Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Exchangeable FGM copulas. (English) Zbl 07807058 Adv. Appl. Probab. 56, No. 1, 205-234 (2024). MSC: 62H05 60E15 60E05 PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Adv. Appl. Probab. 56, No. 1, 205--234 (2024; Zbl 07807058) Full Text: DOI arXiv OA License
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Risk aggregation with FGM copulas. (English) Zbl 1520.91312 Insur. Math. Econ. 111, 102-120 (2023). MSC: 91G05 60E15 62H05 PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Insur. Math. Econ. 111, 102--120 (2023; Zbl 1520.91312) Full Text: DOI arXiv
Blier-Wong, Christopher; Cossette, Hélène; Marceau, Etienne Stochastic representation of FGM copulas using multivariate Bernoulli random variables. (English) Zbl 07533782 Comput. Stat. Data Anal. 173, Article ID 107506, 24 p. (2022). MSC: 62-XX PDFBibTeX XMLCite \textit{C. Blier-Wong} et al., Comput. Stat. Data Anal. 173, Article ID 107506, 24 p. (2022; Zbl 07533782) Full Text: DOI
Chaoubi, Ihsan; Cossette, Hélène; Marceau, Etienne; Robert, Christian Y. Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. (English) Zbl 1510.62225 Comput. Stat. Data Anal. 154, Article ID 107071, 33 p. (2021). MSC: 62H05 PDFBibTeX XMLCite \textit{I. Chaoubi} et al., Comput. Stat. Data Anal. 154, Article ID 107071, 33 p. (2021; Zbl 1510.62225) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre Ruin-based risk measures in discrete-time risk models. (English) Zbl 1447.91132 Insur. Math. Econ. 93, 246-261 (2020). MSC: 91G05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 93, 246--261 (2020; Zbl 1447.91132) Full Text: DOI Link
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne On sums of two counter-monotonic risks. (English) Zbl 1445.91050 Insur. Math. Econ. 92, 47-60 (2020). MSC: 91G05 91G70 PDFBibTeX XMLCite \textit{I. Chaoubi} et al., Insur. Math. Econ. 92, 47--60 (2020; Zbl 1445.91050) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y. Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. (English) Zbl 1480.60140 Methodol. Comput. Appl. Probab. 21, No. 2, 461-490 (2019). MSC: 60G70 62H05 65C05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 21, No. 2, 461--490 (2019; Zbl 1480.60140) Full Text: DOI arXiv
Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne; Robert, Christian Y. Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. (English) Zbl 1419.62120 J. Multivariate Anal. 172, 59-83 (2019). MSC: 62H05 62H30 60E05 PDFBibTeX XMLCite \textit{H. Cossette} et al., J. Multivariate Anal. 172, 59--83 (2019; Zbl 1419.62120) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre Collective risk models with dependence. (English) Zbl 1410.91261 Insur. Math. Econ. 87, 153-168 (2019). MSC: 91B30 62P05 62H05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 87, 153--168 (2019; Zbl 1410.91261) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. (English) Zbl 1398.62289 Insur. Math. Econ. 78, 53-71 (2018). MSC: 62P05 91B30 62H05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 78, 53--71 (2018; Zbl 1398.62289) Full Text: DOI
Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Étienne; Mtalai, Itre Hierarchical Archimedean copulas through multivariate compound distributions. (English) Zbl 1395.62112 Insur. Math. Econ. 76, 1-13 (2017). MSC: 62H05 60E05 62P05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 76, 1--13 (2017; Zbl 1395.62112) Full Text: DOI
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed Vector-valued tail value-at-risk and capital allocation. (English) Zbl 1349.91319 Methodol. Comput. Appl. Probab. 18, No. 3, 653-674 (2016). MSC: 91G70 62P05 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 18, No. 3, 653--674 (2016; Zbl 1349.91319) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Perreault, Samuel On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. (English) Zbl 1348.91137 Insur. Math. Econ. 64, 214-224 (2015). MSC: 91B30 60E05 62H05 62P05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 64, 214--224 (2015; Zbl 1348.91137) Full Text: DOI
Cossette, Hélène; Larrivée-Hardy, Etienne; Marceau, Etienne; Trufin, Julien A note on compound renewal risk models with dependence. (English) Zbl 1325.91028 J. Comput. Appl. Math. 285, 295-311 (2015). MSC: 91B30 60K10 65C50 91G60 PDFBibTeX XMLCite \textit{H. Cossette} et al., J. Comput. Appl. Math. 285, 295--311 (2015; Zbl 1325.91028) Full Text: DOI
Cossette, Hélène; Côté, Marie-Pier; Mailhot, Mélina; Marceau, Etienne A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. (English) Zbl 1292.62077 J. Multivariate Anal. 130, 1-20 (2014). MSC: 62H10 62P05 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., J. Multivariate Anal. 130, 1--20 (2014; Zbl 1292.62077) Full Text: DOI
Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. (English) Zbl 1291.91095 Insur. Math. Econ. 54, 123-132 (2014); erratum ibid. 61, 298 (2015). MSC: 91B30 86A10 PDFBibTeX XMLCite \textit{M. Boudreault} et al., Insur. Math. Econ. 54, 123--132 (2014; Zbl 1291.91095) Full Text: DOI
Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. (English) Zbl 1284.60027 Insur. Math. Econ. 52, No. 3, 560-572 (2013). MSC: 60E05 62H05 62E15 91B30 91G10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 52, No. 3, 560--572 (2013; Zbl 1284.60027) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Etienne; Moutanabbir, Khouzeima Analysis of the discounted sum of ascending ladder heights. (English) Zbl 1284.91220 Insur. Math. Econ. 51, No. 2, 393-401 (2012). MSC: 91B30 60K10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 51, No. 2, 393--401 (2012; Zbl 1284.91220) Full Text: DOI
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. (English) Zbl 1235.91086 Insur. Math. Econ. 50, No. 2, 247-256 (2012). MSC: 91B30 62P05 91G10 91G40 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 50, No. 2, 247--256 (2012; Zbl 1235.91086) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique Adjustment coefficient for risk processes in some dependent contexts. (English) Zbl 1368.62241 Methodol. Comput. Appl. Probab. 13, No. 4, 695-721 (2011). MSC: 62M09 60G10 62G20 62P05 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 13, No. 4, 695--721 (2011; Zbl 1368.62241) Full Text: DOI arXiv
Cossette, Hélène; Marceau, Etienne; Marri, Fouad Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula. (English) Zbl 1232.91343 Methodol. Comput. Appl. Probab. 13, No. 3, 487-510 (2011). MSC: 91B30 60K05 62P05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Methodol. Comput. Appl. Probab. 13, No. 3, 487--510 (2011; Zbl 1232.91343) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique Discrete-time risk models on time series for count random variables. (English) Zbl 1230.91071 Astin Bull. 40, No. 1, 123-150 (2010). MSC: 91B30 60K10 62M10 PDFBibTeX XMLCite \textit{H. Cossette} et al., ASTIN Bull. 40, No. 1, 123--150 (2010; Zbl 1230.91071) Full Text: DOI
Marceau, Etienne On the discrete-time compound renewal risk model with dependence. (English) Zbl 1167.91013 Insur. Math. Econ. 44, No. 2, 245-259 (2009). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 60E05 91B70 PDFBibTeX XMLCite \textit{E. Marceau}, Insur. Math. Econ. 44, No. 2, 245--259 (2009; Zbl 1167.91013) Full Text: DOI
Cossette, Hélène; Marceau, Etienne; Marri, Fouad On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. (English) Zbl 1151.91565 Insur. Math. Econ. 43, No. 3, 444-455 (2008). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 43, No. 3, 444--455 (2008; Zbl 1151.91565) Full Text: DOI
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne On a risk model with dependence between interclaim arrivals and claim sizes. (English) Zbl 1145.91030 Scand. Actuar. J. 2006, No. 5, 265-285 (2006). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B30 60K15 60G40 PDFBibTeX XMLCite \textit{M. Boudreault} et al., Scand. Actuar. J. 2006, No. 5, 265--285 (2006; Zbl 1145.91030) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Etienne Ruin probabilities in the discrete time renewal risk model. (English) Zbl 1090.60076 Insur. Math. Econ. 38, No. 2, 309-323 (2006). MSC: 60K10 91B30 60K05 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 38, No. 2, 309--323 (2006; Zbl 1090.60076) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Étienne Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. (English) Zbl 1188.91086 Insur. Math. Econ. 34, No. 3, 449-466 (2004). MSC: 91B30 62P05 60E05 60J10 60J20 62E10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 34, No. 3, 449--466 (2004; Zbl 1188.91086) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Étienne Compound binomial risk model in a Markovian environment. (English) Zbl 1079.91049 Insur. Math. Econ. 35, No. 2, 425-443 (2004). MSC: 91B30 PDFBibTeX XMLCite \textit{H. Cossette} et al., Insur. Math. Econ. 35, No. 2, 425--443 (2004; Zbl 1079.91049) Full Text: DOI
Cossette, Hélène; Landriault, David; Marceau, Étienne Ruin probabilities in the compound Markov binomial model. (English) Zbl 1092.91040 Scand. Actuar. J. 2003, No. 4, 301-323 (2003). Reviewer: A. D. Borisenko(Kyïv) MSC: 91B30 60J20 60J10 PDFBibTeX XMLCite \textit{H. Cossette} et al., Scand. Actuar. J. 2003, No. 4, 301--323 (2003; Zbl 1092.91040) Full Text: DOI
Genest, Christian; Marceau, Étienne; Mesfioui, Mhamed Compound Poisson approximations for individual models with dependent risks. (English) Zbl 1055.91050 Insur. Math. Econ. 32, No. 1, 73-91 (2003). MSC: 91B30 60G35 PDFBibTeX XMLCite \textit{C. Genest} et al., Insur. Math. Econ. 32, No. 1, 73--91 (2003; Zbl 1055.91050) Full Text: DOI
Denuit, Michel; Genest, Christian; Marceau, Étienne Criteria for the stochastic ordering of random sums, with actuarial applications. (English) Zbl 1003.60022 Scand. Actuar. J. 2002, No. 1, 3-16 (2002). Reviewer: A.D.Borisenko (Kyïv) MSC: 60E15 91B30 PDFBibTeX XMLCite \textit{M. Denuit} et al., Scand. Actuar. J. 2002, No. 1, 3--16 (2002; Zbl 1003.60022) Full Text: DOI