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 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

Nous définissons une notion d'information d'une variable aléatoire, qui permet en particulier de modéliser les erreurs d'estimation. Nous bâtissons un opérateur d'agrégation d'informations, qui reste cohérent avec la réduction des erreurs d'estimation lors de la réitération...

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 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 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...

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 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...

In a classical risk model under constant interest force, we study the probability that the surplus of an insurance company reaches an upper barrier before a lower barrier. We define this probability as win-first probability. Borrowing ideas from life-insurance theory, hazard rates of the maximum...