Voie du Roman Pays 20,
Louvain La Neuve, 1348
Belgium
Université Catholique de Louvain
credit risk, lévy processes, switching regimes
Regime-switching model, Markov chain, Lévy process
Neural network, self organizing map, non-life insurance, claims frequency, regression models
copula, switching regime
CPPI, switching regime, portfolio optimization.
Credit migrations models, Partial and delayed information, Corporate bonds, Credit derivatives, Phase-type distributions
Hidden Markov process, switching Brownian motion, Interest rates
Subordination, Lévy process, Hawkes process, Time-changed process
Hawkes process, self exciting process, clustering effects
asset allocation, value at risk, bounded shortfall risk, stochastic interest rates
default risk, structural model, incomplete information, convex ordering, comonotonicity
Pension fund, Impulse control, Regime switching, Transaction costs, Liquidity risk
optimal consumption and portfolio policies, annuity puzzle, Markov chain approximation, stochastic control, annuity puzzle
Fast Fourier Transform, fair pricing
term structure of interest rates, Lévy process, Hull & White model
