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Agenda

Publications

finance

Bayesian credibility model with heavy tail random variables: calibration of the prior and application to natural disasters and cyber insurance

The Bayesian credibility approach is a method for evaluating a certain risk of a segment of a portfolio (such as policyholder or category of policyholders) by compensating for the lack of historical d ...

Heranval Antoine, Lopez Olivier & Thomas Maud

European Actuarial Journal, 2024

statistics

Minimax estimation of functionals in sparse vector model with correlated observations

We consider the observations of an unknown s-sparse vector θ corrupted by Gaussian noise with zero mean and unknown covariance matrix Σ. We propose minimax optimal methods of estimating the ℓ2 n ...

Wang Yuhao, Yang Pengkun, Tsybakov Alexandre

Arxiv, Cornell University, 2024

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 ...

Farkas Sebastien, Lopez Olivier

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 ...

Arya Akhavan, Karim Lounici, Massimiliano Pontil, Alexandre B. Tsybakov

arXiv:2406.05714v1 [stat.ML], 2024