Christian Y. Robert

Available identifiers

zbMath Open robert.christian-yannMaRDI QIDQ386277

List of research outcomes

Publication	Date of Publication	Type
Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model	2023-10-12	Paper
HOW LARGE IS THE JUMP DISCONTINUITY IN THE DIFFUSION COEFFICIENT OF A TIME-HOMOGENEOUS DIFFUSION?	2023-08-15	Paper
Tail index partition-based rules extraction with application to tornado damage insurance	2023-07-13	Paper
From risk reduction to risk elimination by conditional mean risk sharing of independent losses	2023-02-03	Paper
MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS	2022-11-04	Paper
Fixed-domain asymptotic properties of maximum composite likelihood estimators for max-stable Brown-Resnick random fields	2022-09-19	Paper
Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses	2022-07-28	Paper
Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields	2022-07-08	Paper
Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses	2022-07-07	Paper
Stochastic derivative estimation for max-stable random fields	2022-06-08	Paper
Testing for changes in the tail behavior of Brown-Resnick Pareto processes	2022-01-17	Paper
Corrigendum and addendum to: ``From risk sharing to pure premium for a large number of heterogeneous losses	2021-11-19	Paper
Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction	2021-10-28	Paper
Stop-loss protection for a large P2P insurance pool	2021-10-19	Paper
Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs	2021-05-06	Paper
From risk sharing to pure premium for a large number of heterogeneous losses	2021-03-17	Paper
LARGE-LOSS BEHAVIOR OF CONDITIONAL MEAN RISK SHARING	2020-12-13	Paper
Power variations for a class of Brown-Resnick processes	2020-06-24	Paper
Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models	2019-12-19	Paper
Space‒time max-stable models with spectral separability	2019-09-23	Paper
A central limit theorem for functions of stationary max-stable random fields on \(\mathbb{R}^d\)	2019-09-19	Paper
Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions	2019-07-02	Paper
Geometric ergodicity for some space-time max-stable Markov chains	2019-02-20	Paper
Cluster size distributions of extreme values for the Poisson-Voronoi tessellation	2018-12-17	Paper
Stochastic derivative estimation for max-stable random fields	2018-12-14	Paper
Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions	2017-03-03	Paper
Asset allocation strategies in the presence of liability constraints	2016-12-13	Paper
Rare-event asymptotics for the number of exceedances of multiplicative factor models	2015-09-24	Paper
Series expansions for convolutions of Pareto distributions	2015-04-17	Paper
CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION	2015-01-21	Paper
On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims	2014-10-15	Paper
DISTORTION RISK MEASURES, AMBIGUITY AVERSION AND OPTIMAL EFFORT	2014-06-11	Paper
Estimating the efficient price from the order flow: a Brownian Cox process approach	2014-04-28	Paper
Automatic declustering of rare events	2014-04-22	Paper
Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework	2014-04-15	Paper
New efficient estimators in rare event simulation with heavy tails	2014-01-08	Paper
Some new classes of stationary max-stable random fields	2013-12-09	Paper
A sliding blocks estimator for the extremal index	2013-05-27	Paper
Testing the type of a semi-martingale: Itō against multifractal	2013-05-27	Paper
VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS	2013-02-28	Paper
Subsampling weakly dependent time series and application to extremes	2012-11-15	Paper
Rejoinder on: Subsampling weakly dependent time series and application to extremes	2012-11-15	Paper
On the limiting spectral distribution of the covariance matrices of time-lagged processes	2010-11-10	Paper
On the Microstructural Hedging Error	2010-08-11	Paper
On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring	2010-01-08	Paper
Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size probabilities	2009-07-22	Paper
Estimating the multivariate extremal index function	2009-03-02	Paper
Inference for the limiting cluster size distribution of extreme values	2009-02-25	Paper
Tails of random sums of a heavy-tailed number of light-tailed terms	2008-08-18	Paper
Extreme dependence of multivariate catastrophic losses	2007-12-16	Paper
Stochastic stability of some state-dependent growth-collapse processes	2007-04-26	Paper
STOCHASTIC UNIT ROOT MODELS	2007-04-23	Paper
Asymptotic Probabilities of an Exceedance Over Renewal Thresholds with an Application to Risk Theory	2005-08-25	Paper

Research outcomes over time

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