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Agenda
Publications
finance
Semiparametric copula models applied to the decomposition of claim amounts
In this paper, we develop a conditional copula model to analyze the distribution of a claim that generates different types of costs and/or simultaneously impacts several guarantees. Our methodology is ...
Scandinavian Actuarial Journal, 2024
statistics
Contextual Continuum Bandits: Static Versus Dynamic Regret
We study the contextual continuum bandits problem, where the learner sequentially receives a side information vector and has to choose an action in a convex set, minimizing a function associated to th ...
arXiv:2406.05714v1 [stat.ML], 2024
economics
Identifying European trade dependencies
We review and extend upon existing literature using product-level trade data to identify trade dependencies that expose the European Union to potential disruptions. While acknowledging the significanc ...
Pisani-Ferry, J, B Weder Di Mauro and J Zettelmeyer (eds), Paris Report 2: Europe's Economic Security, CEPR Press, Paris & London., 2024
statistics
Generalized multi-view model: Adaptive density estimation under low-rank constraints
We study the problem of bivariate discrete or continuous probability density estimation under low-rank constraints.For discrete distributions, we assume that the two-dimensional array to estimate is a ...
Arxiv, Cornell University, 2024