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Stochastic Risk vs. Policy Oriented Uncertainties: The Case of the Alpine Crossings

Brunel, Julien - HAL - 2004

uncertainties over forecasting hypotheses. A mean to control such uncertainties lies in the introduction of risk in the Costs …

Persistent link: https://www.econbiz.de/10008792030

The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio

Busse, Marc; Dacorogna, Michel; Kratz, Marie - HAL - 2013

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a … probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance …

Persistent link: https://www.econbiz.de/10010899196

The costs of climate policies in a second best world with labour market

Guivarch, Céline; Crassous, Renaud; Sassi, Olivier; … - HAL - 2009

labour subsidies, which guarantees against the risk of large stabilisation costs in the case of high rigidities of the labour …

Persistent link: https://www.econbiz.de/10010738901

Robustness and sensitivity analysis of risk measurement procedures

Cont, Rama; Deguest, Romain; Scandolo, Giacomo - HAL - 2010

Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from … available observations and computing a ``risk measure" which summarizes the risk of the portfolio. We define the notion of … ``risk measurement procedure", which includes both of these steps and introduce a rigorous framework for studying the …

Persistent link: https://www.econbiz.de/10008793218

The costs of climate policies in a second best world with labour market imperfections

Guivarch, Céline; Crassous, Renaud; Sassi, Olivier; … - HAL - 2011

. Accompanying measures are identified, namely labour subsidies, which guarantees against the risk of large stabilisation costs in …

Persistent link: https://www.econbiz.de/10010899060

Sensitivity analysis of an energy-economy model of the residential building sector

Branger, Frédéric; Giraudet, Louis-Gaëtan; Guivarch, … - HAL - 2014

In this paper, we discuss the results of a sensitivity analysis of Res-IRF, an energy-economy model of the demand for space heating in French dwellings. Res-IRF has been developed for the purpose of increasing behavioral detail in the modeling of energy demand. The different drivers of energy...

Persistent link: https://www.econbiz.de/10010899485

Double Kernel estimation of sensitivities

Elie, Romuald - HAL - 2009

This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...

Persistent link: https://www.econbiz.de/10008790983

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

Benabid, Anas; Bensusan, Harry; Karoui, Nicole El - HAL - 2008

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor...

Persistent link: https://www.econbiz.de/10008793719

Pilotage d'une chaîne logistique par une approche de type MRP dans un environnement partiellement aléatoire

Giard, Vincent; Sali, Mustapha - HAL - 2012

This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...

Persistent link: https://www.econbiz.de/10010899826

Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems

Aloy, Marcel; Truchis, Gilles De - HAL - 2013

Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...

Persistent link: https://www.econbiz.de/10010933833