Publications & Preprints
Publications
A non-compensated Clark–Ocone formula for functionals of counting processes
In this paper, we develop a representation formula of Clark–Ocone type for any integrable
Poisson functionals, which extends the Poisson imbedding for point processes.
ESAIM →
Submitted & In Revision
Stress scenarios of cyber loss processes with dependencies
This paper develops a stress testing framework for cyber loss processes modeled
as multivariate self-exciting processes with dependencies (MSPD).
It provides theoretically grounded stress scenarios that account for dynamic
frequency–severity interactions, with applications to cyber risk quantification.
HAL / Preprint →
A new class of self-exciting point processes with finite sizes clusters
This paper introduces a new parametric family of self-exciting point processes
whose cluster representation has almost surely finite size. The construction
yields closed-form expressions for key quantities
while preserving the self-exciting structure, offering a flexible alternative
to standard Hawkes processes for applications in insurance and risk modeling.
HAL / Preprint →
Multivariate Self-Exciting Processes with Dependencies
This paper introduces the class of multidimensional self-exciting processes
with dependencies (MSPD), which is a unifying writing for a large class of
processes: counting, loss, intensity, and also shifted processes.
The framework takes into account dynamic dependencies between the frequency
and the severity components of the risk, and therefore induces theoretical
challenges in the computations of risk valuations.
HAL / Preprint →