small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation …

the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston … are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can …

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 …

Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …

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 …

entre management de projet et consensus néerlandais ainsi que les difficultés à concilier logique de projet et logique de …

Parikh and Krasucki [1990] showed that pairwise communication of the value of a function f leads to a consensus about … guarantee consensus in any communication protocol. Krasucki [1996] proved that consensus occurs for any union consistent … maximizes their expected utility, then consensus obtains in any fair protocol for any action space. …

latticial theories of consensus as well as the properties of our three lattices of choice functions, we get results to aggregate …