Essec\Faculty\Model\Profile {#2190
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"bid" => "B00072305"
"academId" => "2051"
"slug" => "kratz-marie"
"fullName" => "Marie KRATZ"
"lastName" => "KRATZ"
"firstName" => "Marie"
"title" => array:2 [
"fr" => "Professeur"
"en" => "Professor"
]
"email" => "kratz@essec.edu"
"status" => "ACTIF"
"campus" => "Campus de Cergy"
"departments" => []
"phone" => "+33 (0)1 34 43 36 43"
"sites" => []
"facNumber" => "2051"
"externalCvUrl" => "https://faculty.essec.edu/en/cv/kratz-marie/pdf"
"googleScholarUrl" => null
"facOrcId" => "https://orcid.org/0000-0001-5160-2042"
"career" => array:15 [
0 => Essec\Faculty\Model\CareerItem {#2260
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2006-10-01"
"endDate" => "2011-08-31"
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"type" => array:2 [
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"en" => "Full-time academic appointments"
]
"label" => array:2 [
"fr" => "Professeur associé"
"en" => "Associate Professor"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
1 => Essec\Faculty\Model\CareerItem {#2261
#_index: null
#_id: null
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"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
2 => Essec\Faculty\Model\CareerItem {#2262
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1994-02-01"
"endDate" => "2006-09-30"
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"type" => array:2 [
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"fr" => "Autres positions académiques"
]
"label" => array:2 [
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"en" => "Assistant, then associate professor"
]
"institution" => array:2 [
"fr" => "Université Paris Descartes (Paris V)"
"en" => "Université Paris Descartes (Paris V)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
3 => Essec\Faculty\Model\CareerItem {#2263
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017-07-01"
"endDate" => "2020-07-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Professeure visitante à temps partiel"
"en" => "Part-time Visiting Professor"
]
"institution" => array:2 [
"fr" => "Lund University. School of Economics and Management. Statistics Department"
"en" => "Lund University. School of Economics and Management. Statistics Department"
]
"country" => array:2 [
"fr" => "Suède"
"en" => "Sweden"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
4 => Essec\Faculty\Model\CareerItem {#2264
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2012-07-01"
"endDate" => "2012-12-31"
"isInternalPosition" => true
"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Stage à FINMA, Swiss Financial Market Supervisory Authority"
"en" => "Internship at FINMA, Swiss Financial Market Supervisory Authority"
]
"institution" => array:2 [
"fr" => "Swiss Financial Market Supervisory Authority FINMA"
"en" => "Swiss Financial Market Supervisory Authority FINMA"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
5 => Essec\Faculty\Model\CareerItem {#2265
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2013-01-01"
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"en" => "Director of CREAR - Center of Research in Econo-finance and Actuarial Science on Risk"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
6 => Essec\Faculty\Model\CareerItem {#2266
#_index: null
#_id: null
#_source: array:7 [
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"isInternalPosition" => true
"type" => array:2 [
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]
"label" => array:2 [
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"fr" => "Institut des Actuaires"
"en" => "Institut des Actuaires"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
7 => Essec\Faculty\Model\CareerItem {#2267
#_index: null
#_id: null
#_source: array:7 [
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]
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"fr" => "Délégation C.N.R.S. (SAMOS-MATISSE, UMR 8595)"
"en" => "Delegation C.N.R.S. (SAMOS-MATISSE, UMR 8595"
]
"institution" => array:2 [
"fr" => "CNRS - Centre national de la recherche scientifique"
"en" => "CNRS - Centre national de la recherche scientifique"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
8 => Essec\Faculty\Model\CareerItem {#2268
#_index: null
#_id: null
#_source: array:7 [
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"type" => array:2 [
"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Co-responsable de la filière actuariat ESSEC-ISUP"
"en" => "Co-responsible of the ESSEC-ISUP actuarial track"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
9 => Essec\Faculty\Model\CareerItem {#2269
#_index: null
#_id: null
#_source: array:7 [
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"type" => array:2 [
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]
"label" => array:2 [
"fr" => "Directrice de la filière actuariat ESSEC-ISUP"
"en" => "Director of the ESSEC-ISUP actuarial track"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
10 => Essec\Faculty\Model\CareerItem {#2270
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2012-10-01"
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"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
]
"label" => array:2 [
"fr" => "Coordinatrice scientifique du projet européen ‘RARE’ - Risk Analysis, Ruin and Extremes - FP7-PEOPLE-2012-IRSES - Marie Curie Actions, qui vise à renforcer les partenariats de recherche à travers des échanges de professeurs et des activités de networking entre organisations de recherche européennes et organisations de recherche d'autres pays (12 partenaires)"
"en" => "Scientific Coordinator of the European Project ‘RARE’ - Risk Analysis, Ruin and Extremes - FP7-PEOPLE-2012-IRSES - Marie Curie Actions, which aims to strengthen research partnerships through staff exchanges and networking activities between European research organizations and research organizations from other countries. (12 partners)"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
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"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
11 => Essec\Faculty\Model\CareerItem {#2271
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2011-12-01"
"endDate" => "2014-12-01"
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"type" => array:2 [
"en" => "Other appointments"
"fr" => "Autres positions"
]
"label" => array:2 [
"fr" => "Responsable d'une équipe de recherche"
"en" => "Director of the Research program with SWISS LIFE on: Consequences of the population ageing on the insurances loss. Impacts on the automobile prevention"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
12 => Essec\Faculty\Model\CareerItem {#2272
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2013-10-01"
"endDate" => null
"isInternalPosition" => true
"type" => array:2 [
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"label" => array:2 [
"fr" => "Membre affilié de RiskLab"
"en" => "Affiliated member to RiskLab"
]
"institution" => array:2 [
"fr" => "ETH Zurich"
"en" => "ETH Zurich"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
13 => Essec\Faculty\Model\CareerItem {#2273
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2004-10-01"
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"en" => "Other appointments"
"fr" => "Autres positions"
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"label" => array:2 [
"fr" => "Membre de MAP5 (Mathématiques Appliquées), UMR8145"
"en" => "Member of MAP5 (Applied Mathematics), UMR8145"
]
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"fr" => "Université Paris Descartes (Paris V)"
"en" => "Université Paris Descartes (Paris V)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
14 => Essec\Faculty\Model\CareerItem {#2274
#_index: null
#_id: null
#_source: array:7 [
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"endDate" => "2015-09-01"
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"en" => "Other Academic Appointments"
"fr" => "Autres positions académiques"
]
"label" => array:2 [
"fr" => "Directeur du programme de recherche ESSEC - SWISS LIFE "Conséquences de la population le vieillissement sur la perte d'assurance. Impacts sur la prévention automobile""
"en" => "Director of the research program ESSEC - SWISS LIFE ”Consequences of the population ageing on the insurances loss. Impacts on the automobile prevention”"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
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"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"diplomes" => array:3 [
0 => Essec\Faculty\Model\Diplome {#2192
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
]
"year" => "1993"
"label" => array:2 [
"en" => "Doctorate in Applied Mathematics"
"fr" => "Doctorat en Mathématiques Appliquées"
]
"institution" => array:2 [
"fr" => "Université Pierre et Marie Curie (UPMC)"
"en" => "Université Pierre et Marie Curie (UPMC)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
1 => Essec\Faculty\Model\Diplome {#2194
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "DIPLOMA"
"type" => array:2 [
"fr" => "Diplômes"
"en" => "Diplomas"
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"label" => array:2 [
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"institution" => array:2 [
"fr" => "Université Paris 1 Panthéon-Sorbonne"
"en" => "Université Paris 1 Panthéon-Sorbonne"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
2 => Essec\Faculty\Model\Diplome {#2191
#_index: null
#_id: null
#_source: array:6 [
"diplome" => "CERT"
"type" => array:2 [
"fr" => "Certificats"
"en" => "Certificates"
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"year" => "2010"
"label" => array:2 [
"en" => "Global colloquium on participant-centered learning"
"fr" => "Global colloquium on participant-centered learning"
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"institution" => array:2 [
"fr" => "Harvard Business School"
"en" => "Harvard Business School"
]
"country" => array:2 [
"fr" => "États-Unis"
"en" => "United States of America"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"bio" => array:2 [
"fr" => """
<p>Professeure, depuis Oct. 2011</p>\n
\n
<p>Professeure visitante à temps partiel (juillet 2017-juillet 2020), Department of Statistics, Lund University, Suède</p>\n
\n
<p>Directrice de CREAR - <b>C</b>entre de <b>R</b>echerche en <b>E</b>cono-finance et <b>A</b>ctuariat sur le <b>R</b>isk - (<a href="http://crear.essec.edu/research/working-group-on-risk" target="_blank">http://crear.essec.edu</a>), depuis Jan. 2013</p>\n
\n
<p>Actuaire Agrégée de l'Institut des Actuaires (IA 2013; qualification 2015; agrégation 2016)</p>\n
\n
<p>Professeure Associée, Oct. 2006 - Sept. 2011</p>\n
\n
<p>Maître de Conférencesà l'Université Paris Descartes (UFR Mathématiques & Informatique) jusqu'en Oct. 2006</p>\n
\n
<p>Délégation C.N.R.S. (SAMOS-MATISSE, UMR 8595, 1999-2000)</p>\n
\n
<p>Post-doctorat/délégation, avec S. Resnick (Fall sem. 1993, 94, 95), Cornell University (O.R.I.E.), Ithaca, N.Y., USA</p>\n
\n
<p>Doctorat de Mathématiques Appliquées effectué en grande partie au Center for Stochastic Processes, UNC Chapel Hill</p>
"""
"en" => """
<p>ESSEC Full Professor, from Oct. 2011</p>\n
\n
<p>Part time visting professor (July 2017-July 2020), Department of Statistics, Lund University, Sweden</p>\n
\n
<p>Director of CREAR - <b>C</b>enter of <b>R</b>esearch in <b>E</b>cono-finance and <b>A</b>ctuarial Science on <b>R</b>isk - (see<b> </b>http://crear.essec.edu), from Jan. 2013</p>\n
\n
<p>Fellow of the "Institut des Actuaires" (IA 2013; qualification 2015; certification 2015; fellow 2016)</p>\n
\n
<p>ESSEC Associate Professor, Oct. 2006 - Sept. 2011</p>\n
\n
<p>Maître de Conférences at the University René Descartes Paris V (UFR Mathématiques & Informatique) until Oct. 2006</p>\n
\n
<p>Delegation C.N.R.S. (SAMOS-MATISSE, UMR 8595, 1999-2000)</p>\n
\n
<p>Post-doctorat/delegation with S. Resnick (Fall sem. 1993, 94, 95), Cornell University (O.R.I.E.), Ithaca, N.Y., USA</p>\n
\n
<p>PhD. in Applied Mathematics, made to a great extent at the Center for Stochastic Processes, UNC Chapel Hill, USA</p>\n
\n
<p> </p>\n
\n
<p> </p>
"""
]
"department" => array:2 [
"fr" => "Systèmes d’information, sciences de la décision et statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"site" => array:2 [
"fr" => null
"en" => null
]
"industrrySectors" => array:2 [
"fr" => "Banques - Assurance"
"en" => "Banks - Insurance"
]
"researchFields" => array:2 [
"fr" => "Théorie des probabilités et statistiques - Modélisation du risque et Actuariat - Probabilité Appliquée - Analyse des données statistiques - Science actuarielle - Modélisation du risque"
"en" => "Probability Theory & Mathematical Statistics - Risk Modelling & Actuarial Science - Applied Probability - Statistical Data Analysis - Insurance Mathematics - Risk Analysis and Management"
]
"teachingFields" => array:2 [
"fr" => "Mathématiques - Théorie des probabilités et statistiques - Modélisation du risque et Actuariat - Analyse des données statistiques - Marchés financiers et institutions financières"
"en" => "Mathematics - Probability Theory & Mathematical Statistics - Risk Modelling & Actuarial Science - Statistical Data Analysis - Financial Markets & Institutions"
]
"distinctions" => array:10 [
0 => Essec\Faculty\Model\Distinction {#2275
#_index: null
#_id: null
#_source: array:6 [
"date" => "2013-09-15"
"label" => array:2 [
"fr" => "Actuaire Agrégée IA"
"en" => "Fellow of the French Institute of Actuaries"
]
"type" => array:2 [
"fr" => "Prix"
"en" => "Awards"
]
"tri" => " 1 "
"institution" => array:2 [
"fr" => "Institut des Actuaires"
"en" => "Institut des Actuaires"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
1 => Essec\Faculty\Model\Distinction {#2276
#_index: null
#_id: null
#_source: array:6 [
"date" => "2012-12-01"
"label" => array:2 [
"fr" => "FP7-PEOPLE-2012-IRSES - Marie Curie Actions"
"en" => "FP7-PEOPLE-2012-IRSES - Marie Curie Actions"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "Union Européenne"
"en" => "Union Européenne"
]
"country" => array:2 [
"fr" => "Belgique"
"en" => "Belgium"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
2 => Essec\Faculty\Model\Distinction {#2277
#_index: null
#_id: null
#_source: array:6 [
"date" => "2012-12-01"
"label" => array:2 [
"fr" => "European FP7-RARE project"
"en" => "European FP7-RARE project"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
3 => Essec\Faculty\Model\Distinction {#2278
#_index: null
#_id: null
#_source: array:6 [
"date" => "2016-01-01"
"label" => array:2 [
"fr" => "Visiting scholar and Member of the advisory board of QRFE"
"en" => "Visiting scholar and Member of the advisory board of QRFE"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "Durham University Business School"
"en" => "Durham University Business School"
]
"country" => array:2 [
"fr" => "Royaume-Uni"
"en" => "United Kingdom"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
4 => Essec\Faculty\Model\Distinction {#2279
#_index: null
#_id: null
#_source: array:6 [
"date" => "2014-01-01"
"label" => array:2 [
"fr" => "Tata Institute for Fundamental Research (TIFR, India), by a grant from the Indo-French Center for Applied Mathematics (IFCAM) for a research project between M. Kratz & S. Vadlamani"
"en" => "Tata Institute for Fundamental Research (TIFR, India), by a grant from the Indo-French Center for Applied Mathematics (IFCAM) for a research project between M. Kratz & S. Vadlamani"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "Tata Institute for Fundamental Research"
"en" => "Tata Institute for Fundamental Research"
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
5 => Essec\Faculty\Model\Distinction {#2280
#_index: null
#_id: null
#_source: array:6 [
"date" => "2016-01-01"
"label" => array:2 [
"fr" => "Institute for Mathematical Research (FIM)"
"en" => "Institute for Mathematical Research (FIM)"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "ETH Zurich"
"en" => "ETH Zurich"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
6 => Essec\Faculty\Model\Distinction {#2281
#_index: null
#_id: null
#_source: array:6 [
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"label" => array:2 [
"fr" => "ETH Risk Center"
"en" => "ETH Risk Center"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "ETH Zurich"
"en" => "ETH Zurich"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
7 => Essec\Faculty\Model\Distinction {#2282
#_index: null
#_id: null
#_source: array:6 [
"date" => "2010-01-01"
"label" => array:2 [
"fr" => "Ceressec Research projects grants"
"en" => "Ceressec Research projects grants"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
8 => Essec\Faculty\Model\Distinction {#2283
#_index: null
#_id: null
#_source: array:6 [
"date" => "2014-09-01"
"label" => array:2 [
"fr" => "Labex MME-DII"
"en" => "Labex MME-DII"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "Labex MME-DII"
"en" => "Labex MME-DII"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
9 => Essec\Faculty\Model\Distinction {#2284
#_index: null
#_id: null
#_source: array:6 [
"date" => "2018-04-01"
"label" => array:2 [
"fr" => "International chair labex MME-DII & ESSEC CREAR on"
"en" => "International chair labex MME-DII & ESSEC CREAR on Risk Analysis & Management, held by Dr. Michel Dacorogna"
]
"type" => array:2 [
"fr" => "Bourses"
"en" => "Grants"
]
"tri" => " 2 "
"institution" => array:2 [
"fr" => "ESSEC CREAR"
"en" => "ESSEC CREAR"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"teaching" => array:25 [
0 => Essec\Faculty\Model\TeachingItem {#2253
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2022"
"program" => null
"label" => array:2 [
"fr" => "Assessing the time dependence of multivariate extremes"
"en" => "Assessing the time dependence of multivariate extremes"
]
"type" => array:2 [
"fr" => "Président de jury"
"en" => "Thesis jury president"
]
"institution" => array:2 [
"fr" => "Sorbonne Université"
"en" => "Sorbonne Université"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
1 => Essec\Faculty\Model\TeachingItem {#2258
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2016"
"endDate" => "2022"
"program" => null
"label" => array:2 [
"fr" => "Risk analysis (3 grants from Labex MME-DII , from 2020)"
"en" => "Risk analysis (3 grants from Labex MME-DII , from 2020)"
]
"type" => array:2 [
"fr" => "Encadrement UV de recherche"
"en" => "Supervision of Research UV"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
}
2 => Essec\Faculty\Model\TeachingItem {#2259
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2012"
"endDate" => "2022"
"program" => null
"label" => array:2 [
"fr" => "Banks, Insurance companies, Consulting companies"
"en" => "Banks, Insurance companies, Consulting companies"
]
"type" => array:2 [
"fr" => "Tutorat apprentissage"
"en" => "Apprenticeship tutoring"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
}
3 => Essec\Faculty\Model\TeachingItem {#2257
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2012"
"endDate" => "2022"
"program" => null
"label" => array:2 [
"fr" => ""
"en" => "Supervision of Master Thesis"
]
"type" => array:2 [
"fr" => "Encadrement de mémoire"
"en" => "Supervision of dissertation"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
}
4 => Essec\Faculty\Model\TeachingItem {#2243
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2019"
"endDate" => "2021"
"program" => null
"label" => array:2 [
"fr" => "Cyber risk"
"en" => "Cyber risk"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "ETH Risk Center"
"en" => "ETH Risk Center"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
}
5 => Essec\Faculty\Model\TeachingItem {#2244
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2020"
"program" => null
"label" => array:2 [
"fr" => "Pro-cyclicality of Risk Measurements : Empirical Quantification and Theoretical Confirmation"
"en" => "Pro-cyclicality of Risk Measurements : Empirical Quantification and Theoretical Confirmation"
]
"type" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
6 => Essec\Faculty\Model\TeachingItem {#2248
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2019"
"program" => null
"label" => array:2 [
"fr" => "Algorithmes de machine learning en assurance : solvabilité, textmining, anonymisation et transparence."
"en" => "Algorithmes de machine learning en assurance : solvabilité, textmining, anonymisation et transparence."
]
"type" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Université Paris-Est Marne-la-Vallée (UPEM)"
"en" => "Université Paris-Est Marne-la-Vallée (UPEM)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
7 => Essec\Faculty\Model\TeachingItem {#2236
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017"
"endDate" => "2017"
"program" => null
"label" => array:2 [
"fr" => "Singapore Actuarial Society Forum sur 'Overview of Copulas for Actuaries in Management'"
"en" => "Singapore Actuarial Society Forum on 'Overview of Copulas for Actuaries in Management'"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "Singapore Actuarial Society"
"en" => "Singapore Actuarial Society"
]
"country" => array:2 [
"fr" => "Singapour"
"en" => "Singapore"
]
]
+lang: "en"
}
8 => Essec\Faculty\Model\TeachingItem {#2235
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017"
"endDate" => "2017"
"program" => null
"label" => array:2 [
"fr" => "Atelier de travail de recherche du CFA France, 'A self-Calibrating Method for Heavy Tailed Data Modeling'"
"en" => "CFA France Research Workshop, 'A self-Calibrating Method for Heavy Tailed Data Modeling'"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "CFA Society France"
"en" => "CFA Society France"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
9 => Essec\Faculty\Model\TeachingItem {#2237
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017"
"endDate" => "2017"
"program" => null
"label" => array:2 [
"fr" => "Atelier de travail d'1/2 journée 'EVT and its Application to finance and insurance',"
"en" => "1/2 day workshop on 'EVT and its Application to finance and insurance',"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "ETH Risk Center"
"en" => "ETH Risk Center"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
}
10 => Essec\Faculty\Model\TeachingItem {#2238
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2017"
"endDate" => "2017"
"program" => null
"label" => array:2 [
"fr" => "Mini workshop sur 'Modeling and Backtesting Heavy Tailed Data'"
"en" => "Mini-workshop on 'Modeling and Backtesting Heavy Tailed Data'"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "Durham University Business School"
"en" => "Durham University Business School"
]
"country" => array:2 [
"fr" => "Royaume-Uni"
"en" => "United Kingdom"
]
]
+lang: "en"
}
11 => Essec\Faculty\Model\TeachingItem {#2247
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2017"
"program" => null
"label" => array:2 [
"fr" => "Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models"
"en" => "Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Monash University"
"en" => "Monash University"
]
"country" => array:2 [
"fr" => "Australie"
"en" => "Australia"
]
]
+lang: "en"
}
12 => Essec\Faculty\Model\TeachingItem {#2245
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2016"
"program" => null
"label" => array:2 [
"fr" => "Contributions actuarielles et statistiques pour l'analyse de risques en assurance liés au vieillissement de la population, notamment en assurance automobile"
"en" => "Contributions actuarielles et statistiques pour l'analyse de risques en assurance liés au vieillissement de la population, notamment en assurance automobile"
]
"type" => array:2 [
"fr" => "Directeur de thèse"
"en" => "Thesis director"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
13 => Essec\Faculty\Model\TeachingItem {#2241
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2016"
"endDate" => "2016"
"program" => null
"label" => array:2 [
"fr" => "Séminaire exécutif de deux jours sur la Gestion de Risques Quantitative (Quantitative Risk Management)"
"en" => "Two days executive seminar on Quantitative Risk Management"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "National Institute of Securities Markets (NISM)"
"en" => "National Institute of Securities Markets (NISM)"
]
"country" => array:2 [
"fr" => "Inde"
"en" => "India"
]
]
+lang: "en"
}
14 => Essec\Faculty\Model\TeachingItem {#2240
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2016"
"endDate" => "2016"
"program" => null
"label" => array:2 [
"fr" => "'A self-Calibrating Method for Heavy Tailed Data Modeling'"
"en" => "'A self-Calibrating Method for Heavy Tailed Data Modeling'"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "Swiss Re"
"en" => "Swiss Re"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
}
15 => Essec\Faculty\Model\TeachingItem {#2239
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2016"
"endDate" => "2016"
"program" => null
"label" => array:2 [
"fr" => "'An implicit backtest for Expected Shortfall via a simple multinomial approach'"
"en" => "'An implicit backtest for Expected Shortfall via a simple multinomial approach'"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "Bank of International Settlements"
"en" => "Bank of International Settlements"
]
"country" => array:2 [
"fr" => "Suisse"
"en" => "Switzerland"
]
]
+lang: "en"
}
16 => Essec\Faculty\Model\TeachingItem {#2246
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2015"
"program" => null
"label" => array:2 [
"fr" => "Approche algébrique et théorie des valeurs extrêmes pour la détection de ruptures: application aux signaux biomédicaux"
"en" => "Approche algébrique et théorie des valeurs extrêmes pour la détection de ruptures: application aux signaux biomédicaux"
]
"type" => array:2 [
"fr" => "Co-directeur de thèse"
"en" => "Thesis co-director"
]
"institution" => array:2 [
"fr" => "URCA"
"en" => "URCA"
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
}
17 => Essec\Faculty\Model\TeachingItem {#2249
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2015"
"program" => null
"label" => array:2 [
"fr" => "Modélisation de la dépendance et estimation du risque agrégé"
"en" => "Modélisation de la dépendance et estimation du risque agrégé"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => " Université Claude Bernard Lyon 1"
"en" => " Université Claude Bernard Lyon 1"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
18 => Essec\Faculty\Model\TeachingItem {#2250
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2014"
"program" => null
"label" => array:2 [
"fr" => "Modelado matemático de sistemas dinámicos en epidemiología"
"en" => "Modelado matemático de sistemas dinámicos en epidemiología"
]
"type" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Universidad de Malaga"
"en" => "Universidad de Malaga"
]
"country" => array:2 [
"fr" => "Espagne"
"en" => "Spain"
]
]
+lang: "en"
}
19 => Essec\Faculty\Model\TeachingItem {#2242
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2013"
"endDate" => "2013"
"program" => null
"label" => array:2 [
"fr" => "'An Introduction to Quantitative Risk Management' - cours enseigné durant l'Ecole d'été sur la Gestion des risques en Finance et en Assurance (Summer School on Risk Management in Finance and Insurance)"
"en" => "'An Introduction to Quantitative Risk Management' - course given at the Summer School on Risk Management in Finance and Insurance"
]
"type" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"institution" => array:2 [
"fr" => "National Economics University"
"en" => "National Economics University"
]
"country" => array:2 [
"fr" => "Viêt Nam"
"en" => "Vietnam"
]
]
+lang: "en"
}
20 => Essec\Faculty\Model\TeachingItem {#2251
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2013"
"program" => null
"label" => array:2 [
"fr" => "Valeurs extrêmes de mosaïques aléatoires"
"en" => "Valeurs extrêmes de mosaïques aléatoires"
]
"type" => array:2 [
"fr" => "Président de jury"
"en" => "Thesis jury president"
]
"institution" => array:2 [
"fr" => "Université de Rouen"
"en" => "Université de Rouen"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
21 => Essec\Faculty\Model\TeachingItem {#2252
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2008"
"program" => null
"label" => array:2 [
"fr" => "Estimation et tests en théorie des valeurs extrêmes"
"en" => "Estimation et tests en théorie des valeurs extrêmes"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Pierre et Marie Curie (UPMC)"
"en" => "Université Pierre et Marie Curie (UPMC)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
}
22 => Essec\Faculty\Model\TeachingItem {#2256
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "2008"
"endDate" => "2008"
"program" => null
"label" => array:2 [
"fr" => "Research training at ESSEC: "Extreme Value Theory for discrete random variables, with applications in Epidemiology and in Finance""
"en" => "Research training at ESSEC: "Extreme Value Theory for discrete random variables, with applications in Epidemiology and in Finance""
]
"type" => array:2 [
"fr" => "Coaching de groupe"
"en" => "Coaching"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
}
23 => Essec\Faculty\Model\TeachingItem {#2255
#_index: null
#_id: null
#_source: array:7 [
"startDate" => "1997"
"endDate" => "2006"
"program" => null
"label" => array:2 [
"fr" => "Paris Descartes Master students final professional trainings (MST2-ISASH, DESS MSB, Master 2 IMSV)"
"en" => "Paris Descartes Master students final professional trainings (MST2-ISASH, DESS MSB, Master 2 IMSV)"
]
"type" => array:2 [
"fr" => "Coaching de groupe"
"en" => "Coaching"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => null
"en" => null
]
]
+lang: "en"
}
24 => Essec\Faculty\Model\TeachingItem {#2254
#_index: null
#_id: null
#_source: array:7 [
"startDate" => null
"endDate" => "2004"
"program" => null
"label" => array:2 [
"fr" => "Estabilidad en Sistemas Neuronales Realimentados. Aplicación al Control"
"en" => "Estabilidad en Sistemas Neuronales Realimentados. Aplicación al Control"
]
"type" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Universidad de Malaga"
"en" => "Universidad de Malaga"
]
"country" => array:2 [
"fr" => "Espagne"
"en" => "Spain"
]
]
+lang: "en"
}
]
"otherActivities" => array:42 [
0 => Essec\Faculty\Model\ExtraActivity {#2195
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2009-10-01"
"endDate" => null
"year" => null
"uuid" => "201"
"type" => array:2 [
"fr" => "Activités de recherche"
"en" => "Research activities"
]
"subType" => array:2 [
"fr" => "Organisation d'une conférence ou d'un séminaire"
"en" => "Organization of a conference or a seminar"
]
"label" => array:2 [
"fr" => "Organisatrice du Working-Group-on-Risk ( séries de séminaires bimensuels du CREAR)"
"en" => "Organizer of the Working-Group-on-Risk (CREAR series of fortnightly seminars)"
]
"institution" => array:2 [
"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
1 => Essec\Faculty\Model\ExtraActivity {#2189
#_index: null
#_id: null
#_source: array:9 [
"startDate" => "2018-07-26"
"endDate" => "2018-07-27"
"year" => null
"uuid" => "201"
"type" => array:2 [
"fr" => "Activités de recherche"
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"subType" => array:2 [
"fr" => "Organisation d'une conférence ou d'un séminaire"
"en" => "Organization of a conference or a seminar"
]
"label" => array:2 [
"fr" => "'Cyber risks – Threats and Opportunities for the Asia Pacific Insurance Industry', 4th SAS ERM - ESSEC CREAR Conference"
"en" => "'Cyber risks – Threats and Opportunities for the Asia Pacific Insurance Industry', 4th SAS ERM - ESSEC CREAR Conference"
]
"institution" => array:2 [
"fr" => null
"en" => null
]
"country" => array:2 [
"fr" => "Singapour"
"en" => "Singapore"
]
]
+lang: "en"
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}
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"fr" => "ESSEC Business School"
"en" => "ESSEC Business School"
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}
5 => Essec\Faculty\Model\ExtraActivity {#2198
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7 => Essec\Faculty\Model\ExtraActivity {#2200
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8 => Essec\Faculty\Model\ExtraActivity {#2201
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"country" => array:2 [
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}
10 => Essec\Faculty\Model\ExtraActivity {#2203
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"institution" => array:2 [
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"en" => "International Statistical Institute"
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"country" => array:2 [
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11 => Essec\Faculty\Model\ExtraActivity {#2204
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"institution" => array:2 [
"fr" => null
"en" => null
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"country" => array:2 [
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12 => Essec\Faculty\Model\ExtraActivity {#2205
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"country" => array:2 [
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"country" => array:2 [
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}
14 => Essec\Faculty\Model\ExtraActivity {#2207
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}
15 => Essec\Faculty\Model\ExtraActivity {#2208
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17 => Essec\Faculty\Model\ExtraActivity {#2210
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"country" => array:2 [
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}
18 => Essec\Faculty\Model\ExtraActivity {#2211
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20 => Essec\Faculty\Model\ExtraActivity {#2213
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22 => Essec\Faculty\Model\ExtraActivity {#2215
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23 => Essec\Faculty\Model\ExtraActivity {#2216
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"label" => array:2 [
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25 => Essec\Faculty\Model\ExtraActivity {#2218
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0 => Essec\Faculty\Model\These {#2285
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1 => Essec\Faculty\Model\These {#2286
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Credit Valuation Adjustment of Credit Default Swaps \n
by Lévy Structural Models Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models
"""
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]
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]
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}
2 => Essec\Faculty\Model\These {#2287
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}
3 => Essec\Faculty\Model\These {#2288
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]
]
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}
4 => Essec\Faculty\Model\These {#2289
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"en" => "ESSEC Business School"
]
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]
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}
5 => Essec\Faculty\Model\These {#2290
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"fr" => "Université de Rouen"
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]
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"en" => "France"
]
]
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}
6 => Essec\Faculty\Model\These {#2291
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]
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"fr" => "France"
"en" => "France"
]
]
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}
7 => Essec\Faculty\Model\These {#2292
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]
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}
8 => Essec\Faculty\Model\These {#2293
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}
9 => Essec\Faculty\Model\These {#2294
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"label" => array:2 [
"fr" => "Algorithmes de machine learning en assurance : solvabilité, textmining, anonymisation et transparence."
"en" => "Algorithmes de machine learning en assurance : solvabilité, textmining, anonymisation et transparence."
]
"role" => array:2 [
"fr" => "Membre de jury"
"en" => "Thesis jury member"
]
"institution" => array:2 [
"fr" => "Université Paris-Est Marne-la-Vallée (UPEM)"
"en" => "Université Paris-Est Marne-la-Vallée (UPEM)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
10 => Essec\Faculty\Model\These {#2295
#_index: null
#_id: null
#_source: array:9 [
"year" => "2008"
"startDate" => null
"endDate" => "2008"
"student" => "TOULEMONDE G."
"firstJob" => ""
"label" => array:2 [
"fr" => "Estimation et tests en théorie des valeurs extrêmes"
"en" => "Estimation et tests en théorie des valeurs extrêmes"
]
"role" => array:2 [
"fr" => "Rapporteur"
"en" => "Thesis referee"
]
"institution" => array:2 [
"fr" => "Université Pierre et Marie Curie (UPMC)"
"en" => "Université Pierre et Marie Curie (UPMC)"
]
"country" => array:2 [
"fr" => "France"
"en" => "France"
]
]
+lang: "en"
+"parent": Essec\Faculty\Model\Profile {#2190}
}
]
"indexedAt" => "2024-02-27T07:21:22.000Z"
"contributions" => array:167 [
0 => Essec\Faculty\Model\Contribution {#2296
#_index: "academ_contributions"
#_id: "777"
#_source: array:18 [
"id" => "777"
"slug" => "characterization-of-a-general-class-of-tail-probability-distributions"
"yearMonth" => "2019-11"
"year" => "2019"
"title" => "Characterization of a general class of tail probability distributions"
"description" => "CADENA, M., KRATZ, M. et OMEY, E. (2019). Characterization of a general class of tail probability distributions. <i>Statistics and Probability Letters</i>, 154, pp. 108553."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CADENA M."
]
2 => array:1 [
"name" => "OMEY E."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Karamata functions"
1 => "Laplace transform"
2 => "Probability distribution"
3 => "Regularly varying function"
4 => "Semi-exponential tail distribution"
]
"updatedAt" => "2022-03-04 16:20:32"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0167715219301907?via%3Dihub"
"publicationInfo" => array:3 [
"pages" => "108553"
"volume" => "154"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Recently, new classes of positive and measurable functions, M(ρ) and M(±∞), have been defined in terms of their asymptotic behavior at infinity, when normalized by a logarithm (Cadena et al., 2016–17). Looking for other suitable normalizing functions than logarithm seems quite natural. It is what is addressed here, studying general classes of distribution functions of the type limx→∞logU(x)H(x)=ρ≤0 for normalizing functions H such that limx→∞H(x)=∞."
"en" => "Recently, new classes of positive and measurable functions, M(ρ) and M(±∞), have been defined in terms of their asymptotic behavior at infinity, when normalized by a logarithm (Cadena et al., 2016–17). Looking for other suitable normalizing functions than logarithm seems quite natural. It is what is addressed here, studying general classes of distribution functions of the type limx→∞logU(x)H(x)=ρ≤0 for normalizing functions H such that limx→∞H(x)=∞."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
1 => Essec\Faculty\Model\Contribution {#2298
#_index: "academ_contributions"
#_id: "781"
#_source: array:18 [
"id" => "781"
"slug" => "chord-length-distribution-functions-and-rice-formulae-application-to-random-media"
"yearMonth" => "2012-09"
"year" => "2012"
"title" => "Chord-Length Distribution Functions and Rice Formulae. Application to Random Media"
"description" => "ESTRADE, A., IRIBARREN, I. et KRATZ, M. (2012). Chord-Length Distribution Functions and Rice Formulae. Application to Random Media. <i>Extremes</i>, 15(3), pp. 333-352."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "ESTRADE A."
]
2 => array:1 [
"name" => "IRIBARREN I."
]
]
"ouvrage" => ""
"keywords" => array:7 [
0 => "Chord"
1 => "(Up/down) crossing"
2 => "Gaussian process"
3 => "Level-cut process"
4 => "Palm probability"
5 => "Porous medium"
6 => "Rice formula"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://link.springer.com/article/10.1007/s10687-011-0141-y"
"publicationInfo" => array:3 [
"pages" => "333-352"
"volume" => "15"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We consider a stationary and isotropic bi-phasic (pore and solid) medium, draw many lines through it, and see each line as a one-dimensional level-cut process with value 0 or 1 according to whether a regular stationary process X is less or greater than a given level. The intervals corresponding to the points at which X is in a given phase are named chords. We are interested in obtaining information on the chord-length distribution functions. Working with the Palm probability measure and using level crossings techniques, in particular, Rice methods, we can obtain not only the exact analytical formula of the chord-length distribution function but also the joint distribution function of the lengths of two successive chords. Finally, we indicate some concrete applications for the computation of usual stereological parameters."
"en" => "We consider a stationary and isotropic bi-phasic (pore and solid) medium, draw many lines through it, and see each line as a one-dimensional level-cut process with value 0 or 1 according to whether a regular stationary process X is less or greater than a given level. The intervals corresponding to the points at which X is in a given phase are named chords. We are interested in obtaining information on the chord-length distribution functions. Working with the Palm probability measure and using level crossings techniques, in particular, Rice methods, we can obtain not only the exact analytical formula of the chord-length distribution function but also the joint distribution function of the lengths of two successive chords. Finally, we indicate some concrete applications for the computation of usual stereological parameters."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
2 => Essec\Faculty\Model\Contribution {#2300
#_index: "academ_contributions"
#_id: "997"
#_source: array:18 [
"id" => "997"
"slug" => "discussion-on-the-paper-elicitability-and-backtesting-perspectives-for-banking-regulation"
"yearMonth" => "2017-12"
"year" => "2017"
"title" => "Discussion on the Paper: Elicitability and Backtesting: Perspectives for Banking Regulation"
"description" => "KRATZ, M. (2017). Discussion on the Paper: Elicitability and Backtesting: Perspectives for Banking Regulation. <i>Annals of Applied Statistics</i>, 11(4), pp. 1894-1900."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Backtesting"
1 => "Forecasting"
2 => "Risk management"
3 => "Scoring rule"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://projecteuclid.org/euclid.aoas/1514430266"
"publicationInfo" => array:3 [
"pages" => "1894-1900"
"volume" => "11"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The discussion focuses on four points in the context of Basel 3. The first concerns the choice of test functions in the calibration tests. Then we discuss the interpretation of the “internal model,” as well as the choice of risk measures. Last, we consider the score difference stationarity, an important issue in practice."
"en" => "The discussion focuses on four points in the context of Basel 3. The first concerns the choice of test functions in the calibration tests. Then we discuss the interpretation of the “internal model,” as well as the choice of risk measures. Last, we consider the score difference stationarity, an important issue in practice."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
3 => Essec\Faculty\Model\Contribution {#2297
#_index: "academ_contributions"
#_id: "1177"
#_source: array:18 [
"id" => "1177"
"slug" => "explicit-diversification-benefit-for-dependent-risks"
"yearMonth" => "2016-04"
"year" => "2016"
"title" => "Explicit Diversification Benefit for Dependent Risks"
"description" => "DACOROGNA, M., ELBAHTOURI, L. et KRATZ, M. (2016). Explicit Diversification Benefit for Dependent Risks. <i>SCOR</i>."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DACOROGNA M."
]
2 => array:1 [
"name" => "ELBAHTOURI L."
]
]
"ouvrage" => ""
"keywords" => array:13 [
0 => "Aggregation of risks"
1 => "Archimedean copula"
2 => "Clayton"
3 => "Diversification (benefit)"
4 => "Gaussian"
5 => "Gumbel"
6 => "Heavy tail"
7 => "Mixing technique"
8 => "Pareto"
9 => "Risk measure"
10 => "TVaR"
11 => "VaR"
12 => "Weibull"
]
"updatedAt" => "2021-07-13 14:30:15"
"publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716093"
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue professionnelle"
"en" => "Professional journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and consequently the associated diversification benefit. The explicit formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models, which are popular in the reinsurance industry, Archimedean survival copulas and heavy tailed marginals. We explore numerically their behavior and compare them to the aggregation of independent random variables, as well as of linearly dependent ones. Moreover, the numerical convergence of Monte Carlo simulations of various quantities is tested against the analytical result. The speed of convergence appears to depend on the fatness of the tail; the higher the tail index, the faster the convergence."
"en" => "We propose a new approach to analyse the effect of diversification on a portfolio of risks. By means of mixing techniques, we provide an explicit formula for the probability density function of the portfolio. These techniques allow to compute analytically risk measures as VaR or TVaR, and consequently the associated diversification benefit. The explicit formulas constitute ideal tools to analyse the properties of risk measures and diversification benefit. We use standard models, which are popular in the reinsurance industry, Archimedean survival copulas and heavy tailed marginals. We explore numerically their behavior and compare them to the aggregation of independent random variables, as well as of linearly dependent ones. Moreover, the numerical convergence of Monte Carlo simulations of various quantities is tested against the analytical result. The speed of convergence appears to depend on the fatness of the tail; the higher the tail index, the faster the convergence."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
4 => Essec\Faculty\Model\Contribution {#2301
#_index: "academ_contributions"
#_id: "1321"
#_source: array:18 [
"id" => "1321"
"slug" => "how-fast-can-the-chord-length-distribution-decay"
"yearMonth" => "2011-07"
"year" => "2011"
"title" => "How Fast Can the Chord-Length Distribution Decay?"
"description" => "DEMICHEL, Y., ESTRADE, A., KRATZ, M. et SAMARODNITSKY, S. (2011). How Fast Can the Chord-Length Distribution Decay? <i>Advances in Applied Probability</i>, 43(2), pp. 504-523."
"authors" => array:4 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEMICHEL Y."
]
2 => array:1 [
"name" => "ESTRADE A."
]
3 => array:1 [
"name" => "SAMARODNITSKY S."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Chord length"
1 => "Crossing"
2 => "Gaussian field"
3 => "Bi-phasic medium"
4 => "Tail of distribution"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://hal.archives-ouvertes.fr/hal-00419202v1/document"
"publicationInfo" => array:3 [
"pages" => "504-523"
"volume" => "43"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The modeling of random bi-phasic, or porous, media has been, and still is, under active investigation by mathematicians, physicists or physicians. In this paper we consider a thresholded random process X as a source of the two phases. The intervals when X is in a given phase, named chords, are the subject of interest. We focus on the study of the tails of the chord-length distribution functions. In the literature, different types of the tail behavior have been reported, among them exponential-like or power-like decay. We look for the link between the dependence structure of the underlying thresholded process X and the rate of decay of the chord-length distribution. When the process X is a stationary Gaussian process, we relate the latter to the rate at which the covariance function of X decays at large lags. We show that exponential, or nearly exponential, decay of the tail of the distribution of the chord-lengths is very common, perhaps surprisingly so."
"en" => "The modeling of random bi-phasic, or porous, media has been, and still is, under active investigation by mathematicians, physicists or physicians. In this paper we consider a thresholded random process X as a source of the two phases. The intervals when X is in a given phase, named chords, are the subject of interest. We focus on the study of the tails of the chord-length distribution functions. In the literature, different types of the tail behavior have been reported, among them exponential-like or power-like decay. We look for the link between the dependence structure of the underlying thresholded process X and the rate of decay of the chord-length distribution. When the process X is a stationary Gaussian process, we relate the latter to the rate at which the covariance function of X decays at large lags. We show that exponential, or nearly exponential, decay of the tail of the distribution of the chord-lengths is very common, perhaps surprisingly so."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
5 => Essec\Faculty\Model\Contribution {#1845
#_index: "academ_contributions"
#_id: "1905"
#_source: array:18 [
"id" => "1905"
"slug" => "level-crossings-and-other-level-functionals-of-stationary-gaussian-processes"
"yearMonth" => "2006-01"
"year" => "2006"
"title" => "Level Crossings and Other Level Functionals of Stationary Gaussian Processes"
"description" => "KRATZ, M. (2006). Level Crossings and Other Level Functionals of Stationary Gaussian Processes. <i>Probability Surveys</i>, pp. 230-288."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => array:2 [
0 => "Gaussian processes"
1 => "Hermite polynomials"
]
"updatedAt" => "2020-12-17 17:55:06"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "230-288"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, representation into the Wiener Chaos, asymptotic results, rate of convergence, local time and number of crossings] are described, as well as the different approaches [normal comparison method, Rice method, Stein-Chen method, a general m-dependent method] used to obtain them, these methods are also very useful in the general context of Gaussian fields. Finally some extensions [time occupation functionals, number of maxima in an interval, process indexed by a bidimensional set] are proposed, illustrating the generality of the methods. A large inventory of papers and books on the subject ends the survey."
"en" => "This paper presents a synthesis on the mathematical work done on level crossings of stationary Gaussian processes, with some extensions. The main results [(factorial) moments, representation into the Wiener Chaos, asymptotic results, rate of convergence, local time and number of crossings] are described, as well as the different approaches [normal comparison method, Rice method, Stein-Chen method, a general m-dependent method] used to obtain them, these methods are also very useful in the general context of Gaussian fields. Finally some extensions [time occupation functionals, number of maxima in an interval, process indexed by a bidimensional set] are proposed, illustrating the generality of the methods. A large inventory of papers and books on the subject ends the survey."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
6 => Essec\Faculty\Model\Contribution {#2299
#_index: "academ_contributions"
#_id: "1906"
#_source: array:18 [
"id" => "1906"
"slug" => "level-curves-crossings-and-applications-for-gaussian-models"
"yearMonth" => "2010-09"
"year" => "2010"
"title" => "Level Curves Crossings and Applications for Gaussian Models"
"description" => "KRATZ, M. et LEON, J.R. (2010). Level Curves Crossings and Applications for Gaussian Models. <i>Extremes</i>, 13(3), pp. 315-351."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LEON J.R."
]
]
"ouvrage" => ""
"keywords" => array:9 [
0 => "Co-area formula"
1 => "Crossings"
2 => "CLT"
3 => "Gaussian fields"
4 => "Harmonic oscillator"
5 => "Hermite polynomials"
6 => "Level curve"
7 => "(Generalized) Rice formula"
8 => "Specular point"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://link.springer.com/article/10.1007/s10687-009-0090-x"
"publicationInfo" => array:3 [
"pages" => "315-351"
"volume" => "13"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Representations into the Itô-Wiener Chaos and asymptotic results such as CLTs are obtained for the curve-crossings number of a stationary Gaussian process according to the form of the curve. Applications in physics and sea modelling follow, with the study of the estimator of the natural frequency of a harmonic oscillator and the study of specular points."
"en" => "Representations into the Itô-Wiener Chaos and asymptotic results such as CLTs are obtained for the curve-crossings number of a stationary Gaussian process according to the form of the curve. Applications in physics and sea modelling follow, with the study of the estimator of the natural frequency of a harmonic oscillator and the study of specular points."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
7 => Essec\Faculty\Model\Contribution {#2302
#_index: "academ_contributions"
#_id: "2070"
#_source: array:18 [
"id" => "2070"
"slug" => "modeling-macroeconomic-effects-and-expert-judgements-in-operational-risk-a-bayesian-approach"
"yearMonth" => "2012-12"
"year" => "2012"
"title" => "Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach"
"description" => "CAPA SANTOS, H., KRATZ, M. et MOSQUERA MUNOZ, F. (2012). Modeling Macroeconomic Effects and Expert Judgements in Operational Risk: A Bayesian Approach. <i>Journal of Operational Risk</i>, 7(4), pp. 3-23."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CAPA SANTOS H."
]
2 => array:1 [
"name" => "MOSQUERA MUNOZ F."
]
]
"ouvrage" => ""
"keywords" => array:7 [
0 => "Quantitative risk management"
1 => "Solvency 2"
2 => "Basel II"
3 => "Bayesian inference"
4 => "Operational risk"
5 => "Macroeconomics dependence"
6 => "Loss distribution approach"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://hal-essec.archives-ouvertes.fr/hal-00690448"
"publicationInfo" => array:3 [
"pages" => "3-23"
"volume" => "7"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
We present in this paper a contribution on operational risk modeling. We consider a general Bayesian context incorporating information on market risk profile, experts opinion and operational losses, taking into account the general macroeconomic environment as well. This modeling aims at estimating a characteristic parameter of the operational risk severity distribution function, using those sources of information.\n
It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wüthrich, and analyses the influence of macroeconomic effects on operational risk. Our theoretical model suggests that severities of operational losses are more related to the macroeconomic environment than usually assumed.
"""
"en" => """
We present in this paper a contribution on operational risk modeling. We consider a general Bayesian context incorporating information on market risk profile, experts opinion and operational losses, taking into account the general macroeconomic environment as well. This modeling aims at estimating a characteristic parameter of the operational risk severity distribution function, using those sources of information.\n
It generalizes under more realistic conditions a study realized by Lambrigger, Shevchenko and Wüthrich, and analyses the influence of macroeconomic effects on operational risk. Our theoretical model suggests that severities of operational losses are more related to the macroeconomic environment than usually assumed.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
8 => Essec\Faculty\Model\Contribution {#2303
#_index: "academ_contributions"
#_id: "2085"
#_source: array:18 [
"id" => "2085"
"slug" => "multinomial-var-backtests-a-simple-implicit-approach-to-backtesting-expected-shortfall"
"yearMonth" => "2018-03"
"year" => "2018"
"title" => "Multinomial VaR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall"
"description" => "KRATZ, M., LOK, Y.H. et MCNEIL, A.J. (2018). Multinomial VaR Backtests: A Simple Implicit Approach to Backtesting Expected Shortfall. <i>Journal of Banking and Finance</i>, 88(C), pp. 393-407."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LOK Y. H."
]
2 => array:1 [
"name" => "MCNEIL A. J."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Backtesting"
1 => "Banking regulation"
2 => "Expected shortfall"
3 => "Financial risk management"
4 => "Statistical test"
5 => "Value-at-Risk"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0378426618300086"
"publicationInfo" => array:3 [
"pages" => "393-407"
"volume" => "88"
"number" => "C"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Under the Fundamental Review of the Trading Book, capital charges are based on the coherent Expected Shortfall (ES) risk measure, which is sensitive to tail risk. We argue that backtesting of the forecasting models used to derive ES can be based on a multinomial test of Value-at-Risk (VaR) exceptions at several levels. Using simulation experiments with heavy-tailed distributions and GARCH volatility models, we design a statistical procedure to show that at least four VaR levels are required to obtain tests for misspecified trading book models that are more powerful than single-level (or even two-level) binomial exception tests. A traffic-light system for model approval is proposed and illustrated with three real-data examples spanning the 2008 financial crisis."
"en" => "Under the Fundamental Review of the Trading Book, capital charges are based on the coherent Expected Shortfall (ES) risk measure, which is sensitive to tail risk. We argue that backtesting of the forecasting models used to derive ES can be based on a multinomial test of Value-at-Risk (VaR) exceptions at several levels. Using simulation experiments with heavy-tailed distributions and GARCH volatility models, we design a statistical procedure to show that at least four VaR levels are required to obtain tests for misspecified trading book models that are more powerful than single-level (or even two-level) binomial exception tests. A traffic-light system for model approval is proposed and illustrated with three real-data examples spanning the 2008 financial crisis."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
9 => Essec\Faculty\Model\Contribution {#2304
#_index: "academ_contributions"
#_id: "2100"
#_source: array:18 [
"id" => "2100"
"slug" => "new-results-for-tails-of-probability-distributions-according-to-their-asymptotic-decay"
"yearMonth" => "2016-02"
"year" => "2016"
"title" => "New Results for Tails of Probability Distributions According to Their Asymptotic Decay"
"description" => "CADENA, M. et KRATZ, M. (2016). New Results for Tails of Probability Distributions According to Their Asymptotic Decay. <i>Statistics and Probability Letters</i>, 109, pp. 178-183."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CADENA M."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Asymptotic behavior"
1 => "Maximum domains of attraction"
2 => "Fréchet"
3 => "Gumbel"
4 => "Pickands–Balkema–de Haan Theorem"
5 => "Regularly varying function"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0167715215300237"
"publicationInfo" => array:3 [
"pages" => "178-183"
"volume" => "109"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper provides new properties for tails of probability distributions belonging to a class defined according to the asymptotic decay of the tails. This class contains the one of regularly varying tails of distributions. The main results concern the relation between this larger class and the maximum domains of attraction of Fréchet and Gumbel."
"en" => "This paper provides new properties for tails of probability distributions belonging to a class defined according to the asymptotic decay of the tails. This class contains the one of regularly varying tails of distributions. The main results concern the relation between this larger class and the maximum domains of attraction of Fréchet and Gumbel."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
10 => Essec\Faculty\Model\Contribution {#2305
#_index: "academ_contributions"
#_id: "2105"
#_source: array:18 [
"id" => "2105"
"slug" => "normex-a-new-method-for-evaluating-the-distribution-of-aggregated-heavy-tailed-risks"
"yearMonth" => "2014-12"
"year" => "2014"
"title" => "Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks"
"description" => "KRATZ, M. (2014). Normex, a New Method for Evaluating the Distribution of Aggregated Heavy Tailed Risks. <i>Extremes</i>, 17(4), pp. 661-691."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.researchgate.net/publication/284837102_Normex_a_new_method_for_evaluating_the_distribution_of_aggregated_heavy_tailed_risks"
"publicationInfo" => array:3 [
"pages" => "661-691"
"volume" => "17"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We develop theoretically as well as numerically a new method, Normex, for the sum of independent heavy tailed distributed random variables, to obtain the most accurate evaluation of its entire distribution. Normex provides sharp results, whatever the number of summands and the tail index are. It is particularly suited when the Central Limit Theorem (CLT) applies but with slow convergence of the mean and with a poor approximation for the tail. Hence, it is filling up a gap in the literature by giving an appropriate limit distribution in this case, in general better than with most standard methods. An application is developed to evaluate the Value-at-Risk of the yearly log returns of financial assets."
"en" => "We develop theoretically as well as numerically a new method, Normex, for the sum of independent heavy tailed distributed random variables, to obtain the most accurate evaluation of its entire distribution. Normex provides sharp results, whatever the number of summands and the tail index are. It is particularly suited when the Central Limit Theorem (CLT) applies but with slow convergence of the mean and with a poor approximation for the tail. Hence, it is filling up a gap in the literature by giving an appropriate limit distribution in this case, in general better than with most standard methods. An application is developed to evaluate the Value-at-Risk of the yearly log returns of financial assets."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
11 => Essec\Faculty\Model\Contribution {#2306
#_index: "academ_contributions"
#_id: "2122"
#_source: array:18 [
"id" => "2122"
"slug" => "on-functions-bounded-by-karamata-functions"
"yearMonth" => "2019-03"
"year" => "2019"
"title" => "On functions bounded by Karamata functions"
"description" => "CADENA, M., KRATZ, M. et OMEY, E. (2019). On functions bounded by Karamata functions. <i>Journal of Mathematical Sciences</i>, 237(5), pp. 621-630."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CADENA M."
]
2 => array:1 [
"name" => "OMEY E."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2023-05-24 16:21:49"
"publicationUrl" => "https://link.springer.com/article/10.1007/s10958-019-04187-z"
"publicationInfo" => array:3 [
"pages" => "621-630"
"volume" => "237"
"number" => "5"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We define a new class of positive and measurable functions that are bounded by regularly varying functions (which were introduced by Karamata). We study integrals and Laplace transforms of these functions. We use the obtained results to study the tail of convolutions of distribution functions. The results are extended to functions that are bounded by O-regularly varying functions."
"en" => "We define a new class of positive and measurable functions that are bounded by regularly varying functions (which were introduced by Karamata). We study integrals and Laplace transforms of these functions. We use the obtained results to study the tail of convolutions of distribution functions. The results are extended to functions that are bounded by O-regularly varying functions."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
12 => Essec\Faculty\Model\Contribution {#2307
#_index: "academ_contributions"
#_id: "2129"
#_source: array:18 [
"id" => "2129"
"slug" => "on-the-capacity-functional-of-excursion-sets-of-gaussian-random-fields-on-r%c2%b2"
"yearMonth" => "2016-09"
"year" => "2016"
"title" => "On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R²"
"description" => "KRATZ, M. et NAGEL, W. (2016). On the Capacity Functional of Excursion Sets of Gaussian Random Fields on R². <i>Advances in Applied Probability</i>, 48(3), pp. 712-725."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "NAGEL W."
]
]
"ouvrage" => ""
"keywords" => array:10 [
0 => "Capacity functional"
1 => "Crossings"
2 => "Excursion set"
3 => "Gaussian field"
4 => "Growing circle method"
5 => "Rice formula"
6 => "Second moment measure"
7 => "Sweeping line method"
8 => "Stereology"
9 => "Stochastic geometry"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.cambridge.org/core/journals/advances-in-applied-probability/article/abs/on-the-capacity-functional-of-excursion-sets-of-gaussian-random-fields-on-2/3A82FDC50E850497837BA1457551B43E"
"publicationInfo" => array:3 [
"pages" => "712-725"
"volume" => "48"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "When a random field (X_t, t in R²) is thresholded on a given level u, the excursion set is given by its indicator 1(X_t>u). The purpose of this work is to study functionals (as established in stochastic geometry) of these random excursion sets, as, e.g., the capacity functional as well as the second moment measure of the boundary length. It extends results obtained for the one-dimensional case to the two-dimensional case, with tools borrowed from crossings theory, in particular Rice methods, and from integral and stochastic geometry."
"en" => "When a random field (X_t, t in R²) is thresholded on a given level u, the excursion set is given by its indicator 1(X_t>u). The purpose of this work is to study functionals (as established in stochastic geometry) of these random excursion sets, as, e.g., the capacity functional as well as the second moment measure of the boundary length. It extends results obtained for the one-dimensional case to the two-dimensional case, with tools borrowed from crossings theory, in particular Rice methods, and from integral and stochastic geometry."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
13 => Essec\Faculty\Model\Contribution {#2308
#_index: "academ_contributions"
#_id: "2132"
#_source: array:18 [
"id" => "2132"
"slug" => "on-the-order-of-functions-at-infinity"
"yearMonth" => "2017-08"
"year" => "2017"
"title" => "On the Order of Functions at Infinity"
"description" => "CADENA, M., KRATZ, M. et OMEY, E. (2017). On the Order of Functions at Infinity. <i>Journal of Mathematical Analysis and Applications</i>, 452(1), pp. 109-125."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CADENA M."
]
2 => array:1 [
"name" => "OMEY E."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Karamata's theorem"
1 => "Karamata's Tauberian theorem"
2 => "Regular variation"
3 => "Representation theorems"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0022247X17301920"
"publicationInfo" => array:3 [
"pages" => "109-125"
"volume" => "452"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We define a new class of positive and measurable functions in terms of their asymptotic behavior at infinity. This new class extends the class of regularly varying functions, for broader applications. We provide different characterizations of the new class and consider integrals, convolutions and Laplace transforms. We give some applications in probability theory. Some natural extensions of the new class are also derived."
"en" => "We define a new class of positive and measurable functions in terms of their asymptotic behavior at infinity. This new class extends the class of regularly varying functions, for broader applications. We provide different characterizations of the new class and consider integrals, convolutions and Laplace transforms. We give some applications in probability theory. Some natural extensions of the new class are also derived."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
14 => Essec\Faculty\Model\Contribution {#2309
#_index: "academ_contributions"
#_id: "614"
#_source: array:18 [
"id" => "614"
"slug" => "alarm-system-for-insurance-companies-a-strategy-for-capital-allocation"
"yearMonth" => "2012-07"
"year" => "2012"
"title" => "Alarm System for Insurance Companies: A Strategy for Capital Allocation"
"description" => "DAS, S. et KRATZ, M. (2012). Alarm System for Insurance Companies: A Strategy for Capital Allocation. <i>Insurance: Mathematics and Economics</i>, 51(1), pp. 53-65."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DAS S."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Alarm system"
1 => "Capital accumulation function"
2 => "Capital allocation"
3 => "Quantitative risk management"
4 => "Risk process"
5 => "Ruin probability"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S016766871200025X"
"publicationInfo" => array:3 [
"pages" => "53-65"
"volume" => "51"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement outgo for the insurance company. The main purpose of this work is to design an effective alarm system, i.e. to define alarm times and to recommend augmentation of capital of suitable magnitude at those points to reduce the chance of ruin.\n
To draw a fair measure of effectiveness of alarm system, comparison is drawn between an alarm system, with capital being added at the sound of every alarm, and the corresponding system without any alarm, but an equivalently higher initial capital. Analytical results are obtained in general setup and this is backed up by simulated performances with various types of loss severity distributions. This provides a strategy for suitably spreading out the capital and yet addressing survivability concerns at satisfactory level.
"""
"en" => """
One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement outgo for the insurance company. The main purpose of this work is to design an effective alarm system, i.e. to define alarm times and to recommend augmentation of capital of suitable magnitude at those points to reduce the chance of ruin.\n
To draw a fair measure of effectiveness of alarm system, comparison is drawn between an alarm system, with capital being added at the sound of every alarm, and the corresponding system without any alarm, but an equivalently higher initial capital. Analytical results are obtained in general setup and this is backed up by simulated performances with various types of loss severity distributions. This provides a strategy for suitably spreading out the capital and yet addressing survivability concerns at satisfactory level.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
15 => Essec\Faculty\Model\Contribution {#2310
#_index: "academ_contributions"
#_id: "633"
#_source: array:18 [
"id" => "633"
"slug" => "an-extreme-value-theory-approach-for-the-early-detection-of-time-clusters-a-simulation-based-assessment-and-an-illustration-to-the-surveillance-of-salmonella"
"yearMonth" => "2014-12"
"year" => "2014"
"title" => "An Extreme Value Theory Approach for the Early Detection of Time Clusters. A Simulation-Based Assessment and an Illustration to the Surveillance of Salmonella"
"description" => "GUILLOU, A., KRATZ, M. et LE STRAT, Y. (2014). An Extreme Value Theory Approach for the Early Detection of Time Clusters. A Simulation-Based Assessment and an Illustration to the Surveillance of Salmonella. <i>Statistics in Medicine</i>, 33(28), pp. 5015-5027."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "GUILLOU A."
]
2 => array:1 [
"name" => "LE STRAT Y."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Extreme value theory"
1 => "Return level"
2 => "Return period"
3 => "Outbreak detection"
4 => "Salmonella"
5 => "Surveillance"
]
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://onlinelibrary.wiley.com/doi/abs/10.1002/sim.6275"
"publicationInfo" => array:3 [
"pages" => "5015-5027"
"volume" => "33"
"number" => "28"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a new method which could be part of a warning system for the early detection of time clusters applied to public health surveillance data. This method is based on the extreme value theory (EVT). To any new count of a particular infection reported to a surveillance system, we associate a return period which corresponds to the time that we expect to be able to see again such a level. If such a level is reached, an alarm is generated. Although standard EVT is only defined in the context of continuous observations, our approach allows to handle the case of discrete observations occurring in the public health surveillance framework. Moreover it applies without any assumption on the underlying unknown distribution function. The performance of our method is assessed on an extensive simulation study and is illustrated on real data from Salmonella surveillance in France."
"en" => "We propose a new method which could be part of a warning system for the early detection of time clusters applied to public health surveillance data. This method is based on the extreme value theory (EVT). To any new count of a particular infection reported to a surveillance system, we associate a return period which corresponds to the time that we expect to be able to see again such a level. If such a level is reached, an alarm is generated. Although standard EVT is only defined in the context of continuous observations, our approach allows to handle the case of discrete observations occurring in the public health surveillance framework. Moreover it applies without any assumption on the underlying unknown distribution function. The performance of our method is assessed on an extensive simulation study and is illustrated on real data from Salmonella surveillance in France."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
16 => Essec\Faculty\Model\Contribution {#2311
#_index: "academ_contributions"
#_id: "769"
#_source: array:18 [
"id" => "769"
"slug" => "central-limit-theorem-for-lipschitz-killing-curvatures-of-excursion-sets-of-gaussian-random-fields"
"yearMonth" => "2017-04"
"year" => "2017"
"title" => "Central Limit Theorem for Lipschitz–Killing Curvatures of Excursion Sets of Gaussian Random Fields"
"description" => "KRATZ, M. et VADLAMANI, S. (2017). Central Limit Theorem for Lipschitz–Killing Curvatures of Excursion Sets of Gaussian Random Fields. <i>Journal of Theoretical Probability</i>, 31(3), pp. 1729-1758."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "VADLAMANI S."
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Chaos expansion"
1 => "CLT"
2 => "Excursion sets"
3 => "Gaussian fields"
4 => "Lipschitz-Killing curvatures"
]
"updatedAt" => "2023-02-14 01:00:12"
"publicationUrl" => "https://link.springer.com/article/10.1007%2Fs10959-017-0760-6"
"publicationInfo" => array:3 [
"pages" => "1729-1758"
"volume" => "31"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Our interest in this paper is to explore limit theorems for various geometric functionals of excursion sets of isotropic Gaussian random fields. In the past, asymptotics of nonlinear functionals of Gaussian random fields have been studied [see Berman (Sojourns and extremes of stochastic processes, Wadsworth & Brooks, Monterey, 1991), Kratz and León (Extremes 3(1):57–86, 2000), Kratz and León (J Theor Probab 14(3):639–672, 2001), Meshenmoser and Shashkin (Stat Probab Lett 81(6):642–646, 2011), Pham (Stoch Proc Appl 123(6):2158–2174, 2013), Spodarev (Chapter in modern stochastics and applications, volume 90 of the series Springer optimization and its applications, pp 221–241, 2013) for a sample of works in such settings], the most recent addition being (Adler and Naitzat in Stoch Proc Appl 2016; Estrade and León in Ann Probab 2016) where a central limit theorem (CLT) for Euler integral and Euler–Poincaré characteristic, respectively, of the excursions set of a Gaussian random field is proven under some conditions. In this paper, we obtain a CLT for some global geometric functionals, called the Lipschitz–Killing curvatures of excursion sets of Gaussian random fields, in an appropriate setting."
"en" => "Our interest in this paper is to explore limit theorems for various geometric functionals of excursion sets of isotropic Gaussian random fields. In the past, asymptotics of nonlinear functionals of Gaussian random fields have been studied [see Berman (Sojourns and extremes of stochastic processes, Wadsworth & Brooks, Monterey, 1991), Kratz and León (Extremes 3(1):57–86, 2000), Kratz and León (J Theor Probab 14(3):639–672, 2001), Meshenmoser and Shashkin (Stat Probab Lett 81(6):642–646, 2011), Pham (Stoch Proc Appl 123(6):2158–2174, 2013), Spodarev (Chapter in modern stochastics and applications, volume 90 of the series Springer optimization and its applications, pp 221–241, 2013) for a sample of works in such settings], the most recent addition being (Adler and Naitzat in Stoch Proc Appl 2016; Estrade and León in Ann Probab 2016) where a central limit theorem (CLT) for Euler integral and Euler–Poincaré characteristic, respectively, of the excursions set of a Gaussian random field is proven under some conditions. In this paper, we obtain a CLT for some global geometric functionals, called the Lipschitz–Killing curvatures of excursion sets of Gaussian random fields, in an appropriate setting."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
17 => Essec\Faculty\Model\Contribution {#2312
#_index: "academ_contributions"
#_id: "2677"
#_source: array:18 [
"id" => "2677"
"slug" => "the-impact-of-systemic-risk-on-the-diversification-benefits-of-a-risk-portfolio"
"yearMonth" => "2014-07"
"year" => "2014"
"title" => "The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio"
"description" => "BUSSE, M., DACAOROGNA, M. et KRATZ, M. (2014). The Impact of Systemic Risk on the Diversification Benefits of a Risk Portfolio. <i>Risks</i>, 2, pp. 260-276."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "BUSSE M."
]
2 => array:1 [
"name" => "DACAOROGNA M."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.researchgate.net/publication/259044786_The_Impact_of_Systemic_Risk_on_the_Diversification_Benefits_of_a_Risk_Portfolio"
"publicationInfo" => array:3 [
"pages" => "260-276"
"volume" => "2"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach could be easily generalized for investment risk. We see that, even with a small probability of occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non-diversifiable term that appears in the analytical expression of the variance of our models. We propose two ways of introducing it and discuss their advantages and limitations. By using both VaR and TVaR to compute the loading, we see that only the latter captures the full effect of systemic risk when its probability to occur is low."
"en" => "Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a probabilistic approach to examine the consequences of its presence on the risk loading of the premium of a portfolio of insurance policies. This approach could be easily generalized for investment risk. We see that, even with a small probability of occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non-diversifiable term that appears in the analytical expression of the variance of our models. We propose two ways of introducing it and discuss their advantages and limitations. By using both VaR and TVaR to compute the loading, we see that only the latter captures the full effect of systemic risk when its probability to occur is low."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
18 => Essec\Faculty\Model\Contribution {#2313
#_index: "academ_contributions"
#_id: "2835"
#_source: array:18 [
"id" => "2835"
"slug" => "validation-of-aggregated-risks-models"
"yearMonth" => "2018-09"
"year" => "2018"
"title" => "Validation of Aggregated Risks Models"
"description" => "DACOROGNA, M., ELBAHTOURI, L. et KRATZ, M. (2018). Validation of Aggregated Risks Models. <i>Annals of Actuarial Science</i>, 12(2), pp. 1-22."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DACOROGNA M."
]
2 => array:1 [
"name" => "ELBAHTOURI L."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.researchgate.net/publication/321495926_Validation_of_aggregated_risks_models"
"publicationInfo" => array:3 [
"pages" => "1-22"
"volume" => "12"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Validation of risk models is required by regulators and demanded by management and shareholders. Those models rely in practice heavily on Monte Carlo (MC) simulations. Given their complexity, the convergence of the MC algorithm is difficult to prove mathematically. To circumvent this problem and nevertheless explore the conditions of convergence, we suggest an analytical approach. Considering standard models, we compute, via mixing techniques, closed form formulas for risk measures as Value-at-Risk (VaR) VaR or Tail Value-at-Risk (TVaR) TVaR on a portfolio of risks, and consequently for the associated diversification benefit. The numerical convergence of MC simulations of those various quantities is then tested against their analytical evaluations. The speed of convergence appears to depend on the fatness of the tail of the marginal distributions; the higher the tail index, the faster the convergence. We also explore the behaviour of the diversification benefit with various dependence structures and marginals (heavy and light tails). As expected, it varies heavily with the type of dependence between aggregated risks. The diversification benefit is also studied as a function of the risk measure, VaR or TVaR."
"en" => "Validation of risk models is required by regulators and demanded by management and shareholders. Those models rely in practice heavily on Monte Carlo (MC) simulations. Given their complexity, the convergence of the MC algorithm is difficult to prove mathematically. To circumvent this problem and nevertheless explore the conditions of convergence, we suggest an analytical approach. Considering standard models, we compute, via mixing techniques, closed form formulas for risk measures as Value-at-Risk (VaR) VaR or Tail Value-at-Risk (TVaR) TVaR on a portfolio of risks, and consequently for the associated diversification benefit. The numerical convergence of MC simulations of those various quantities is then tested against their analytical evaluations. The speed of convergence appears to depend on the fatness of the tail of the marginal distributions; the higher the tail index, the faster the convergence. We also explore the behaviour of the diversification benefit with various dependence structures and marginals (heavy and light tails). As expected, it varies heavily with the type of dependence between aggregated risks. The diversification benefit is also studied as a function of the risk measure, VaR or TVaR."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
19 => Essec\Faculty\Model\Contribution {#2314
#_index: "academ_contributions"
#_id: "2876"
#_source: array:18 [
"id" => "2876"
"slug" => "what-is-the-best-risk-measure-in-practice-a-comparison-of-standard-measures"
"yearMonth" => "2015-12"
"year" => "2015"
"title" => "What Is the Best Risk Measure in Practice? A Comparison of Standard Measures"
"description" => "EMMER, S., KRATZ, M. et TASCHE, D. (2015). What Is the Best Risk Measure in Practice? A Comparison of Standard Measures. <i>Journal of Risk</i>, 18(2), pp. 31-60."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "EMMER S."
]
2 => array:1 [
"name" => "TASCHE D."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-02-02 16:16:18"
"publicationUrl" => "https://www.researchgate.net/publication/290797597_What_is_the_best_risk_measure_in_practice_A_comparison_of_standard_measures"
"publicationInfo" => array:3 [
"pages" => "31-60"
"volume" => "18"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES is less straight-forward than, e.g., backtesting for VaR. Expectiles have been suggested as potentially better alternatives to both ES and VaR. In this paper, we revisit commonly accepted desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and Expectiles with regard to whether or not they enjoy these properties, with particular emphasis on Expectiles. We also consider their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to the estimation and backtesting of ES, it can be considered a good risk measure. In particular, there is no sufficient evidence to justify an all-inclusive replacement of ES by Expectiles in applications, especially as we provide an alternative way for backtesting of ES."
"en" => "Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR). At the same time, however, it has been criticized for issues relating to backtesting. In particular, ES has been found not to be elicitable which means that backtesting for ES is less straight-forward than, e.g., backtesting for VaR. Expectiles have been suggested as potentially better alternatives to both ES and VaR. In this paper, we revisit commonly accepted desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and Expectiles with regard to whether or not they enjoy these properties, with particular emphasis on Expectiles. We also consider their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to the estimation and backtesting of ES, it can be considered a good risk measure. In particular, there is no sufficient evidence to justify an all-inclusive replacement of ES by Expectiles in applications, especially as we provide an alternative way for backtesting of ES."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
20 => Essec\Faculty\Model\Contribution {#2315
#_index: "academ_contributions"
#_id: "4008"
#_source: array:18 [
"id" => "4008"
"slug" => "mathematics-of-risk-introduction-to-extreme-value-theory-applications-to-risk-analysis-management"
"yearMonth" => "2019-04"
"year" => "2019"
"title" => "Mathematics of Risk - Introduction to Extreme Value Theory. Applications to Risk Analysis & Management"
"description" => "KRATZ, M. (2019). Mathematics of Risk - Introduction to Extreme Value Theory. Applications to Risk Analysis & Management. Dans: <i>2017 MATRIX Annals - Mathematics of Risk</i>. 1st ed. Springer, pp. 591-637."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "2017 MATRIX Annals - Mathematics of Risk"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "591-637"
"volume" => "2"
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
We present an overview of Univariate Extreme Value Theory (EVT) providing standard and new tools to model the tails of distributions. One of the main issues in the statistical literature of extremes concerns the tail index estimation, which governs the probability of extreme occurrences. This estimation relies heavily on the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one qualified as ’supervised’, using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other class collects unsupervised methods, where the threshold is algorithmically determined. We introduce here a new and practically relevant method belonging to this second class. It is a self-calibrating method for modeling heavy tailed data, which we developed with N. Debbabi and M. Mboup. Effectiveness of the method is addressed on simulated data, followed by applications in neuro-science and finance. Results are compared with those obtained by more standard EVT approaches. Then we turn to the notion of dependence and the various ways to measure it, in particular in the tails. Through examples, we show that dependence is also a crucial topic in risk analysis and management. Underestimating the dependence among extreme risks can lead to serious consequences, as for instance those we experienced during the last financial crisis. We introduce the notion of copula, which splits the dependence structure from the marginal distribution, and show how to use it in practice. Taking into account the dependence between random variables (risks) allows us to extend univariate EVT to multivariate EVT. We only give the first steps of the latter, to motivate the reader to follow or to participate in the increasing research development on this topic.\n
\n
EVT; stochastic dependence
"""
"en" => """
We present an overview of Univariate Extreme Value Theory (EVT) providing standard and new tools to model the tails of distributions. One of the main issues in the statistical literature of extremes concerns the tail index estimation, which governs the probability of extreme occurrences. This estimation relies heavily on the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one qualified as ’supervised’, using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other class collects unsupervised methods, where the threshold is algorithmically determined. We introduce here a new and practically relevant method belonging to this second class. It is a self-calibrating method for modeling heavy tailed data, which we developed with N. Debbabi and M. Mboup. Effectiveness of the method is addressed on simulated data, followed by applications in neuro-science and finance. Results are compared with those obtained by more standard EVT approaches. Then we turn to the notion of dependence and the various ways to measure it, in particular in the tails. Through examples, we show that dependence is also a crucial topic in risk analysis and management. Underestimating the dependence among extreme risks can lead to serious consequences, as for instance those we experienced during the last financial crisis. We introduce the notion of copula, which splits the dependence structure from the marginal distribution, and show how to use it in practice. Taking into account the dependence between random variables (risks) allows us to extend univariate EVT to multivariate EVT. We only give the first steps of the latter, to motivate the reader to follow or to participate in the increasing research development on this topic.\n
\n
EVT; stochastic dependence
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
21 => Essec\Faculty\Model\Contribution {#2316
#_index: "academ_contributions"
#_id: "4048"
#_source: array:18 [
"id" => "4048"
"slug" => "on-the-estimation-of-the-distribution-of-aggregated-heavy-tailed-risks-application-to-risk-measures"
"yearMonth" => "2016-11"
"year" => "2016"
"title" => "On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures"
"description" => "KRATZ, M. (2016). On the Estimation of the Distribution of Aggregated Heavy-Tailed Risks: Application to Risk Measures. Dans: <i>Extreme Events in Finance: Handbook of Extreme Value Theory and Its Applications</i>. 1st ed. Wiley, pp. 239-282."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "Extreme Events in Finance: Handbook of Extreme Value Theory and Its Applications"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "239-282"
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Chapitres"
"en" => "Book chapters"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The presence of heavy tails has been long recognized for financial and insurance data, which makes the gaussian distribution a poor approximation of the extreme risks distribution. The main objective of this study is to tackle this problem by, on one hand, obtaining the most accurate evaluations of the aggregated risks distribution and thus the risk measures used in solvency regulations, and, on the other hand, by providing practical solutions for estimating high quantiles of aggregated risks. In this chapter, we explore theoretically as well as numerically new approaches to handle this question, based on properties of upper order statistics and on trimmed sums. We show that these approaches compare very favorably to existing methods, for instance with the one based on the Generalized Central Limit Theorem."
"en" => "The presence of heavy tails has been long recognized for financial and insurance data, which makes the gaussian distribution a poor approximation of the extreme risks distribution. The main objective of this study is to tackle this problem by, on one hand, obtaining the most accurate evaluations of the aggregated risks distribution and thus the risk measures used in solvency regulations, and, on the other hand, by providing practical solutions for estimating high quantiles of aggregated risks. In this chapter, we explore theoretically as well as numerically new approaches to handle this question, based on properties of upper order statistics and on trimmed sums. We show that these approaches compare very favorably to existing methods, for instance with the one based on the Generalized Central Limit Theorem."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
22 => Essec\Faculty\Model\Contribution {#2317
#_index: "academ_contributions"
#_id: "4331"
#_source: array:18 [
"id" => "4331"
"slug" => "a-multinomial-test-to-discriminate-between-models"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "A Multinomial Test to Discriminate Between Models"
"description" => "KRATZ, M., LOK, Y. et NCNEIL, A. (2016). A Multinomial Test to Discriminate Between Models. Dans: <i>2016 ASTIN Colloquium</i>. Lisbon School of Economics and Management."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LOK Y."
]
2 => array:1 [
"name" => "NCNEIL A."
]
]
"ouvrage" => "2016 ASTIN Colloquium"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
23 => Essec\Faculty\Model\Contribution {#2318
#_index: "academ_contributions"
#_id: "9696"
#_source: array:18 [
"id" => "9696"
"slug" => "approximation-poissonnienne-relative-du-processus-empirique"
"yearMonth" => "1993-05"
"year" => "1993"
"title" => "Approximation Poissonnienne relative du processus empirique"
"description" => "KRATZ, M. (1993). Approximation Poissonnienne relative du processus empirique., 316, série I, pp. 1221-1224."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "AMS classification "
1 => "Poisson approximation"
2 => "uniform empirical process"
]
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1221-1224"
"volume" => "316, série I"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We use a direct method to study the relative Poisson approximation of the uniform empirical process."
"en" => "We use a direct method to study the relative Poisson approximation of the uniform empirical process."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
24 => Essec\Faculty\Model\Contribution {#2319
#_index: "academ_contributions"
#_id: "9717"
#_source: array:18 [
"id" => "9717"
"slug" => "statistics-of-tails-of-distributions-and-poisson-approximation"
"yearMonth" => "1993-03"
"year" => "1993"
"title" => "Statistics of tails of distributions and Poisson approximation"
"description" => "KRATZ, M. (1993). <i>Statistics of tails of distributions and Poisson approximation</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:19"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
25 => Essec\Faculty\Model\Contribution {#2320
#_index: "academ_contributions"
#_id: "9737"
#_source: array:18 [
"id" => "9737"
"slug" => "on-the-convergence-of-the-number-of-exceedances-of-nonstationary-normal-sequences"
"yearMonth" => "1994-05"
"year" => "1994"
"title" => "On the convergence of the number of exceedances of nonstationary normal sequences"
"description" => "KRATZ, M. et HÜSLER, J. (1994). On the convergence of the number of exceedances of nonstationary normal sequences. Dans: <i>Extreme Value Theory and Applications</i>. Gaithersburg: Journal of Research of the National Institute of Standards and Technology, pp. 539-542."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "HÜSLER Jürg"
]
]
"ouvrage" => "Extreme Value Theory and Applications"
"keywords" => array:1 [
0 => "AMS classification extreme value theory"
]
"updatedAt" => "2021-07-13 14:31:19"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "539-542"
"volume" => "99"
"number" => "4"
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We analyze the rate of convergence of the number of exceedances of normal sequences to the Poisson limit and extend the result to the nonstationary case by using the Stein-Chen method. In addition, we consider the cases of exceedances of a constant level as well as of a particular nonconstant level."
"en" => "We analyze the rate of convergence of the number of exceedances of normal sequences to the Poisson limit and extend the result to the nonstationary case by using the Stein-Chen method. In addition, we consider the cases of exceedances of a constant level as well as of a particular nonconstant level."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
26 => Essec\Faculty\Model\Contribution {#2321
#_index: "academ_contributions"
#_id: "9759"
#_source: array:18 [
"id" => "9759"
"slug" => "rate-of-poisson-approximation-of-the-number-of-exceedances-of-nonstationary-normal-sequences"
"yearMonth" => "1995-05"
"year" => "1995"
"title" => "Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences"
"description" => "KRATZ, M. et HÜSLER, J. (1995). Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences. <i>Stochastic Processes and their Applications</i>, 55, pp. 301-313."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "HÜSLER Jürg"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "AMS classification -Stein-Chen approximation"
1 => "rate of convergence"
2 => "exceedances -maxima"
3 => "nonstationary Gaussian sequences"
]
"updatedAt" => "2021-07-13 14:31:20"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "301-313"
"volume" => "55"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "It is known that the partial maximum of nonstationary Gaussian sequences converges in distribution and that the number of exceedances of a boundary is asymptotically a Poisson random variable, under certain restrictions. We investigate the rate of Poisson approximation for the number of exceedances. We generalize the result known in the stationary case, showing that the given bound of the rate depends on the largest positive auto-correlation value (less than 1) and the lowest values of the nonconstant boundary. We show that for special cases this bound cannot be improved."
"en" => "It is known that the partial maximum of nonstationary Gaussian sequences converges in distribution and that the number of exceedances of a boundary is asymptotically a Poisson random variable, under certain restrictions. We investigate the rate of Poisson approximation for the number of exceedances. We generalize the result known in the stationary case, showing that the given bound of the rate depends on the largest positive auto-correlation value (less than 1) and the lowest values of the nonconstant boundary. We show that for special cases this bound cannot be improved."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
27 => Essec\Faculty\Model\Contribution {#2322
#_index: "academ_contributions"
#_id: "9781"
#_source: array:18 [
"id" => "9781"
"slug" => "parameter-estimation-for-moving-averages-with-positive-innovations"
"yearMonth" => "1996-01"
"year" => "1996"
"title" => "Parameter estimation for moving averages with positive innovations"
"description" => "KRATZ, M., RESNICK, S. et FEIGIN, P. (1996). Parameter estimation for moving averages with positive innovations. <i>Annals of Applied Probability</i>, 6, pp. 1157-1190."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "RESNICK Sidney"
]
2 => array:1 [
"name" => "FEIGIN Paul"
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "AMS classification -ARMA"
]
"updatedAt" => "2021-07-13 14:31:20"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1157-1190"
"volume" => "6"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper continues the study of time series models generated by non-negative innovations which was begun in Feigin and Resnick (1992,1994). We concentrate on moving average processes. Estimators for moving average coefficients are proposed and consistency and asymptotic distributions established for the case of an order one moving average assuming either the right or left tail of the innovation distribution is regularly varying. The rate of convergence can be superior to that of the Yule--Walker or maximum likelihood estimators."
"en" => "This paper continues the study of time series models generated by non-negative innovations which was begun in Feigin and Resnick (1992,1994). We concentrate on moving average processes. Estimators for moving average coefficients are proposed and consistency and asymptotic distributions established for the case of an order one moving average assuming either the right or left tail of the innovation distribution is regularly varying. The rate of convergence can be superior to that of the Yule--Walker or maximum likelihood estimators."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
28 => Essec\Faculty\Model\Contribution {#2323
#_index: "academ_contributions"
#_id: "9788"
#_source: array:18 [
"id" => "9788"
"slug" => "the-q-q-estimator-and-heavy-tails"
"yearMonth" => "1996-04"
"year" => "1996"
"title" => "The Q-Q estimator and heavy tails"
"description" => "KRATZ, M. et RESNICK, S. (1996). The Q-Q estimator and heavy tails. <i>Stochastic Models</i>, 12(4), pp. 699-724."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "RESNICK Sidney"
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "AMS classification -parameter estimation"
1 => "weak convergence"
2 => "consistency -time series analysis -qq-plot -heavy tails -regular variation"
]
"updatedAt" => "2021-07-13 14:31:20"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "699-724"
"volume" => "12"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "A common visual technique for assessing goodness of fit and estimating location and scale is the qq--plot. We apply this technique to data from a Pareto distribution and more generally to data generated by a distribution with a heavy tail. A procedure for assessing the presence of heavy tails and for estimating the parameter of regular variation is discussed which can supplement other standard techniques such as the Hill plot. Some examples are given using telecommunications data."
"en" => "A common visual technique for assessing goodness of fit and estimating location and scale is the qq--plot. We apply this technique to data from a Pareto distribution and more generally to data generated by a distribution with a heavy tail. A procedure for assessing the presence of heavy tails and for estimating the parameter of regular variation is discussed which can supplement other standard techniques such as the Hill plot. Some examples are given using telecommunications data."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
29 => Essec\Faculty\Model\Contribution {#2324
#_index: "academ_contributions"
#_id: "9806"
#_source: array:18 [
"id" => "9806"
"slug" => "hermite-polynomial-expansion-for-non-smooth-functionals-of-stationary-gaussian-processes-crossings-and-extremes"
"yearMonth" => "1997-03"
"year" => "1997"
"title" => "Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: crossings and extremes"
"description" => "KRATZ, M. et LEON, J. (1997). Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: crossings and extremes. <i>Stochastic Processes and their Applications</i>, 66(2), pp. 237-252."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LEON José"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "AMS classification"
1 => "Gaussian processes"
2 => "Crossings"
3 => "Extremes"
4 => "Hermite polynomial expansion"
]
"updatedAt" => "2021-07-13 14:31:20"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "237-252"
"volume" => "66"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a new method to get the Hermite polynomial expansion of crossings of any level by a stationary Gaussian process, as well as the one of the number of maxima in an interval, under some assumptions on the spectral moments of the process."
"en" => "We propose a new method to get the Hermite polynomial expansion of crossings of any level by a stationary Gaussian process, as well as the one of the number of maxima in an interval, under some assumptions on the spectral moments of the process."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
30 => Essec\Faculty\Model\Contribution {#2325
#_index: "academ_contributions"
#_id: "9815"
#_source: array:18 [
"id" => "9815"
"slug" => "on-the-rate-of-convergence-for-extremes-of-mean-square-differentiable-stationary-normal-processes"
"yearMonth" => "1997-12"
"year" => "1997"
"title" => "On the rate of convergence for extremes of mean square differentiable stationary normal processes"
"description" => "KRATZ, M. et ROOTZÉN, H. (1997). On the rate of convergence for extremes of mean square differentiable stationary normal processes. <i>Journal of Applied Probability</i>, 34(4), pp. 908-923."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "ROOTZÉN Holger"
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => """
AMS classification -\n
60G70 -60G15 -60F05rate of convergence -extremes -normal processes -Poisson convergence
"""
]
"updatedAt" => "2021-07-13 14:31:21"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "908-923"
"volume" => "34"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Let ${\xi(t); t\geq 0}$ be a normalized continuous mean square differentiable stationary normal process with covariance function $r(t)$. Further, let $$ \rho(t)=\frac{(1-r(t))^2}{1-r(t)^2+r'(t)|r'(t)|} $$ and set $$ \delta=\frac{1}{2}\wedge \inf_{t\geq 0} \rho(t). $$ We give bounds which are roughly of the order $T^{-\delta}$ for the rate of convergence of the distribution of the maximum and of the number of upcrossings of a high level by $\xi(t)$ in the interval $[0,T]$. The results assume that $r(t)$ and $r'(t)$ decay polynomially at infinity and that $r''(t)$ is suitably bounded. For the number of upcrossings it is in addition assumed that $r(t)$ is non-negative. Some applications are developed."
"en" => "Let ${\xi(t); t\geq 0}$ be a normalized continuous mean square differentiable stationary normal process with covariance function $r(t)$. Further, let $$ \rho(t)=\frac{(1-r(t))^2}{1-r(t)^2+r'(t)|r'(t)|} $$ and set $$ \delta=\frac{1}{2}\wedge \inf_{t\geq 0} \rho(t). $$ We give bounds which are roughly of the order $T^{-\delta}$ for the rate of convergence of the distribution of the maximum and of the number of upcrossings of a high level by $\xi(t)$ in the interval $[0,T]$. The results assume that $r(t)$ and $r'(t)$ decay polynomially at infinity and that $r''(t)$ is suitably bounded. For the number of upcrossings it is in addition assumed that $r(t)$ is non-negative. Some applications are developed."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
31 => Essec\Faculty\Model\Contribution {#2326
#_index: "academ_contributions"
#_id: "9871"
#_source: array:18 [
"id" => "9871"
"slug" => "central-limit-theorems-for-the-number-of-maxima-and-some-estimator-of-the-second-spectral-moment-of-a-stationary-gaussian-process-applications-in-hydroscience"
"yearMonth" => "2000-03"
"year" => "2000"
"title" => "Central limit theorems for the number of maxima and some estimator of the second spectral moment of a stationary Gaussian process. Applications in hydroscience"
"description" => "KRATZ, M. et LEON, J. (2000). Central limit theorems for the number of maxima and some estimator of the second spectral moment of a stationary Gaussian process. Applications in hydroscience. <i>Extremes</i>, 3(1), pp. 57-86."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LEON José"
]
]
"ouvrage" => ""
"keywords" => array:9 [
0 => "AMS classification -asymptotic variance"
1 => "central limit theorem"
2 => "crossings"
3 => "estimation"
4 => "Gaussian processes"
5 => "Hermite polynomials"
6 => "hydroscience"
7 => "maxima"
8 => "spectral moment"
]
"updatedAt" => "2021-07-13 14:31:22"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "57-86"
"volume" => "3"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Let X = (Xt, t 0) be a mean zero stationary Gaussian process with variance one, assumed to satisfy some conditions on its covariance function r. Central limit theorems and asymptotic variance formulas are provided for estimators of the square root of the second spectral moment of the process and for the number of maxima in an interval, with some applications in hydroscience. A consistent estimator of the asymptotic variance is proposed for the number of maxima."
"en" => "Let X = (Xt, t 0) be a mean zero stationary Gaussian process with variance one, assumed to satisfy some conditions on its covariance function r. Central limit theorems and asymptotic variance formulas are provided for estimators of the square root of the second spectral moment of the process and for the number of maxima in an interval, with some applications in hydroscience. A consistent estimator of the asymptotic variance is proposed for the number of maxima."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
32 => Essec\Faculty\Model\Contribution {#2327
#_index: "academ_contributions"
#_id: "9872"
#_source: array:18 [
"id" => "9872"
"slug" => "chaos-expansions-and-level-crossings"
"yearMonth" => "2000-09"
"year" => "2000"
"title" => "Chaos expansions and level crossings"
"description" => "KRATZ, M. (2000). <i>Chaos expansions and level crossings</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:22"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
In this paper we show that the number of crossings at any \n
level by a smooth stationary Gaussian process X on the interval [0,t] can be defined as $N_t(x)= \int_0^t \delta_x(X_s)\n
| \dot X_s| ds$ in the Sobolev space D(2,alpha) for any alpha <1/4.
"""
"en" => """
In this paper we show that the number of crossings at any \n
level by a smooth stationary Gaussian process X on the interval [0,t] can be defined as $N_t(x)= \int_0^t \delta_x(X_s)\n
| \dot X_s| ds$ in the Sobolev space D(2,alpha) for any alpha <1/4.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
33 => Essec\Faculty\Model\Contribution {#2328
#_index: "academ_contributions"
#_id: "9894"
#_source: array:18 [
"id" => "9894"
"slug" => "central-limit-theorems-for-level-functionals-of-stationary-gaussian-processes-and-fields"
"yearMonth" => "2001-07"
"year" => "2001"
"title" => "Central Limit Theorems for Level Functionals of Stationary Gaussian Processes and Fields"
"description" => "KRATZ, M. et LEON, J. (2001). Central Limit Theorems for Level Functionals of Stationary Gaussian Processes and Fields. <i>Journal of Theoretical Probability</i>, 14(3), pp. 639-672."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LEON José"
]
]
"ouvrage" => ""
"keywords" => array:9 [
0 => """
AMS classification -\n
asymptotic variance
"""
1 => "central limit theorem"
2 => "crossings"
3 => "Gaussian fields"
4 => "Gaussian processes"
5 => "Hermite polynomials"
6 => "level curve"
7 => "maxima"
8 => "sojourn time"
]
"updatedAt" => "2020-12-17 18:37:46"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "639-672"
"volume" => "14"
"number" => "3"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We introduce a general method, which combines the one developed by authors in 1997 and one derived from the work of Malevich, Cuzick and mainly Berman, to provide in an easy way a CLT for level functionals of a Gaussian process, as well as a CLT for the length of a level curve of a Gaussian field."
"en" => "We introduce a general method, which combines the one developed by authors in 1997 and one derived from the work of Malevich, Cuzick and mainly Berman, to provide in an easy way a CLT for level functionals of a Gaussian process, as well as a CLT for the length of a level curve of a Gaussian field."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
34 => Essec\Faculty\Model\Contribution {#2329
#_index: "academ_contributions"
#_id: "10002"
#_source: array:18 [
"id" => "10002"
"slug" => "estadisticas-de-valores-extremos"
"yearMonth" => "2004-07"
"year" => "2004"
"title" => "Estadisticas de valores extremos"
"description" => "KRATZ, M. (2004). Estadisticas de valores extremos. Dans: IX Encuentro de Matem\'atica y sus Aplicaciones y IV Seminario de Estad\'istica Aplicada. Quito."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "IX Encuentro de Matem\'atica y sus Aplicaciones y IV Seminario de Estad\'istica Aplicada"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:24"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
35 => Essec\Faculty\Model\Contribution {#2330
#_index: "academ_contributions"
#_id: "10020"
#_source: array:18 [
"id" => "10020"
"slug" => "on-a-representation-of-gibbs-measure-for-r-e-m"
"yearMonth" => "2004-05"
"year" => "2004"
"title" => "On a representation of Gibbs measure for R.E.M."
"description" => "KRATZ, M. et PICCO, P. (2004). On a representation of Gibbs measure for R.E.M. <i>Annals of Applied Probability</i>, 14(2), pp. 651-677."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "PICCO Pierre"
]
]
"ouvrage" => ""
"keywords" => array:7 [
0 => """
AMS classification -\n
62G30
"""
1 => "82B44"
2 => """
62G32\n
Extremes
"""
3 => "Gaussian r.v."
4 => "order statistics"
5 => "random spin systems"
6 => "uniform r.v."
]
"updatedAt" => "2021-07-13 14:31:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "651-677"
"volume" => "14"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "In this work we consider a problem related to the equilibrium statistical mechanics of spin glasses, namely the study of the Gibbs measure of the random energy model. For solving this problem, new results of independent interest on sums of spacings for i.i.d. Gaussian random variables are presented. Then we give a precise description of the support of the Gibbs measure below the critical temperature."
"en" => "In this work we consider a problem related to the equilibrium statistical mechanics of spin glasses, namely the study of the Gibbs measure of the random energy model. For solving this problem, new results of independent interest on sums of spacings for i.i.d. Gaussian random variables are presented. Then we give a precise description of the support of the Gibbs measure below the critical temperature."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
36 => Essec\Faculty\Model\Contribution {#2331
#_index: "academ_contributions"
#_id: "10074"
#_source: array:18 [
"id" => "10074"
"slug" => "on-level-functionals-of-gaussian-fields"
"yearMonth" => "2005-08"
"year" => "2005"
"title" => "On level functionals of Gaussian fields"
"description" => "KRATZ, M. (2005). On level functionals of Gaussian fields. Dans: 2nd Intern. Conf. of Applied Mathematics. Plovdiv."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "2nd Intern. Conf. of Applied Mathematics"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:26"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
37 => Essec\Faculty\Model\Contribution {#2332
#_index: "academ_contributions"
#_id: "10086"
#_source: array:18 [
"id" => "10086"
"slug" => "some-contributions-in-probability-and-statistics-of-extremes"
"yearMonth" => "2005-11"
"year" => "2005"
"title" => "Some contributions in probability and statistics of extremes"
"description" => "KRATZ, M. (2005). <i>Some contributions in probability and statistics of extremes</i>."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-07-13 14:31:26"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Documents de travail"
"en" => "Working Papers"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Synthèse de mes travaux de recherche sur plusieurs thèmes regroupés en deux axes. Le premier axe est constitué de l'étude des franchissements de niveau par des processus gaussiens, ou de façon plus générale, l'étude de fonctionnelles non linéaires de processus gaussiens. Le second axe traite de problèmes de statistique et de mécanique statistique en temps discret tels l'étude du processus des excédences, l’estimation de paramètres et leur validité lors de la modélisation par des processus de distribution à queue épaisse (heavy tailed), et enfin l'étude de fonctions liées aux statistiques d’ordre de processus gaussiens en vue d’application à la mécanique statistique."
"en" => "Synthèse de mes travaux de recherche sur plusieurs thèmes regroupés en deux axes. Le premier axe est constitué de l'étude des franchissements de niveau par des processus gaussiens, ou de façon plus générale, l'étude de fonctionnelles non linéaires de processus gaussiens. Le second axe traite de problèmes de statistique et de mécanique statistique en temps discret tels l'étude du processus des excédences, l’estimation de paramètres et leur validité lors de la modélisation par des processus de distribution à queue épaisse (heavy tailed), et enfin l'étude de fonctions liées aux statistiques d’ordre de processus gaussiens en vue d’application à la mécanique statistique."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
38 => Essec\Faculty\Model\Contribution {#2333
#_index: "academ_contributions"
#_id: "10115"
#_source: array:18 [
"id" => "10115"
"slug" => "curve-crossings-and-specular-points-dapres-longuet-higgins"
"yearMonth" => "2006-07"
"year" => "2006"
"title" => "Curve crossings and specular points, d'après Longuet-Higgins."
"description" => "KRATZ, M. et LEON, J. (2006). Curve crossings and specular points, d'après Longuet-Higgins. Dans: 31th Conference on Stochastic Processes and their Applications. Paris."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LEON José"
]
]
"ouvrage" => "31th Conference on Stochastic Processes and their Applications"
"keywords" => array:7 [
0 => "crossings"
1 => "CLT"
2 => "Gaussian fields"
3 => "Hermite polynomials"
4 => "level curve"
5 => "specular point"
6 => "twinkle"
]
"updatedAt" => "2021-07-13 14:31:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
We use the Hermite expansion for the number of crossings of a differentiable curve by a stationary process to study\n
the number of specular points of a curve and to understand its dynamical behavior, in particular asymptotically (CLT).
"""
"en" => """
We use the Hermite expansion for the number of crossings of a differentiable curve by a stationary process to study\n
the number of specular points of a curve and to understand its dynamical behavior, in particular asymptotically (CLT).
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
39 => Essec\Faculty\Model\Contribution {#2334
#_index: "academ_contributions"
#_id: "10123"
#_source: array:18 [
"id" => "10123"
"slug" => "funciones-de-distribucion-de-cuerdas-en-medios-porosos"
"yearMonth" => "2006-11"
"year" => "2006"
"title" => "Funciones de distribucion de cuerdas en medios porosos."
"description" => "KRATZ, M., ESTRADE, A. et IRIBARREN, I. (2006). Funciones de distribucion de cuerdas en medios porosos. Dans: Rencontres France-Espagne-Venezuela de probabilité et statistique mathématique. Choroni."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "ESTRADE Anne"
]
2 => array:1 [
"name" => "IRIBARREN Ileana"
]
]
"ouvrage" => "Rencontres France-Espagne-Venezuela de probabilité et statistique mathématique"
"keywords" => array:6 [
0 => "chords"
1 => "(up/down) crossings"
2 => "level-cut process"
3 => "Palm measure"
4 => "porous media"
5 => "Rice formula"
]
"updatedAt" => "2021-07-13 14:31:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
We consider a two-phases model to describe a porous medium; an image of this medium, seen as a random level surface of a process X, is divided into two phases (pore and solid) according to whether X is less or\n
greater than some threshold. The statistical approach is made by observing the chord functions, i.e. the lengths of time intervals when X is in the same phase.\n
Based on excursions theory, in particular on level crossings number, this work provides the exact formula of the chord-distribution functions and the two-point\n
correlation function obtained from cross-sectional micrographs, proving in a rigorous way, as well as generalizing, some results published in the physics\n
literature in the 90s (see for instance Berk, Teubner, Roberts or Torquato).
"""
"en" => """
We consider a two-phases model to describe a porous medium; an image of this medium, seen as a random level surface of a process X, is divided into two phases (pore and solid) according to whether X is less or\n
greater than some threshold. The statistical approach is made by observing the chord functions, i.e. the lengths of time intervals when X is in the same phase.\n
Based on excursions theory, in particular on level crossings number, this work provides the exact formula of the chord-distribution functions and the two-point\n
correlation function obtained from cross-sectional micrographs, proving in a rigorous way, as well as generalizing, some results published in the physics\n
literature in the 90s (see for instance Berk, Teubner, Roberts or Torquato).
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
40 => Essec\Faculty\Model\Contribution {#2335
#_index: "academ_contributions"
#_id: "10143"
#_source: array:18 [
"id" => "10143"
"slug" => "on-the-second-moment-of-the-number-of-crossings-by-a-stationary-gaussian-process"
"yearMonth" => "2006-07"
"year" => "2006"
"title" => "On the second moment of the number of crossings by a stationary Gaussian process"
"description" => "KRATZ, M. et LEON, J. (2006). On the second moment of the number of crossings by a stationary Gaussian process. <i>Annals of Probability</i>, 34(4), pp. 1601-1607."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LEON José"
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => """
AMS classification -\n
60G15 -60G10 -60G70Crossings
"""
1 => "Gaussian processes"
2 => "Geman condition"
3 => "Hermite polynomials -level curve -spectral moment"
]
"updatedAt" => "2021-07-13 14:31:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => "1601-1607"
"volume" => "34"
"number" => "4"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Cramér and Leadbetter introduced a sufficient condition to have a finite variance of the zeros number of a centered stationary Gaussian process with twice differentiable covariance function r. This condition is known as the Geman condition since Geman proved in 1972 that it was also a necessary condition. Up to now no such criterion was known for counts of crossings of a level other than the mean. This paper shows taht the Geman condition is still sufficient and necessary to have a finite variance of the number of any fixed level crossings. For the generalization to the number of a curve crossings, a condition on the curve has to be added to the Geman conditiion."
"en" => "Cramér and Leadbetter introduced a sufficient condition to have a finite variance of the zeros number of a centered stationary Gaussian process with twice differentiable covariance function r. This condition is known as the Geman condition since Geman proved in 1972 that it was also a necessary condition. Up to now no such criterion was known for counts of crossings of a level other than the mean. This paper shows taht the Geman condition is still sufficient and necessary to have a finite variance of the number of any fixed level crossings. For the generalization to the number of a curve crossings, a condition on the curve has to be added to the Geman conditiion."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
41 => Essec\Faculty\Model\Contribution {#2336
#_index: "academ_contributions"
#_id: "10190"
#_source: array:18 [
"id" => "10190"
"slug" => "fixed-points-of-the-abe-formulation-of-stochastic-hopfield-networks"
"yearMonth" => "2007-09"
"year" => "2007"
"title" => "Fixed points of the Abe formulation of Stochastic Hopfield Networks"
"description" => "KRATZ, M., ATENCIA, M. et JOYA, G. (2007). Fixed points of the Abe formulation of Stochastic Hopfield Networks. Dans: 17th ICANN. Porto."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "ATENCIA Miguel"
]
2 => array:1 [
"name" => "JOYA Gonzalo"
]
]
"ouvrage" => "17th ICANN"
"keywords" => array:1 [
0 => "Hopfield network"
]
"updatedAt" => "2021-07-13 14:31:29"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
The stability of stochastic Hopfield neural networks, in the Abe formulation, is studied. The aim is to determine whether the ability of the deterministic system to solve combinatorial optimization problems is preserved after the addition of random noise. In particular, the stochastic stability of the attractor set is analyzed: vertices, which are feasible points of the problem, should be stable, whereas interior points, which are unfeasible, should be\n
unstable. Conditions on the noise intensity are stated, so that these properties are guaranteed. This theoretical investigation establishes the foundations for practical application of stochastic networks to combinatorial optimization.
"""
"en" => """
The stability of stochastic Hopfield neural networks, in the Abe formulation, is studied. The aim is to determine whether the ability of the deterministic system to solve combinatorial optimization problems is preserved after the addition of random noise. In particular, the stochastic stability of the attractor set is analyzed: vertices, which are feasible points of the problem, should be stable, whereas interior points, which are unfeasible, should be\n
unstable. Conditions on the noise intensity are stated, so that these properties are guaranteed. This theoretical investigation establishes the foundations for practical application of stochastic networks to combinatorial optimization.
"""
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
42 => Essec\Faculty\Model\Contribution {#2337
#_index: "academ_contributions"
#_id: "10741"
#_source: array:18 [
"id" => "10741"
"slug" => "data-analytics-on-cyber-crimes-complaints-registered-at-c3n-of-gendarmerie-nationale"
"yearMonth" => "2019-10"
"year" => "2019"
"title" => "Data Analytics on Cyber Crimes Complaints Registered at C3N of Gendarmerie Nationale"
"description" => "KRATZ, M., DEBBABI, N. et DACOROGNA, M. (2019). Data Analytics on Cyber Crimes Complaints Registered at C3N of Gendarmerie Nationale. Dans: 2019 Joint AFIR-ERM / ASTIN Symposium."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "DACOROGNA Michel"
]
]
"ouvrage" => "2019 Joint AFIR-ERM / ASTIN Symposium"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
43 => Essec\Faculty\Model\Contribution {#2338
#_index: "academ_contributions"
#_id: "10789"
#_source: array:18 [
"id" => "10789"
"slug" => "probabilistic-forecasting-of-bubbles-and-flash-crashes"
"yearMonth" => "2020-05"
"year" => "2020"
"title" => "Probabilistic Forecasting of Bubbles and Flash Crashes"
"description" => "BANERJEE, A., CHEVILLON, G. et KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. <i>Econometrics Journal</i>, 23(2)."
"authors" => array:3 [
0 => array:3 [
"name" => "CHEVILLON Guillaume"
"bid" => "B00072304"
"slug" => "chevillon-guillaume"
]
1 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
2 => array:1 [
"name" => "BANERJEE A."
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.researchgate.net/publication/339273040_Probabilistic_Forecasting_of_Bubbles_and_Flash_Crashes"
"publicationInfo" => array:3 [
"pages" => null
"volume" => "23"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an O(T−α) distance of unity, with α ∈ (0, 1). When the expectation of the autoregressive coefficient lies on the explosive side of unity, the NERC helps to model the temporary explosiveness of time series and obtain related predictive probabilities. We study the asymptotic properties of the NERC and provide a procedure for inference on the parameters. In empirical illustrations, we estimate predictive probabilities of bubbles or flash crashes in financial asset prices."
"en" => "We propose a near explosive random coefficient autoregressive model (NERC) to obtain predictive probabilities of the apparition and devolution of bubbles. The distribution of the autoregressive coefficient of this model is allowed to be centred at an O(T−α) distance of unity, with α ∈ (0, 1). When the expectation of the autoregressive coefficient lies on the explosive side of unity, the NERC helps to model the temporary explosiveness of time series and obtain related predictive probabilities. We study the asymptotic properties of the NERC and provide a procedure for inference on the parameters. In empirical illustrations, we estimate predictive probabilities of bubbles or flash crashes in financial asset prices."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
44 => Essec\Faculty\Model\Contribution {#2339
#_index: "academ_contributions"
#_id: "10947"
#_source: array:18 [
"id" => "10947"
"slug" => "risk-concentration-under-second-order-regular-variation"
"yearMonth" => "2020-06"
"year" => "2020"
"title" => "Risk Concentration Under Second Order Regular Variation"
"description" => "DAS, S. et KRATZ, M. (2020). Risk Concentration Under Second Order Regular Variation. <i>Extremes</i>, 23, pp. 381-410."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DAS Shubhabrata"
]
]
"ouvrage" => ""
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://link.springer.com/article/10.1007/s10687-020-00382-3"
"publicationInfo" => array:3 [
"pages" => "381-410"
"volume" => "23"
"number" => null
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to study their convergence rates. In this paper, we provide the asymptotic rate of convergence of the measure of risk concentration for a portfolio of heavy-tailed risk factors, when the portfolio admits the so-called second order regular variation property. Moreover, we explore the relationship between multivariate second order regular variation for a vector (e.g., risk factors) and the second order regular variation property for the sum of its components (e.g., the portfolio of risk factors). Results are illustrated with a variety of examples."
"en" => "Measures of risk concentration and their asymptotic behavior for portfolios with heavy-tailed risk factors is of interest in risk management. Second order regular variation is a structural assumption often imposed on such risk factors to study their convergence rates. In this paper, we provide the asymptotic rate of convergence of the measure of risk concentration for a portfolio of heavy-tailed risk factors, when the portfolio admits the so-called second order regular variation property. Moreover, we explore the relationship between multivariate second order regular variation for a vector (e.g., risk factors) and the second order regular variation property for the sum of its components (e.g., the portfolio of risk factors). Results are illustrated with a variety of examples."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
45 => Essec\Faculty\Model\Contribution {#2340
#_index: "academ_contributions"
#_id: "4456"
#_source: array:18 [
"id" => "4456"
"slug" => "combining-algebraic-approach-with-extreme-value-theory-for-spike-detection"
"yearMonth" => "2012-08"
"year" => "2012"
"title" => "Combining Algebraic Approach with Extreme Value Theory for Spike Detection"
"description" => "DEBBABI, N., KRATZ, M., MBOUP, M. et EL ASMI, S. (2012). Combining Algebraic Approach with Extreme Value Theory for Spike Detection. Dans: <i>Proceedings of EUSIPCO 2012</i>. "
"authors" => array:4 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
3 => array:1 [
"name" => "EL ASMI S."
]
]
"ouvrage" => "Proceedings of EUSIPCO 2012"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "This paper uses the Extreme Value Theory (EVT) for threshold selection in a previously proposed algebraic spike detection method. The algebraic method characterizes the occurrence of a spike by an irregularity in the neural signal and devises a nonlinear (Volterra) ﬁlter which enhances the presence of such irregularities. These appear as (positive) high amplitude pulses in the output signal. The pulses are isolated. We then interpret the occurrence of a spike as a rare and extreme event that we model in the framework of EVT. With this model, we derive an explicit expression of the decision threshold corresponding to a given probability of false-alarm. Simulation results show that the empirical probability of false alarm is close to the predicted one by applying the derived theoretical threshold."
"en" => "This paper uses the Extreme Value Theory (EVT) for threshold selection in a previously proposed algebraic spike detection method. The algebraic method characterizes the occurrence of a spike by an irregularity in the neural signal and devises a nonlinear (Volterra) ﬁlter which enhances the presence of such irregularities. These appear as (positive) high amplitude pulses in the output signal. The pulses are isolated. We then interpret the occurrence of a spike as a rare and extreme event that we model in the framework of EVT. With this model, we derive an explicit expression of the decision threshold corresponding to a given probability of false-alarm. Simulation results show that the empirical probability of false alarm is close to the predicted one by applying the derived theoretical threshold."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
46 => Essec\Faculty\Model\Contribution {#2341
#_index: "academ_contributions"
#_id: "4529"
#_source: array:18 [
"id" => "4529"
"slug" => "distribution-hybride-pour-la-modelisation-de-donnees-a-deux-queues-lourdes-application-sur-les-donnees-neuronales"
"yearMonth" => "2015-09"
"year" => "2015"
"title" => "Distribution hybride pour la modélisation de données à deux queues lourdes: Application sur les données neuronales"
"description" => "DEBBABI, N., KRATZ, M., MBOUP, M. et EL ASMI, S. (2015). Distribution hybride pour la modélisation de données à deux queues lourdes: Application sur les données neuronales. Dans: <i>25ème Édition du Colloque GRETSI</i>. École Normale Supérieure de Lyon."
"authors" => array:4 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
3 => array:1 [
"name" => "EL ASMI S."
]
]
"ouvrage" => "25ème Édition du Colloque GRETSI"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "Ce travail propose un modèle hybride pour modéliser des données à deux queues lourdes. Le modèle proposé est une distribution à trois composantes pondérées : une distribution Gaussienne, pour modéliser le comportement moyen des données, liée à deux distributions de Pareto généralisées pour modéliser les comportements extrêmes. Un algorithme itératif et non supervisé est ensuite proposé pour une estimation ﬁable des points de jonctions entre les trois distributions, les paramètres de ces dernières ainsi que les poids affectés à chaque composante du modèle hybride. Une application sur des données neuronales réelles issues d’un enregistrement extracellulaire, est développée pour évaluer les performances du modèle proposé, comparé à la distribution normale."
"en" => "A new hybrid model for two heavy tailed data modelling is proposed in this study. The proposed model is a weighted three-components distribution: a Gaussian distribution, to model the mean behavior of the data, linked to two generalized Pareto distributions, modelling the extreme ones. An unsupervised iterative algorithm is then developed to estimate accurately the junction points between the three distributions, the parameters of these latter as well as the weights of the hybrid model. An application on real extracellular neural recordings isdeveloped to evaluate the performance of the proposed hybrid model, compared to the normal distribution."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
47 => Essec\Faculty\Model\Contribution {#2342
#_index: "academ_contributions"
#_id: "4620"
#_source: array:18 [
"id" => "4620"
"slug" => "fixed-points-of-the-abe-formulation-of-stochastic-hopfield-networks"
"yearMonth" => "2007-09"
"year" => "2007"
"title" => "Fixed Points of the Abe Formulation of Stochastic Hopfield Networks"
"description" => "KRATZ, M., ATENCIA, M. et JOYA, G. (2007). Fixed Points of the Abe Formulation of Stochastic Hopfield Networks. Dans: <i>ICANN - LNCS 4668</i>. Springer."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "ATENCIA M."
]
2 => array:1 [
"name" => "JOYA G."
]
]
"ouvrage" => "ICANN - LNCS 4668"
"keywords" => array:1 [
0 => "Stochastic Hopfield Neural Networks"
]
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Editeur"
"en" => "Publisher"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "The stability of stochastic Hopfield neural networks, in the Abe formulation, is studied. The aim is to determine whether the ability of the deterministic system to solve combinatorial optimization problems is preserved after the addition of random noise. In particular, the stochastic stability of the attractor set is analyzed: vertices, which are feasible points of the problem, should be stable, whereas interior points, which are unfeasible, should be unstable. Conditions on the noise intensity are stated, so that these properties are guaranteed. This theoretical investigation establishes the foundations for practical application of stochastic networks to combinatorial optimization."
"en" => "The stability of stochastic Hopfield neural networks, in the Abe formulation, is studied. The aim is to determine whether the ability of the deterministic system to solve combinatorial optimization problems is preserved after the addition of random noise. In particular, the stochastic stability of the attractor set is analyzed: vertices, which are feasible points of the problem, should be stable, whereas interior points, which are unfeasible, should be unstable. Conditions on the noise intensity are stated, so that these properties are guaranteed. This theoretical investigation establishes the foundations for practical application of stochastic networks to combinatorial optimization."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
48 => Essec\Faculty\Model\Contribution {#2343
#_index: "academ_contributions"
#_id: "4917"
#_source: array:18 [
"id" => "4917"
"slug" => "on-functions-bounded-by-karamata-functions"
"yearMonth" => "2017-08"
"year" => "2017"
"title" => "On Functions Bounded by Karamata Functions"
"description" => "CADENA, M., KRATZ, M. et OMEY, E. (2017). On Functions Bounded by Karamata Functions. Dans: <i>Proceedings of XXXIV International Seminar on Stability Problems for Stochastic Models</i>. Journal of Mathematical Analysis and Applications."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "CADENA M."
]
2 => array:1 [
"name" => "OMEY E."
]
]
"ouvrage" => "Proceedings of XXXIV International Seminar on Stability Problems for Stochastic Models"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Actes d'une conférence"
"en" => "Conference Proceedings"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We define a new class of positive and measurable functions in terms of their asymptotic behavior at infinity. This new class extends the class of regularly varying functions, for broader applications. We provide different characterizations of the new class and consider integrals, convolutions and Laplace transforms. We give some applications in probability theory. Some natural extensions of the new class are also derived."
"en" => "We define a new class of positive and measurable functions in terms of their asymptotic behavior at infinity. This new class extends the class of regularly varying functions, for broader applications. We provide different characterizations of the new class and consider integrals, convolutions and Laplace transforms. We give some applications in probability theory. Some natural extensions of the new class are also derived."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
49 => Essec\Faculty\Model\Contribution {#2344
#_index: "academ_contributions"
#_id: "5264"
#_source: array:18 [
"id" => "5264"
"slug" => "invited-a-self-calibrating-method-for-heavy-tailed-data-modeling-applications-in-finance-and-insurance"
"yearMonth" => "2017-09"
"year" => "2017"
"title" => "[Invited] A Self-Calibrating Method for Heavy Tailed Data Modeling. Applications in Finance and Insurance"
"description" => "DEBBABI, N., KRATZ, M. et MBOUP, M. (2017). [Invited] A Self-Calibrating Method for Heavy Tailed Data Modeling. Applications in Finance and Insurance. Dans: CFA France Research Workshop."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
]
"ouvrage" => "CFA France Research Workshop"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the threshold is algorithmically determined. Our approach belongs to this second class proposing a hybrid distribution for heavy tailed data modeling, which links a normal (or lognormal) distribution to a GPD via an exponential distribution that bridges the gap between mean and asymptotic behaviors. A new unsupervised algorithm is then developed for estimating the parameters of this model. The effectiveness of our self-calibrating method is studied in terms of goodness-of-fit on simulated data. Then, it is applied to real data from neuroscience and finance, respectively. A comparison with other more standard extreme approaches follows."
"en" => "One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the threshold is algorithmically determined. Our approach belongs to this second class proposing a hybrid distribution for heavy tailed data modeling, which links a normal (or lognormal) distribution to a GPD via an exponential distribution that bridges the gap between mean and asymptotic behaviors. A new unsupervised algorithm is then developed for estimating the parameters of this model. The effectiveness of our self-calibrating method is studied in terms of goodness-of-fit on simulated data. Then, it is applied to real data from neuroscience and finance, respectively. A comparison with other more standard extreme approaches follows."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
50 => Essec\Faculty\Model\Contribution {#2345
#_index: "academ_contributions"
#_id: "5267"
#_source: array:18 [
"id" => "5267"
"slug" => "keynote-a-self-calibrating-method-for-heavy-tailed-data-modeling-applications-in-finance-and-insurance"
"yearMonth" => "2017-06"
"year" => "2017"
"title" => "[Keynote] A Self-Calibrating Method for Heavy Tailed Data Modeling. Applications in Finance and Insurance"
"description" => "DEBBABI, N., KRATZ, M. et MBOUP, M. (2017). [Keynote] A Self-Calibrating Method for Heavy Tailed Data Modeling. Applications in Finance and Insurance. Dans: 2017 IRFRC Annual Conference."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
]
"ouvrage" => "2017 IRFRC Annual Conference"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the threshold is algorithmically determined. Our approach belongs to this second class proposing a hybrid distribution for heavy tailed data modeling, which links a normal (or lognormal) distribution to a GPD via an exponential distribution that bridges the gap between mean and asymptotic behaviors. A new unsupervised algorithm is then developed for estimating the parameters of this model. The effectiveness of our self-calibrating method is studied in terms of goodness-of-fit on simulated data. Then, it is applied to real data from neuroscience and finance, respectively. A comparison with other more standard extreme approaches follows."
"en" => "One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the threshold is algorithmically determined. Our approach belongs to this second class proposing a hybrid distribution for heavy tailed data modeling, which links a normal (or lognormal) distribution to a GPD via an exponential distribution that bridges the gap between mean and asymptotic behaviors. A new unsupervised algorithm is then developed for estimating the parameters of this model. The effectiveness of our self-calibrating method is studied in terms of goodness-of-fit on simulated data. Then, it is applied to real data from neuroscience and finance, respectively. A comparison with other more standard extreme approaches follows."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
51 => Essec\Faculty\Model\Contribution {#2346
#_index: "academ_contributions"
#_id: "5281"
#_source: array:18 [
"id" => "5281"
"slug" => "a-brief-review-on-evt-basics-and-operational-risk-measures"
"yearMonth" => "2009-01"
"year" => "2009"
"title" => "A Brief Review on EVT Basics and Operational Risk Measures"
"description" => "KRATZ, M. (2009). A Brief Review on EVT Basics and Operational Risk Measures. Dans: European Workshop on Risk Analysis and EVT."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "European Workshop on Risk Analysis and EVT"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We shall introduce the univariate as well as the multivariate extreme value theory, with the different methods involved. Applications to Finance will be considered, in particular to define the notion of operational risk measures, such as VaR and stress-testing."
"en" => "We shall introduce the univariate as well as the multivariate extreme value theory, with the different methods involved. Applications to Finance will be considered, in particular to define the notion of operational risk measures, such as VaR and stress-testing."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
52 => Essec\Faculty\Model\Contribution {#2347
#_index: "academ_contributions"
#_id: "5319"
#_source: array:18 [
"id" => "5319"
"slug" => "a-new-unsupervised-threshold-determination-for-hybrid-models"
"yearMonth" => "2014-05"
"year" => "2014"
"title" => "A New Unsupervised Threshold Determination for Hybrid Models"
"description" => "DEBBABI, N. et KRATZ, M. (2014). A New Unsupervised Threshold Determination for Hybrid Models. Dans: 2014 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP)."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
]
"ouvrage" => "2014 IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP)"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
53 => Essec\Faculty\Model\Contribution {#2348
#_index: "academ_contributions"
#_id: "5332"
#_source: array:18 [
"id" => "5332"
"slug" => "a-self-calibrating-method-for-heavy-tailed-data-modeling-applications-in-finance-and-insurance"
"yearMonth" => "2017-12"
"year" => "2017"
"title" => "A Self-Calibrating Method for Heavy Tailed Data Modeling. Applications in Finance and Insurance"
"description" => "DEBBABI, N., KRATZ, M. et MBOUP, M. (2017). A Self-Calibrating Method for Heavy Tailed Data Modeling. Applications in Finance and Insurance. Dans: CMAstat 2017."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
]
"ouvrage" => "CMAstat 2017"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the threshold is algorithmically determined. Our approach belongs to this second class proposing a hybrid distribution for heavy tailed data modeling, which links a normal (or lognormal) distribution to a GPD via an exponential distribution that bridges the gap between mean and asymptotic behaviors. A new unsupervised algorithm is then developed for estimating the parameters of this model. The effectiveness of our self-calibrating method is studied in terms of goodness-of-fit on simulated data. Then, it is applied to real data from neuroscience and finance, respectively. A comparison with other more standard extreme approaches follows."
"en" => "One of the main issues in the statistical literature of extremes concerns the tail index estimation, closely linked to the determination of a threshold above which a Generalized Pareto Distribution (GPD) can be fitted. Approaches to this estimation may be classified into two classes, one using standard Peak Over Threshold (POT) methods, in which the threshold to estimate the tail is chosen graphically according to the problem, the other suggesting self-calibrating methods, where the threshold is algorithmically determined. Our approach belongs to this second class proposing a hybrid distribution for heavy tailed data modeling, which links a normal (or lognormal) distribution to a GPD via an exponential distribution that bridges the gap between mean and asymptotic behaviors. A new unsupervised algorithm is then developed for estimating the parameters of this model. The effectiveness of our self-calibrating method is studied in terms of goodness-of-fit on simulated data. Then, it is applied to real data from neuroscience and finance, respectively. A comparison with other more standard extreme approaches follows."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
54 => Essec\Faculty\Model\Contribution {#2349
#_index: "academ_contributions"
#_id: "5333"
#_source: array:18 [
"id" => "5333"
"slug" => "a-self-calibrating-method-for-heavy-tailed-data-modelling-application-in-neuroscience-and-finance"
"yearMonth" => "2018-06"
"year" => "2018"
"title" => "A Self-Calibrating Method for Heavy Tailed Data Modelling. Application in Neuroscience and Finance"
"description" => "DEBBABI, N., KRATZ, M. et MBOUP, M. (2018). A Self-Calibrating Method for Heavy Tailed Data Modelling. Application in Neuroscience and Finance. Dans: 6th European Seminar on Computing (ESCO 2018)."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
]
"ouvrage" => "6th European Seminar on Computing (ESCO 2018)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
55 => Essec\Faculty\Model\Contribution {#2350
#_index: "academ_contributions"
#_id: "5334"
#_source: array:18 [
"id" => "5334"
"slug" => "a-self-calibrating-method-for-heavy-tailed-modeling"
"yearMonth" => "2017-12"
"year" => "2017"
"title" => "A self-calibrating method for heavy-tailed modeling"
"description" => "DEBBABI, N., KRATZ, M. et MBOUP, M. (2017). A self-calibrating method for heavy-tailed modeling. Dans: 2017 ERCIM Working Group on Computational and Methodological Statistics (CMStatistics), Birkbeck University of London and King's College London."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "DEBBABI N."
]
2 => array:1 [
"name" => "MBOUP M."
]
]
"ouvrage" => "2017 ERCIM Working Group on Computational and Methodological Statistics (CMStatistics), Birkbeck University of London and King's College London."
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
56 => Essec\Faculty\Model\Contribution {#2351
#_index: "academ_contributions"
#_id: "5335"
#_source: array:18 [
"id" => "5335"
"slug" => "a-shifted-clt-an-alternative-solution-to-correctly-estimate-in-a-gaussian-realm-the-var-in-presence-of-heavy-tails"
"yearMonth" => "2013-09"
"year" => "2013"
"title" => "A Shifted CLT: An Alternative Solution to Correctly Estimate in a Gaussian Realm the Var In Presence Of Heavy Tails"
"description" => "KRATZ, M. (2013). A Shifted CLT: An Alternative Solution to Correctly Estimate in a Gaussian Realm the Var In Presence Of Heavy Tails. Dans: Workshop EVT - Extremes in Vimeiro 2013."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "Workshop EVT - Extremes in Vimeiro 2013"
"keywords" => []
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
57 => Essec\Faculty\Model\Contribution {#2352
#_index: "academ_contributions"
#_id: "5402"
#_source: array:18 [
"id" => "5402"
"slug" => "an-evt-approach-for-the-early-detection-of-time-clusters-application-in-health-surveillance"
"yearMonth" => "2017-07"
"year" => "2017"
"title" => "An EVT Approach for the Early Detection of Time Clusters. Application in Health Surveillance"
"description" => "GUILLOU, A., KRATZ, M. et LE STRAT, Y. (2017). An EVT Approach for the Early Detection of Time Clusters. Application in Health Surveillance. Dans: Probability: from East to West (PEW 2017)."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "GUILLOU A."
]
2 => array:1 [
"name" => "LE STRAT Y."
]
]
"ouvrage" => "Probability: from East to West (PEW 2017)"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
58 => Essec\Faculty\Model\Contribution {#2353
#_index: "academ_contributions"
#_id: "5405"
#_source: array:18 [
"id" => "5405"
"slug" => "an-implicit-backtest-for-es-via-a-simple-multinomial-approach"
"yearMonth" => "2016-06"
"year" => "2016"
"title" => "An Implicit Backtest for ES via a Simple Multinomial Approach"
"description" => "KRATZ, M. (2016). An Implicit Backtest for ES via a Simple Multinomial Approach. Dans: 5th Iberian Congress of Actuaries."
"authors" => array:1 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
]
"ouvrage" => "5th Iberian Congress of Actuaries"
"keywords" => []
"updatedAt" => "2021-07-13 14:31:07"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
59 => Essec\Faculty\Model\Contribution {#2354
#_index: "academ_contributions"
#_id: "5406"
#_source: array:18 [
"id" => "5406"
"slug" => "an-implicit-backtest-for-expected-shortfall-via-a-simple-multinomial-approach"
"yearMonth" => "2017-12"
"year" => "2017"
"title" => "An Implicit Backtest for Expected Shortfall via a Simple Multinomial Approach"
"description" => "KRATZ, M., LOK, Y. et MCNEIL, A. (2017). An Implicit Backtest for Expected Shortfall via a Simple Multinomial Approach. Dans: 2017 IASSL 3rd International Conference - Statistics for Good Governance."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "LOK Y."
]
2 => array:1 [
"name" => "MCNEIL A."
]
]
"ouvrage" => "2017 IASSL 3rd International Conference - Statistics for Good Governance"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
60 => Essec\Faculty\Model\Contribution {#2355
#_index: "academ_contributions"
#_id: "5560"
#_source: array:18 [
"id" => "5560"
"slug" => "chord-distribution-functions-and-rice-formulae-application-to-random-media"
"yearMonth" => "2007-07"
"year" => "2007"
"title" => "Chord-distribution Functions and Rice Formulae. Application to Random Media."
"description" => "KRATZ, M., ESTRADE, A. et IRIBARREN, I. (2007). Chord-distribution Functions and Rice Formulae. Application to Random Media."
"authors" => array:3 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "ESTRADE A."
]
2 => array:1 [
"name" => "IRIBARREN I."
]
]
"ouvrage" => ""
"keywords" => array:1 [
0 => "Chords"
]
"updatedAt" => "2021-04-19 17:57:25"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We consider a two-phases model to describe a porous medium, an image of this medium, seen as a random level surface of a process X, is divided into two phases (pore and solid) according to whether X is less or greater than some threshold. The statistical approach is made by observing the chord functions, i.e. the lengths of time intervals when X is in the same phase. Based on excursions theory, in particular on level crossings number, this work provides the exact formula of the chord-distribution functions and the two-point correlation function obtained from cross-sectional micrographs, proving in a rigorous way, as well as generalizing, some results published in the physics literature in the 90s (see for instance Berk, Teubner, Roberts or Torquato)."
"en" => "We consider a two-phases model to describe a porous medium, an image of this medium, seen as a random level surface of a process X, is divided into two phases (pore and solid) according to whether X is less or greater than some threshold. The statistical approach is made by observing the chord functions, i.e. the lengths of time intervals when X is in the same phase. Based on excursions theory, in particular on level crossings number, this work provides the exact formula of the chord-distribution functions and the two-point correlation function obtained from cross-sectional micrographs, proving in a rigorous way, as well as generalizing, some results published in the physics literature in the 90s (see for instance Berk, Teubner, Roberts or Torquato)."
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+lang: "en"
+"_type": "_doc"
+"_score": 4.3613706
+"parent": null
}
61 => Essec\Faculty\Model\Contribution {#2356
#_index: "academ_contributions"
#_id: "5562"
#_source: array:18 [
"id" => "5562"
"slug" => "clt-for-lipschitz-killing-curvatures"
"yearMonth" => "2016-11"
"year" => "2016"
"title" => "CLT for Lipschitz-Killing Curvatures"
"description" => "KRATZ, M. et VADLAMANI, S. (2016). CLT for Lipschitz-Killing Curvatures. Dans: 6th Ritsumeikan-Monash Symposium on Probability and Relative Fields."
"authors" => array:2 [
0 => array:3 [
"name" => "KRATZ Marie"
"bid" => "B00072305"
"slug" => "kratz-marie"
]
1 => array:1 [
"name" => "VADLAMANI S."
]
]
"ouvrage" => "6th Ritsumeikan-Monash Symposium on Probability and Relative Fields"
"keywords" => []
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => null
"publicationInfo" => array:3 [
"pages" => null
"volume" => null
"number" => null
]
"type" => array:2 [
"fr" => "Communications dans une conférence"
"en" => "Presentations at an Academic or Professional conference"
]
"support_type" => array:2 [
"fr" => null
"en" => null
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => null
"en" => null
]
"authors_fields" => array:2 [
"fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
"en" => "Information Systems, Decision Sciences and Statistics"
]
"indexedAt" => "2024-02-27T07:21:46.000Z"
]
+