods and critical layers (i.e., multivariate quantile curves) in a multivariate environment is a di cult problem. A possible consistent theoretical framework for the calculation of the return period, in a multi-dimensional environment, is essentially based on the notion of...

We consider the problem of the global minimization of a function observed with noise. This problem occurs for example when the objective function is estimated through stochastic simulations. We propose an original method for iteratively partitioning the search domain when this area is a nite...

Dans cet article, nous mettons en évidence les principales composantes d'un générateur de scénarios économiques (GSE) que ce soit au niveau de sa conception théorique ou au niveau de sa mise en oeuvre pratique. Le choix de ces composantes est supposé être lié à la vocation finale du...

Let $X$ be a mixed process, sum of a brownian motion and a renewal-reward process, and $\tau_{x}$ be the first passage time of a fixed level $x