Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence.

Convex body, Covariance matrix, Dependence, Log-concave distribution, Operator norm, Random matrix, Sherman–Morrison formula, Singular value, Thin-shell inequality

Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management.

Bandwidth selection, Brownian motion, Copula, Copule, Dependence, Dépendance, Electricity markets, Estimateur à polynômes locaux, Estimation non paramétrique, Finance mathématique, Gestion des risques, High frequency statistics, Intensité stochastique, Inégalité oracle, Local polynomial estimation, Marchés de l'électricité, Mathematical finance, Mouvement Brownien, Non parametric estimation, Oracle inequality, Pics, Poisson process, Processus de Poisson, Production éolienne, Risk management, Semimartingale, Spikes, Statistique haute fréquence, Stochastic intensity, Sélection de fenêtre, Wind production

An Analysis of the Public Financial Support Eligibility Rule for French Dependent Elders with Alzheimer’s Disease.

Alzheimer’s disease, dependence, informal care

Are public subsidies effective to reduce emergency care? Evidence from the PLASA study.

Dependence, Emergency care use, Instrumental variables, Public subsidy

Lévy Processes in Finance: Inverse Problems and Dependence Modelling.

Calibration, Copulas, Copules, Dependence, Dépendance, Entropie relative, Ill-posed problems, Inverse problems, Lévy processes, Option pricing, Problèmes inverses, Problèmes mal posés, Processus de Lévy, Produits dérivés, Regularization, Relative entropy, Régularisation

Dependency structures and boundary results with applications to insurance finance.

Archimedean copulas, Assurance, Clayton copula, Copulas, Copule de Clayton, Copules, Copules d'Archimède, Credit risk, Dependence, Dépendance, Dépendance de queue, Extremes, Finance, Flood, Heat wave, Inondation, Insurance, Risk, Risque, Risque de crédit, Storms, Tail dependence, Tempêtes, Vague de chaleur

Competition, price and quality of care in EHPAD in France: Micro-econometric analyses.

Competition, Concurrence, Dependence, Dépendance, Econometrics, Economie de la santé, Econométrie, Efficacité, Efficiency, Etablissement d’hébergement pour personnes âgées dépendantes, Health economics, Nursing homes, Quality of care, Qualité des soins

Modeling Joint Lives within Families.

Annuities, Collaborative data, Dependence, Family history, Genealogy, Grandparents-grandchildren, Information, Joint life insurance, Parents-children, Whole life insurance

Statistical inference with incomplete and high-dimensional data - modeling polytraumatized patients.

Algorithmes EM, Analyse de régression, Dependence, Dépendance (statistique), EM Algorithms, Generalized Linear Models, Medical Statistics, Missing Observations, Modèles linéaires généralisés, Observations manquantes (statistique), Regression Analysis, Statistique médicale

Ruin probabilities in models with a Markov chain dependence structure.

Density satisfying ODE with constant coefficients, Dependence, Markov chain, Random walk, Rational Laplace transform, Ruin probability

Dependency models in risk theory.

Allocation de capital, Capital allocation, Copulas, Copules, Dependence, Discounted aggregate claims, Dépendance, Environnement markovien, Markovian environment, Risk theory, Ruin theory, Somme de valeurs présentes, Théorie de la ruine, Théorie du risque

Solvency 2: a real advance?

Copula, Copule, Dependence, Dépendance, Gestion des risques, Mesure de risque, Risk management, Risk measure, Solvabilité, Solvency