Séminaire

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 […]

Comportement extrême des mélanges Poissons Samuel Valiquette Postdoctorant, McGill Résumé La distribution de Poisson est couramment utilisée pour modéliser des données de comptage. Cependant, la surdispersion, principalement due à un excès de zéros ou de valeurs extrêmes, compromet les performances de ce modèle. Les mélanges de Poisson offrent une modélisation alternative permettant de surmonter cette […]

A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition Bin Zou University of Connecticut Résumé We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance contracts that are priced using the […]