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
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.
PDF / arXiv →