Edit Profile (opens in new tab) Cossette, Hélène Compute Distance To: Compute Author ID: cossette.helene Published as: Cossette, Hélène; Cossette, H.; Cossette, Héléne Homepage: https://www.act.ulaval.ca/departement-et-professeurs/professeurs-et-personnel/pr... External Links: MGP · ResearchGate Documents Indexed: 49 Publications since 1994 Co-Authors: 37 Co-Authors with 49 Joint Publications 421 Co-Co-Authors all top 5 Co-Authors 0 single-authored 43 Marceau, Étienne 7 Landriault, David 4 Denuit, Michel M. 4 Mailhot, Mélina 3 Abdallah, Anas 3 Boucher, Jean-Philippe 3 Boudreault, Mathieu 3 Gadoury, Simon-Pierre 3 Marri, Fouad 3 Mtalai, Itre 3 Robert, Christian Yann 3 Trufin, Julien 2 Bargès, Mathieu 2 Chaoubi, Ihsan 2 Côté, Marie-Pier 2 Gaillardetz, Patrice 2 Maume-Deschamps, Véronique 2 Mesfioui, Mhamed 2 Moutanabbir, Khouzeima 1 Blier-Wong, Christopher 1 De Vijlder, Fl. 1 de Vylder, Florent Etienne 1 Delwarde, Antoine 1 Dhaene, Jan 1 Duchesne, Thierry 1 Goovaerts, Marc J. 1 Guillot, Frédérick 1 Lamontagne, Luc 1 Larrivée-Hardy, Etienne 1 Loisel, Stéphane 1 Luong, Andrew 1 Nguyen, Quang Huy 1 Perreault, Samuel 1 Rioux, Jacques 1 Toureille, Florent 1 Veilleux, Déry 1 Zuyderhoff, Pierre all top 5 Serials 22 Insurance Mathematics & Economics 5 ASTIN Bulletin 4 Mitteilungen. Schweizerische Aktuarvereinigung (SAV) 4 Methodology and Computing in Applied Probability 3 Scandinavian Actuarial Journal 3 North American Actuarial Journal 2 Journal of Computational and Applied Mathematics 2 Journal of Multivariate Analysis 1 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM) 1 Computational Statistics and Data Analysis 1 European Actuarial Journal all top 5 Fields 40 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 33 Statistics (62-XX) 20 Probability theory and stochastic processes (60-XX) 2 Numerical analysis (65-XX) 2 Geophysics (86-XX) 1 History and biography (01-XX) 1 Functional analysis (46-XX) 1 Global analysis, analysis on manifolds (58-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 40 Publications have been cited 528 times in 334 Documents Cited by ▼ Year ▼ On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne 90 2006 On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565Cossette, Hélène; Marceau, Etienne; Marri, Fouad 68 2008 The discrete-time risk model with correlated classes of business. Zbl 1103.91358Cossette, Hélène; Marceau, Etienne 36 2000 Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040Cossette, Hélène; Landriault, David; Marceau, Étienne 35 2003 TVaR-based capital allocation with copulas. Zbl 1231.91141Bargès, Mathieu; Cossette, Hélène; Marceau, Étienne 32 2009 Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. Zbl 1284.60027Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima 28 2013 Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024Cossette, Héléne; Marceau, Etienne; Marri, Fouad 24 2010 On two dependent individual risk models. Zbl 1055.91044Cossette, Hélène; Gaillardetz, Patrice; Marceau, Étienne; Rioux, Jacques 20 2002 TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. Zbl 1235.91086Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne 20 2012 Compound binomial risk model in a Markovian environment. Zbl 1079.91049Cossette, Hélène; Landriault, David; Marceau, Étienne 19 2004 Risk models based on time series for count random variables. Zbl 1218.91074Cossette, Hélène; Marceau, Étienne; Toureille, Florent 14 2011 Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Zbl 1188.91086Cossette, Hélène; Landriault, David; Marceau, Étienne 14 2004 Discrete-time risk models on time series for count random variables. Zbl 1230.91071Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique 14 2010 On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Zbl 1214.91050Bargès, Mathieu; Cossette, Hélène; Loisel, Stéphane; Marceau, Étienne 12 2011 Modeling dependence between loss triangles with hierarchical Archimedean copulas. Zbl 1390.91154Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène 10 2015 Ruin probabilities in the discrete time renewal risk model. Zbl 1090.60076Cossette, Hélène; Landriault, David; Marceau, Etienne 9 2006 Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. Zbl 1398.62289Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry 8 2018 Hierarchical Archimedean copulas through multivariate compound distributions. Zbl 1395.62112Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Étienne; Mtalai, Itre 7 2017 Vector-valued tail value-at-risk and capital allocation. Zbl 1349.91319Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed 7 2016 Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed 6 2013 Sarmanov family of multivariate distributions for bivariate dynamic claim counts model. Zbl 1373.62507Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène 6 2016 Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1232.91343Cossette, Hélène; Marceau, Etienne; Marri, Fouad 6 2011 Modeling catastrophes and their impact on insurance portfolios. Zbl 1084.62526Cossette, Hélène; Duchesne, Thierry; Marceau, Étienne 5 2003 Distributional bounds for functions of dependent risks. Zbl 1187.91093Cossette, H.; Denuit, M; Marceau, É. 4 2002 Collective risk models with dependence. Zbl 1410.91261Cossette, Hélène; Marceau, Etienne; Mtalai, Itre 4 2019 A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. Zbl 1292.62077Cossette, Hélène; Côté, Marie-Pier; Mailhot, Mélina; Marceau, Etienne 4 2014 Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors. Zbl 1024.62043Cossette, Hélène; Luong, Andrew 3 2003 Common mixture in the individual risk model. Zbl 1187.91094Cossette, H.; Gaillardetz, P.; Marceau, E. 3 2002 Classical regression model under zero-excess assumptions. Zbl 0847.62053De Vylder, F.; Goovaerts, M.; Cossette, H. 2 1995 Sarmanov family of bivariate distributions for multivariate loss reserving analysis. Zbl 1414.91154Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène; Trufin, Julien 2 2016 Impact of dependence among multiple claims in a single loss. Zbl 1103.91357Cossette, Hélène; Denuit, Michel; Marceau, Etienne 2 2000 Stochastic approximations of present value functions. Zbl 1187.91092Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É. 2 2001 Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre 2 2020 Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Zbl 1419.62120Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne; Robert, Christian Y. 2 2019 Dynamic risk measures within discrete-time risk models. Zbl 1312.91057Cossette, Hélène; Marceau, Etienne 2 2013 Analysis of the discounted sum of ascending ladder heights. Zbl 1284.91220Cossette, Hélène; Landriault, David; Marceau, Etienne; Moutanabbir, Khouzeima 2 2012 Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. Zbl 1480.60140Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y. 1 2019 Risk measures related to the surplus process in the compound Markov binomial model. Zbl 1333.91022Cossette, H.; Landriault, D.; Marceau, É. 1 2004 On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. Zbl 1348.91137Cossette, Hélène; Marceau, Etienne; Perreault, Samuel 1 2015 Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. Zbl 1291.91095Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne 1 2014 Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre 2 2020 Collective risk models with dependence. Zbl 1410.91261Cossette, Hélène; Marceau, Etienne; Mtalai, Itre 4 2019 Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Zbl 1419.62120Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne; Robert, Christian Y. 2 2019 Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. Zbl 1480.60140Cossette, Hélène; Marceau, Etienne; Nguyen, Quang Huy; Robert, Christian Y. 1 2019 Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. Zbl 1398.62289Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry 8 2018 Hierarchical Archimedean copulas through multivariate compound distributions. Zbl 1395.62112Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Étienne; Mtalai, Itre 7 2017 Vector-valued tail value-at-risk and capital allocation. Zbl 1349.91319Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed 7 2016 Sarmanov family of multivariate distributions for bivariate dynamic claim counts model. Zbl 1373.62507Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène 6 2016 Sarmanov family of bivariate distributions for multivariate loss reserving analysis. Zbl 1414.91154Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène; Trufin, Julien 2 2016 Modeling dependence between loss triangles with hierarchical Archimedean copulas. Zbl 1390.91154Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène 10 2015 On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. Zbl 1348.91137Cossette, Hélène; Marceau, Etienne; Perreault, Samuel 1 2015 A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. Zbl 1292.62077Cossette, Hélène; Côté, Marie-Pier; Mailhot, Mélina; Marceau, Etienne 4 2014 Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. Zbl 1291.91095Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne 1 2014 Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. Zbl 1284.60027Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima 28 2013 Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed 6 2013 Dynamic risk measures within discrete-time risk models. Zbl 1312.91057Cossette, Hélène; Marceau, Etienne 2 2013 TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. Zbl 1235.91086Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne 20 2012 Analysis of the discounted sum of ascending ladder heights. Zbl 1284.91220Cossette, Hélène; Landriault, David; Marceau, Etienne; Moutanabbir, Khouzeima 2 2012 Risk models based on time series for count random variables. Zbl 1218.91074Cossette, Hélène; Marceau, Étienne; Toureille, Florent 14 2011 On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Zbl 1214.91050Bargès, Mathieu; Cossette, Hélène; Loisel, Stéphane; Marceau, Étienne 12 2011 Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1232.91343Cossette, Hélène; Marceau, Etienne; Marri, Fouad 6 2011 Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024Cossette, Héléne; Marceau, Etienne; Marri, Fouad 24 2010 Discrete-time risk models on time series for count random variables. Zbl 1230.91071Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique 14 2010 TVaR-based capital allocation with copulas. Zbl 1231.91141Bargès, Mathieu; Cossette, Hélène; Marceau, Étienne 32 2009 On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565Cossette, Hélène; Marceau, Etienne; Marri, Fouad 68 2008 On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne 90 2006 Ruin probabilities in the discrete time renewal risk model. Zbl 1090.60076Cossette, Hélène; Landriault, David; Marceau, Etienne 9 2006 Compound binomial risk model in a Markovian environment. Zbl 1079.91049Cossette, Hélène; Landriault, David; Marceau, Étienne 19 2004 Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Zbl 1188.91086Cossette, Hélène; Landriault, David; Marceau, Étienne 14 2004 Risk measures related to the surplus process in the compound Markov binomial model. Zbl 1333.91022Cossette, H.; Landriault, D.; Marceau, É. 1 2004 Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040Cossette, Hélène; Landriault, David; Marceau, Étienne 35 2003 Modeling catastrophes and their impact on insurance portfolios. Zbl 1084.62526Cossette, Hélène; Duchesne, Thierry; Marceau, Étienne 5 2003 Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors. Zbl 1024.62043Cossette, Hélène; Luong, Andrew 3 2003 On two dependent individual risk models. Zbl 1055.91044Cossette, Hélène; Gaillardetz, Patrice; Marceau, Étienne; Rioux, Jacques 20 2002 Distributional bounds for functions of dependent risks. Zbl 1187.91093Cossette, H.; Denuit, M; Marceau, É. 4 2002 Common mixture in the individual risk model. Zbl 1187.91094Cossette, H.; Gaillardetz, P.; Marceau, E. 3 2002 Stochastic approximations of present value functions. Zbl 1187.91092Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É. 2 2001 The discrete-time risk model with correlated classes of business. Zbl 1103.91358Cossette, Hélène; Marceau, Etienne 36 2000 Impact of dependence among multiple claims in a single loss. Zbl 1103.91357Cossette, Hélène; Denuit, Michel; Marceau, Etienne 2 2000 Classical regression model under zero-excess assumptions. Zbl 0847.62053De Vylder, F.; Goovaerts, M.; Cossette, H. 2 1995 all cited Publications top 5 cited Publications all top 5 Cited by 436 Authors 28 Marceau, Étienne 27 Cossette, Hélène 13 Woo, Jae-Kyung 13 Yuen, Kam Chuen 12 Landriault, David 9 Cheung, Eric C. K. 9 Fu, Ke’ang 8 Mailhot, Mélina 8 Yang, Hu 7 Ahn, Jae Youn 7 Denuit, Michel M. 7 Guo, Junyi 7 Hu, Xiang 7 Loisel, Stéphane 7 Maume-Deschamps, Véronique 7 Vernic, Raluca 7 Zhang, Zhimin 6 Chen, Mi 6 Lefèvre, Claude 6 Shen, Xinmei 5 Côté, Marie-Pier 5 Genest, Christian 5 Lin, X. Sheldon 5 Oh, Rosy 5 Willmot, Gordon E. 5 Xie, Jiehua 5 Zhang, Lianzeng 5 Zou, Wei 4 Albrecher, Hansjörg 4 Asmussen, Søren 4 Avanzi, Benjamin 4 Cai, Jun 4 Chen, Yiqing 4 Furman, Edward 4 Li, Jinzhu 4 Marri, Fouad 4 Robert, Christian Yann 4 Sendova, Kristina P. 4 Trufin, Julien 4 Wang, Dehui 3 Badescu, Andrei L. 3 Biard, Romain 3 Bolancé, Catalina 3 Di Bernardino, Elena 3 Eryılmaz, Serkan N. 3 Gadoury, Simon-Pierre 3 Gao, Jianwei 3 Gebizlioğlu, Ömer L. 3 Goovaerts, Marc J. 3 Guillen, Montserrat 3 Herrmann, Klaus 3 Hofert, Marius 3 Huang, Rongtan 3 Kolev, Nikolai 3 Kortschak, Dominik 3 Mesfioui, Mhamed 3 Moutanabbir, Khouzeima 3 Mtalai, Itre 3 Nadarajah, Saralees 3 Prieto, Faustino 3 Ragulina, Olena 3 Ratovomirija, Gildas 3 Sarabia, José María 3 Su, Jianxi 3 Tan, Ken Seng 3 Tang, Qihe 3 Tank, Fatih 3 Taylor, Greg 3 Valdez, Emiliano A. 3 Wang, Guojing 3 Wong, Bernard 3 Wu, Xueyuan 3 Zhou, Ming 2 Abdallah, Anas 2 Aleksandrov, Boris 2 Asimit, Alexandru V. 2 Bao, Zhenhua 2 Beck, Nicholas 2 Bi, Xiuchun 2 Boucher, Jean-Philippe 2 Boudreault, Mathieu 2 Boxma, Onno Johan 2 Chaoubi, Ihsan 2 Cheung, Ka Chun 2 Constantinescu, Corina D. 2 Cousin, Areski 2 Cuberos, A. 2 de Vylder, Florent Etienne 2 Dhaene, Jan 2 Drekic, Steve 2 Dutang, Christophe 2 Gijbels, Irène 2 Gómez-Déniz, Emilio 2 Gui, Wenyong 2 Hao, Yuan-Yuan 2 Heilpern, Stanisław 2 Jeong, Himchan 2 Jordá, Vanesa 2 Kaishev, Vladimir K. 2 Kim, Joseph Hyun Tae ...and 336 more Authors all top 5 Cited in 76 Serials 101 Insurance Mathematics & Economics 32 Scandinavian Actuarial Journal 18 Journal of Computational and Applied Mathematics 16 Communications in Statistics. Theory and Methods 14 Methodology and Computing in Applied Probability 13 ASTIN Bulletin 12 Statistics & Probability Letters 9 North American Actuarial Journal 8 European Actuarial Journal 6 Journal of Inequalities and Applications 5 Journal of Applied Probability 5 Acta Mathematicae Applicatae Sinica. English Series 5 Dependence Modeling 4 Journal of Multivariate Analysis 4 Applied Mathematics. Series B (English Edition) 3 Lithuanian Mathematical Journal 3 Applied Mathematics and Computation 3 Acta Mathematica Sinica. English Series 3 Applied Stochastic Models in Business and Industry 3 Journal of Industrial and Management Optimization 3 Journal of the Korean Statistical Society 3 Modern Stochastics. Theory and Applications 2 Statistics 2 Computational Statistics and Data Analysis 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Journal of Statistical Theory and Practice 2 Risk and Decision Analysis 1 Advances in Applied Probability 1 Journal of Mathematical Analysis and Applications 1 Mathematical Methods in the Applied Sciences 1 Fuzzy Sets and Systems 1 Journal of Mathematical Economics 1 Journal of Statistical Planning and Inference 1 Mathematics and Computers in Simulation 1 Siberian Mathematical Journal 1 Statistica 1 Theoretical Computer Science 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Journal of Theoretical Probability 1 Science in China. Series A 1 Japan Journal of Industrial and Applied Mathematics 1 Applied Mathematical Modelling 1 International Journal of Computer Mathematics 1 Stochastic Processes and their Applications 1 Indagationes Mathematicae. New Series 1 Test 1 Journal of Mathematical Sciences (New York) 1 Opuscula Mathematica 1 Applied Mathematical Finance 1 Lifetime Data Analysis 1 Arab Journal of Mathematical Sciences 1 Journal of Nonparametric Statistics 1 Mathematical Problems in Engineering 1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings 1 Abstract and Applied Analysis 1 Wuhan University Journal of Natural Sciences (WUJNS) 1 Discrete Dynamics in Nature and Society 1 Extremes 1 International Game Theory Review 1 Journal of Applied Mathematics 1 Stochastic Models 1 Statistical Methods and Applications 1 Advances in Difference Equations 1 Stochastics 1 Electronic Journal of Statistics 1 Probability Surveys 1 Science China. Mathematics 1 Operations Research and Decisions 1 Statistics & Risk Modeling 1 Arabian Journal of Mathematics 1 ISRN Probability and Statistics 1 Cogent Mathematics 1 Japanese Journal of Statistics and Data Science 1 Probability, Uncertainty and Quantitative Risk 1 Results in Applied Mathematics all top 5 Cited in 21 Fields 272 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 196 Statistics (62-XX) 166 Probability theory and stochastic processes (60-XX) 6 Integral equations (45-XX) 6 Numerical analysis (65-XX) 5 Operations research, mathematical programming (90-XX) 2 Real functions (26-XX) 2 Partial differential equations (35-XX) 2 Functional analysis (46-XX) 1 General and overarching topics; collections (00-XX) 1 Combinatorics (05-XX) 1 Potential theory (31-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Quantum theory (81-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX) 1 Mathematics education (97-XX) Citations by Year