In: Formal Methods in System Design, 2008, vol. 33, no. 1-3, p. 45-84
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In: Journal of Scheduling, 2011, vol. 14, no. 2, p. 141-156
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In: Biometrika, 1991, vol. 78, no. 4, p. 930-933
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In: Biometrika, 2012, vol. 99, no. 1, p. 238-244
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Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO004.
The goal of this PhD Thesis is the definition of new robust estimators, thereby extending the available theory and exploring new directions for applications in finance. The Thesis contains three papers, which analyze three different types of estimators: M-, Minimum Distance- and R- estimators. The focus is manly of their infinitesimal robustness, but global robustness properties are also...
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Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO004.
The thesis consists of three chapters. In the first chapter we characterize the robustness of subsampling procedures by deriving a general formula for the breakdown point of subsampling quantiles. This breakdown point can be very low for moderate subsampling block sizes, which implies the fragility of subsampling procedures, even if they are applied to robust statistics. This instability...
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In: Insurance: Mathematics and Economics, 2009, vol. 45, no. 3, p. 374-381
In the classical risk model, we prove the weak convergence of a sequence of empirical finite-time ruin probabilities. In an earlier paper (see Loisel et al., (2008)), we proved an equivalent result in the special case where the initial reserve is zero, and checked that numerically the general case seems to be true. In this paper, we prove the general case (with a nonnegative initial reserve),...
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