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06/28/2021
Exact simulation of extrinsic stress-release processes
We present a new and straightforward algorithm that simulates exact samp...
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07/08/2020
Approximate Bayesian Computations to fit and compare insurance loss models
Approximate Bayesian Computation (ABC) is a statistical learning techniq...
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06/08/2020
Quickest detection in practice in presence of seasonality: An illustration with call center data
In this chapter, we explain how quickest detection algorithms can be use...
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09/18/2018
Rare tail approximation using asymptotics and L^1 polar coordinates
In this work, we propose a class of importance sampling (IS) estimators ...
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11/30/2017