Tag Archives: seminar

Talk at Laval University at the Actuarial Seminar

I was last Friday at Laval University for a conference by David Cummins and Mary Weiss (here). I will be back tomorrow, this time to give a talk, on “distorting probabilities in actuarial science” (the talk will be extremely close to the one I gave at McGill in November). “In this talk, we will first get back on properties of distortion operators for pricing financial and insurance risks. Based on the dual version of the expected utility framework, we will see how distorted risk measures have been introduced, from VaR and TVaR, to Esscher premium and Wang’s measures. Then we will discuss extensions in higher dimension. We will discuss tail properties of distorted copulas (in the particular case of Archimedean copulas). A natural application will be aging problems (in survival analysis or in credit risk).” Slides can be downloaded from here.


This talk can be seen as a first part, the second one behing the talk I will give in 15 days, again at Laval University, but this time for the Seminar of Statistics. The talk will be on “Beta kernel and transformed kernel : applications to quantile estimation, and copula density estimation“.