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On the chaotic expansion for counting processes
We introduce and study an alternative form of the chaotic expansion for Poisson functionals, using a very specific (non-equivalent) Girsanov transformation; we name this alternative form pseudo-chaoti ...
Electron. J. Probab. 29 1 - 33, 2024
Cyber-contagion model with network structure applied to insurance
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Insurance: Mathematics and Economics, 2022
Ramsey rule with forward/backward utility for long-term yield curves modeling
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Decisions in Economics and Finance, 2022
The Malliavin-Stein method for Hawkes functionals
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Alea (Rio de Janeiro), 2022
Multivariate Hawkes process for cyber insurance
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Annals of Actuarial Science, 2021
Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models
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Scandinavian Actuarial Journal, 2021
Invited Editorial The challenges imposed by low interest rates
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Journal of Asset Management, 2019
Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
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Springer Proceedings in Mathematics and Statistics, 2019