Cette étude présente des outils de mesures de risque d'estimation à partir d'un modèle de Brass (modèle à référence externe). Ces outils sont dans un premier temps appliqués à la mesure du risque associé à la construction d'une loi d'expérience à partir d'une population globale (i....

An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP, through the estimation of economic indicators plugged...

An empirical forecast accuracy comparison of the non-parametric method, known as multivariate Nearest Neighbor method, with parametric VAR modelling is conducted on the euro area GDP. Using both methods for nowcasting and forecasting the GDP, through the estimation of economic indicators plugged...

We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from...

The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities. So-called partly shifted risk processes are introduced, and used to derive an explicit...