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- Suzanne Emmer, Marie Kratz, Dirk Tasche
- 2015

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 toâ€¦ (More)

- YANN DEMICHEL, Anne Estrade, Marie Kratz, Gennady Samorodnitsky
- 2009

The modelling 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 randomâ€¦ (More)

to have a finite variance of the number of zeros of a centered stationary Gaussian process with twice differentiable covariance function r. This condition is known as the Geman condition, since Gemanâ€¦ (More)

Under the Fundamental Review of the Trading Book (FRTB) capital charges for the trading book are based on the coherent expected shortfall (ES) risk measure, which show greater sensitivity to tailâ€¦ (More)

- Anurag Banerjee, Guillaume Chevillon, Marie Kratz
- 2017

This paper proposes a Near Explosive Random-Coefficient autoregressive model for asset pricing which accommodates both the fundamental asset value and the recurrent presence of autonomous deviationsâ€¦ (More)

- Marie Kratz
- 2006

Abstract: 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,â€¦ (More)

With a simple example of throwing a dice, we show how to price an insurance policy. We further study how this price decreases when many similar policies are sold. The diversification benefitsâ€¦ (More)

- Nehla Debbabi, Marie Kratz, Mamadou Mboup, Sadok El Asmi
- 2012 Proceedings of the 20th European Signalâ€¦
- 2012

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 anâ€¦ (More)

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 policiesâ€¦ (More)

We define a new class of positive and Lebesgue measurable functions in terms of their asymptotic behavior, which includes the class of regularly varying functions. We also characterize it byâ€¦ (More)