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Séminaire du CIMMUL – Alessandro Mutti
septembre 20 @ 13 h 30 min - 14 h 30 min
Multivariate Bernoulli distributions and copulas: Geometrical and algebraic approaches
Alessandro Mutti
Candidat au doctorat, Département de mathématiques pures et appliquées
Politecnico di Torino, Italie
Résumé
Several classes of copulas can be constructed from multivariate Bernoulli distributions: extremal copulas, Farlie-Gumbel-Morgenstern copulas, and their generalizations. In this talk, we will analyze how these copulas inherit the geometrical structure of Bernoulli distributions, underlying the problems that arise as the dimension increases. We will present two approaches to address these issues: we will consider the aggregation of identically distributed risks on the one hand, and we will introduce an algebraic representation of multivariate Bernoulli distributions on the other. In both cases, the goal is to establish bounds for key dependence and risk measures widely used in actuarial science and finance.
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Le séminaire aura lieu au local 3820 du pavillon Alexandre-Vachon et en ligne.
Pour rejoindre la réunion Zoom :
https://ulaval.zoom.us/j/62680136430?pwd=eldBYjdNTG5QR2VxTTFqbVM4UGVRZz09
Meeting ID: 626 8013 6430
Passcode: 693150