Search Results - "Dutang, Christophe"

fitdistrplus : An R Package for Fitting Distributions by Delignette-Muller, Marie Laure, Dutang, Christophe

“…The package fitdistrplus provides functions for fitting univariate distributions to different types of data (continuous censored or non-censored data and…”
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An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests by Dutang, Christophe, Guibert, Quentin

“…Classification and regression trees (CART) prove to be a true alternative to full parametric models such as linear models (LM) and generalized linear models…”
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One-step closed-form estimator for generalized linear model with categorical explanatory variables by Brouste, Alexandre, Dutang, Christophe, Hovsepyan, Lilit, Rohmer, Tom

“…The parameters of generalized linear models are generally estimated by the maximum likelihood estimator (MLE), computed using a Newton–Raphson type algorithm…”
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Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications by Dutang, Christophe, Goulet, Vincent, Langevin, Nicholas

“…Actuaries model insurance claim amounts using heavy tailed probability distributions. They routinely need to evaluate quantities related to these distributions…”
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Closed-form maximum likelihood estimator for generalized linear models in the case of categorical explanatory variables: application to insurance loss modeling by Brouste, Alexandre, Dutang, Christophe, Rohmer, Tom

“…Generalized linear models with categorical explanatory variables are considered and parameters of the model are estimated by an exact maximum likelihood…”
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Competition among non-life insurers under solvency constraints: A game-theoretic approach by Dutang, Christophe, Albrecher, Hansjoerg, Loisel, Stéphane

“…•A game to model competition between non-life insurance companies is formulated.•Section 1 develops the one-period noncooperative game of this paper.•Existence…”
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actuar : An R Package for Actuarial Science by Goulet, Vincent

“…actuar is a package providing additional Actuarial Science functionality to the R statistical system. The project was launched in 2005 and the package is…”
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Theoretical L-moments and TL-moments using combinatorial identities and finite operators by Dutang, Christophe

“…Moments have been traditionally used to characterize a probability distribution. Recently, linear moments (L-moments) and trimmed L-moments (TL-moments) are…”
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A closed-form alternative estimator for GLM with categorical explanatory variables by Brouste, Alexandre, Dutang, Christophe, Rohmer, Tom

“…The parameters of generalized linear models (GLMs) are usually estimated by the maximum likelihood estimator (MLE) which is known to be asymptotically…”
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On a Markovian Game Model for Competitive Insurance Pricing by Mouminoux, Claire, Dutang, Christophe, Loisel, Stéphane, Albrecher, Hansjoerg

“…In this paper, we extend the non-cooperative one-period game of Dutang et al. (Journal of Operational Research 231(3):702–711,  2013 ) to model a non-life…”
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Robust and bias-corrected estimation of the coefficient of tail dependence by Dutang, Christophe, Goegebeur, Yuri, Guillou, Armelle

“…We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is…”
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Lapse tables for lapse risk management in insurance: a competing risk approach by Milhaud, Xavier, Dutang, Christophe

“…This paper deals with the crucial problem of modeling policyholders’ behaviours in life insurance. We focus here on the surrender behaviours and model the…”
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A modeler’s guide to extreme value software by Belzile, Léo R., Dutang, Christophe, Northrop, Paul J., Opitz, Thomas

“…This review paper surveys recent development in software implementations for extreme value analyses since the publication of Stephenson and Gilleland (Extremes…”
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Robust and Bias-Corrected Estimation of the Probability of Extreme Failure Sets by Dutang, Christophe, Goegebeur, Yuri, Guillou, Armelle

“…In multivariate extreme value statistics, the estimation of probabilities of extreme failure sets is an important problem, with practical relevance for…”
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On an asymptotic rule <mml:math altimg="si14.gif" display="inline" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http by Dutang, Christophe, Lefevre, C., Loisel, S.

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Competition among non-life insurers under solvency constraints: A game-theoretic approach by Dutang, Christophe, Albrecher, Hansjoerg, Loisel, Stéphane

“…We formulate a noncooperative game to model competition for policyholders among non-life insurance companies, taking into account market premium, solvency…”
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On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing by Dutang, C., Lefèvre, C., Loisel, S.

“…The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a wide class of dependent risk processes,…”
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A modeler's guide to extreme value software by Belzile, Léo R, Dutang, Christophe, Northrop, Paul J, Opitz, Thomas

“…This review paper surveys recent development in software implementations for extreme value analyses since the publication of Stephenson and Gilleland (2006)…”
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