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...

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

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 <italic>n</italic> firms that may default directly or may be infected by other defaulting firms (a domino effect also being...

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...

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...

We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas. We extend the $r$-fold composition of the...

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...

This paper presents the impact of a class of transformations of copulas in their upper and lower multivariate tail dependence coefficients. In particular we focus on multivariate Archimedean copulas. In the first part of this paper, we calculate multivariate tail dependence coefficients when the...

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...