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Arthur Charpentier

Personal Details

First Name:Arthur
Middle Name:
Last Name:Charpentier
Suffix:
RePEc Short-ID:pch1623
http://freakonometrics.hypotheses.org/
Twitter: @freakonometrics

Affiliation

(in no particular order)

Faculté des Sciences Économiques (Faculty of Economics)
Université de Rennes 1 (University of Rennes 1)

Rennes, France
http://www.eco.univ-rennes1.fr/

33 2 99 25 35 45
33 2 99 38 80 84
7, place Hoche, 35065 RENNES Cedex
RePEc:edi:fserefr (more details at EDIRC)

Groupe d'Études et de Recherche en Analyse des Décisions (GERAD) (Group for Research in Decision Analysis)

Canada
http://www.gerad.ca/

514-340-6053
514-340-5665
3000, Chemin de la Côte-Sainte-Catherine, Montréal, Québec, H3T 2A7
RePEc:edi:geradca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Arthur Charpentier & Arthur David & Romuald Elie, 2016. "Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains," Working Papers hal-01326798, HAL.
  2. Arthur Charpentier & Mathieu Pigeon, 2016. "Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)," Working Papers hal-01280033, HAL.
  3. Arthur Charpentier & Ewen Gallic, 2016. "Kernel density estimation based on Ripley’s correction," Post-Print halshs-01238499, HAL.
  4. Arthur Charpentier & Marilou Durand, 2015. "Modeling earthquake dynamics," Post-Print halshs-01241841, HAL.
  5. Arthur Charpentier & Emmanuel Flachaire, 2015. "Log-Transform Kernel Density Estimation of Income Distribution," AMSE Working Papers 1506, Aix-Marseille School of Economics, Marseille, France.
  6. Arthur Charpentier & Béatrice Cherrier, 2015. "«Mathiness» et assurance," Post-Print halshs-01242560, HAL.
  7. Christophe Tavéra & Jean-Christophe Poutineau & Jean-Sébastien Pentecôte & Isabelle Cadoret-David & Arthur Charpentier & Chantal Guéguen & Marilyne Huchet-Bourdon & Julien Licheron & Guillaume L'Oeill, 2015. "The "Mother of All Puzzles" at thirty: a meta-analysis," Post-Print halshs-01112088, HAL.
  8. Arthur Charpentier & Michel M. Denuit & Romuald Elie, 2015. "Segmentation et mutualisation, les deux faces d'une même pièce?," Post-Print halshs-01242561, HAL.
  9. Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.
  10. Arthur Charpentier & Amadou Diogo Barry, 2015. "BIG DATA : passer d'une analyse de corrélation à une interprétation causale," Post-Print halshs-01242562, HAL.
  11. Marco T. Bastos & Dan Mercea & Arthur Charpentier, 2015. "Tents, Tweets, and Events: The Interplay Between Ongoing Protests and Social Media," Post-Print halshs-01241882, HAL.
  12. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
  13. Arthur Charpentier & Benoît Le Maux, 2014. "Natural catastrophe insurance: How should the government intervene?," Post-Print halshs-01018022, HAL.
  14. Alfred Galichon & Arthur Charpentier & Marc Henry, 2012. "Local Utility and Risk Aversion," Sciences Po publications info:hdl:2441/63913pp1o99, Sciences Po.
  15. Arthur Charpentier & Alfred Galichon & Marc Henry, 2012. "Local Utility and Multivariate Risk Aversion," CIRANO Working Papers 2012s-17, CIRANO.
  16. Arthur Charpentier, 2010. "On the return period of the 2003 heat wave," Working Papers hal-00463492, HAL.
  17. Arthur Charpentier & Benoît Le Maux, 2010. "Natural Catastrophe Insurance: When Should the Government Intervene?," Working Papers hal-00536925, HAL.
  18. Arthur Charpentier & Christophe Villa, 2010. "Generating Yield Curve Stress-Scenarios," Working Papers hal-00550582, HAL.
  19. Arthur Charpentier & Stéphane Mussard, 2010. "Income Inequality Games," Working Papers hal-00456573, HAL.
  20. Arthur Charpentier & Abder Oulidi, 2010. "Beta kernel quantile estimators of heavy-tailed loss distributions," Post-Print halshs-00425566, HAL.
  21. Arthur Charpentier, 2010. "Reinsurance, ruin and solvency issues: some pitfalls," Working Papers hal-00463381, HAL.
  22. Arthur Charpentier & Emilios C. Galariotis & Christophe Villa, 2009. "Category-based Tail Comovement," Working Papers hal-00550330, HAL.
  23. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Post-Print halshs-00347250, HAL.
  24. Arthur Charpentier, 2008. "Dynamic dependence ordering for Archimedean copulas and distorted copulas," Post-Print halshs-00480886, HAL.
  25. Arthur Charpentier, 2008. "Pricing catastrophe options in incomplete markets," Post-Print halshs-00481185, HAL.
  26. Arthur Charpentier, 2008. "Insurability of climate risks," Post-Print halshs-00347254, HAL.
  27. Arthur Charpentier & Johan Segers, 2008. "Tails of multivariate archimedean copulas," Post-Print halshs-00325984, HAL.
  28. Arthur Charpentier & David Sibaï, 2008. "Dynamic flood modeling : combining Hurst and Gumbel's approach," Post-Print halshs-00347260, HAL.
  29. Arthur Charpentier, 2007. "Ajuster les tables de mortalité : le rôle des actuaires," Post-Print halshs-00350360, HAL.
  30. Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.
  31. Charpentier, A. & Segers, J.J.J., 2006. "Convergence of Archimedean Copulas," Discussion Paper 2006-28, Tilburg University, Center for Economic Research.
  32. Arthur Charpentier & Alessandro Juri, 2004. "Limiting Dependence Structure for Credit Defaults," Working Papers 2004-16, Center for Research in Economics and Statistics.

Articles

  1. Arthur Charpentier & Mathieu Pigeon, 2016. "Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.
  2. Arthur Charpentier & Alfred Galichon & Marc Henry, 2016. "Local Utility and Multivariate Risk Aversion," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 466-476, May.
  3. Charpentier, Arthur & Flachaire, Emmanuel, 2015. "Log-Transform Kernel Density Estimation Of Income Distribution," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 141-159, Mars-Juin.
  4. Christophe Tavéra & Jean-Christophe Poutineau & Jean-Sébastien Pentecôte & Isabelle Cadoret & Arthur Charpentier, 2015. "The “mother of all puzzles” at thirty: A meta-analysis," International Economics, CEPII research center, issue 141, pages 80-96.
  5. Charpentier, Arthur & Le Maux, Benoît, 2014. "Natural catastrophe insurance: How should the government intervene?," Journal of Public Economics, Elsevier, vol. 115(C), pages 1-17.
  6. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
  7. Arthur Charpentier & Stéphane Mussard, 2011. "Income inequality games," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 9(4), pages 529-554, December.
  8. Arthur Charpentier, 2011. "Erratum to: On the return period of the 2003 heat wave," Climatic Change, Springer, vol. 109(3), pages 261-261, December.
  9. Arthur Charpentier, 2011. "On the return period of the 2003 heat wave," Climatic Change, Springer, vol. 109(3), pages 245-260, December.
  10. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 395-410, July.
  11. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
  12. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
  13. Arthur Charpentier, 2008. "Insurability of Climate Risks," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 33(1), pages 91-109, January.
  14. Charpentier, Arthur & Segers, Johan, 2007. "Lower tail dependence for Archimedean copulas: Characterizations and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Arthur Charpentier & Michel M. Denuit & Romuald Elie, 2015. "Segmentation et mutualisation, les deux faces d'une même pièce?," Post-Print halshs-01242561, HAL.

    Cited by:

    1. Antonio Heras Martínez & David Teira & Pierre-Charles Pradier, 2016. "What was fair in actuarial fairness?," Documents de travail du Centre d'Economie de la Sorbonne 16073, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  2. Arthur Charpentier, 2015. "Prévision avec des copules en finance," Working Papers hal-01151233, HAL.

    Cited by:

    1. Johan Dahlin & Mattias Villani & Thomas B. Schon, 2015. "Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods," Papers 1506.06975, arXiv.org, revised Jun 2017.

  3. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Gery Geenens & Richard Dunn, 2017. "A nonparametric copula approach to conditional Value-at-Risk," Papers 1712.05527, arXiv.org.
    2. Nagler, Thomas & Czado, Claudia, 2016. "Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 151(C), pages 69-89.
    3. Rodrigues, G.S. & Nott, David J. & Sisson, S.A., 2016. "Functional regression approximate Bayesian computation for Gaussian process density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 229-241.
    4. Otneim, Håkon & Tjøstheim, Dag, 2016. "Non-parametric estimation of conditional densities: A new method," Discussion Papers 2016/22, Norwegian School of Economics, Department of Business and Management Science.

  4. Arthur Charpentier & Benoît Le Maux, 2014. "Natural catastrophe insurance: How should the government intervene?," Post-Print halshs-01018022, HAL.

    Cited by:

    1. Clarke,Daniel Jonathan & Wren-Lewis,Liam, 2016. "Solving commitment problems in disaster risk finance," Policy Research Working Paper Series 7720, The World Bank.
    2. Arnaud Goussebaïle, 2016. "Risk prevention in cities prone to natural hazards," Working Papers hal-01358734, HAL.
    3. Thomas G. Koch, 2017. "The Shifting Shape of Risk: Endogenous Market Failure for Insurance," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-13, January.

  5. Arthur Charpentier & Alfred Galichon & Marc Henry, 2012. "Local Utility and Multivariate Risk Aversion," CIRANO Working Papers 2012s-17, CIRANO.

    Cited by:

    1. Zaiwu Gong & Chao Xu & Francisco Chiclana & Xiaoxia Xu, 2017. "Consensus Measure with Multi-stage Fluctuation Utility Based on China’s Urban Demolition Negotiation," Group Decision and Negotiation, Springer, vol. 26(2), pages 379-407, March.

  6. Arthur Charpentier, 2010. "On the return period of the 2003 heat wave," Working Papers hal-00463492, HAL.

    Cited by:

    1. Peter Stott & Nikolaos Christidis & Richard Betts, 2011. "Changing return periods of weather-related impacts: the attribution challenge," Climatic Change, Springer, vol. 109(3), pages 263-268, December.

  7. Arthur Charpentier & Christophe Villa, 2010. "Generating Yield Curve Stress-Scenarios," Working Papers hal-00550582, HAL.

    Cited by:

    1. Karimalis, Emmanouil & Kosmidis, Ioannis & Peters, Gareth, 2017. "Multi yield curve stress-testing framework incorporating temporal and cross tenor structural dependencies," Bank of England working papers 655, Bank of England.
    2. Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.

  8. Arthur Charpentier & Stéphane Mussard, 2010. "Income Inequality Games," Working Papers hal-00456573, HAL.

    Cited by:

    1. Cowell, Frank & Fiorio, Carlo V., 2009. "Inequality decomposition: a reconciliation," LSE Research Online Documents on Economics 25431, London School of Economics and Political Science, LSE Library.
    2. John Creedy & Nicolas Hérault†, 2011. "Decomposing Inequality and Social Welfare Changes : The Use of Alternative Welfare Metrics," Department of Economics - Working Papers Series 1121, The University of Melbourne.
    3. Pauline Mornet, 2013. "A program for weakly decomposable inequality measures by population subgroups," Economics Bulletin, AccessEcon, vol. 33(3), pages 1738-1750.
    4. Alessandro Tampieri & Elena M. Parilina, 2014. "Stability and Cooperative Solution in Stochastic Games," CREA Discussion Paper Series 14-26, Center for Research in Economic Analysis, University of Luxembourg.
    5. Ogwang Tomson, 2016. "The Marginal Effects in Subgroup Decomposition of the Gini Index," Journal of Official Statistics, De Gruyter Open, vol. 32(3), pages 733-745, September.
    6. Palestini, Arsen & Pignataro, Giuseppe, 2016. "A graph-based approach to inequality assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 455(C), pages 65-78.
    7. Ferreira Lima, Luis Cristovao, 2013. "A Persistente Desigualdade nas Grandes Cidades Brasileiras: o Caso de Brasília
      [The Persistent Inequality in the Great Brazilian Cities: The case of Brasília]
      ," MPRA Paper 50936, University Library of Munich, Germany.
    8. Ferreira Lima, Luis Cristovao, 2013. "The Persistent Inequality in the Great Brazilian Cities: The Case of Brasília," MPRA Paper 50938, University Library of Munich, Germany.
    9. Stéphane Mussard & Françoise Seyte & Michel Terraza, 2006. "La décomposition de l’indicateur de Gini en sous-groupes : une revue de la littérature," Cahiers de recherche 06-11, Departement d'Economique de l'École de gestion à l'Université de Sherbrooke.
    10. A. Palestini & G. Pignataro, 2013. "A multi-factor inequality approach to a transfer scheme: the case of Common Agricultural Policy," Working Papers wp891, Dipartimento Scienze Economiche, Universita' di Bologna.
    11. Noglo, Yawo Agbenyegan, 2014. "Monetary inequality among households in Togo: An illustration based on the decomposition of the Gini coefficient using the Shapley value approach," WIDER Working Paper Series 151, World Institute for Development Economic Research (UNU-WIDER).

  9. Arthur Charpentier & Abder Oulidi, 2010. "Beta kernel quantile estimators of heavy-tailed loss distributions," Post-Print halshs-00425566, HAL.

    Cited by:

    1. Charpentier, Arthur & Flachaire, Emmanuel, 2015. "Log-Transform Kernel Density Estimation Of Income Distribution," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 141-159, Mars-Juin.
    2. Rocco Roberto Cerchiara & Francesco Acri, 2016. "Aggregate Loss Distribution And Dependence: Composite Models, Copula Functions And Fast Fourier Transform For The Danish Re Insurance Data," Working Papers 201608, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.

  10. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Post-Print halshs-00347250, HAL.

    Cited by:

    1. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
    2. Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.

  11. Arthur Charpentier, 2008. "Pricing catastrophe options in incomplete markets," Post-Print halshs-00481185, HAL.

    Cited by:

    1. Gunther Leobacher & Philip Ngare, 2014. "Utility indifference pricing of derivatives written on industrial loss indexes," Papers 1404.0879, arXiv.org.

  12. Arthur Charpentier, 2008. "Insurability of climate risks," Post-Print halshs-00347254, HAL.

    Cited by:

    1. Erwann Michel-Kerjan, 2013. "Finance des risques catastrophiques. Le marché américain est en plein bouleversement," Revue économique, Presses de Sciences-Po, vol. 64(4), pages 615-634.
    2. Botzen, W.J.W. & van den Bergh, J.C.J.M., 2012. "Risk attitudes to low-probability climate change risks: WTP for flood insurance," Journal of Economic Behavior & Organization, Elsevier, vol. 82(1), pages 151-166.
    3. Surminski, Swenja & Oramas-Dorta, Delioma, 2013. "Flood insurance schemes and climate adaptation in developing countries," LSE Research Online Documents on Economics 66294, London School of Economics and Political Science, LSE Library.
    4. Surminski, Swenja & Eldridge, Jillian, 2015. "Flood insurance in England: an assessment of the current and newly proposed insurance scheme in the context of rising flood risk," LSE Research Online Documents on Economics 66256, London School of Economics and Political Science, LSE Library.
    5. Roger Fouquet (ed.), 2013. "Handbook on Energy and Climate Change," Books, Edward Elgar Publishing, number 14429.
    6. John Whalley & Yufei Yuan, 2013. "Global Financial Structure and Climate Change," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    7. Mohor, Guilherme Samprogna & Mendiondo, Eduardo Mario, 2017. "Economic indicators of hydrologic drought insurance under water demand and climate change scenarios in a Brazilian context," Ecological Economics, Elsevier, vol. 140(C), pages 66-78.
    8. Surminski, Swenja, 2014. "The role of insurance in reducing direct risk: the case of flood insurance," LSE Research Online Documents on Economics 60764, London School of Economics and Political Science, LSE Library.
    9. Roger Fouquet, 2013. "Low-carbon economy: dark age or golden age?," Chapters,in: Handbook on Energy and Climate Change, chapter 32, pages 682-708 Edward Elgar Publishing.
    10. Amanda Savitt, 2017. "Insurance as a tool for hazard risk management? An evaluation of the literature," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 86(2), pages 583-599, March.
    11. Susannah Fisher & Swenja Surminski, 2012. "The roles of public and private actors in the governance of adaptation: the case of agricultural insurance in India," GRI Working Papers 89, Grantham Research Institute on Climate Change and the Environment.
    12. Fisher, Susannah & Surminski, Swenja, 2012. "The roles of public and private actors in the governance of adaptation: the case of agricultural insurance in India," LSE Research Online Documents on Economics 46400, London School of Economics and Political Science, LSE Library.
    13. Swenja Surminski & Paul Hudson & Jeroen Aerts & Wouter Botzen & M.Conceição Colaço & Florence Crick & Jill Eldridge & Anna Lorant & António Macedo & Reinhard Mechler & Carlos Neto & Robin Nicolai & Di, 2015. "Novel and improved insurance instruments for risk reduction," GRI Working Papers 188, Grantham Research Institute on Climate Change and the Environment.
    14. Hao Guo & Xingming Zhang & Fang Lian & Yuan Gao & Degen Lin & Jing’ai Wang, 2016. "Drought Risk Assessment Based on Vulnerability Surfaces: A Case Study of Maize," Sustainability, MDPI, Open Access Journal, vol. 8(8), pages 1-22, August.
    15. Donatella Porrini & Reimund Schwarze, 2014. "Insurance models and European climate change policies: an assessment," European Journal of Law and Economics, Springer, vol. 38(1), pages 7-28, August.
    16. Swenja Surminski & Jillian Eldridge, 2014. "Flood insurance in England � an assessment of the current and newly proposed insurance scheme in the context of rising flood risk," GRI Working Papers 144, Grantham Research Institute on Climate Change and the Environment.
    17. Jinhong Wan & Ruoxi Li & Wenxin Wang & Zhongmei Liu & Bizhen Chen, 2016. "Income Diversification: A Strategy for Rural Region Risk Management," Sustainability, MDPI, Open Access Journal, vol. 8(10), pages 1-12, October.
    18. Swenja Surminski & Delioma Oramas-Dorta, 2013. "Do flood insurance schemes in developing countries provide incentives to reduce physical risks?," GRI Working Papers 119, Grantham Research Institute on Climate Change and the Environment.
    19. Grislain-Letrémy, Céline, 2012. "Assurance et prévention des catastrophes naturelles et technologiques," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/9073 edited by Villeneuve, Bertrand, January.

  13. Arthur Charpentier & Johan Segers, 2008. "Tails of multivariate archimedean copulas," Post-Print halshs-00325984, HAL.

    Cited by:

    1. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
    2. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    3. Holger Drees, 2012. "Extreme value analysis of actuarial risks: estimation and model validation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 225-264, June.
    4. Hashorva, Enkelejd, 2015. "Extremes of aggregated Dirichlet risks," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 334-345.
    5. Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
    6. Kurowicka, Dorota & van Horssen, Wim T., 2015. "On an interaction function for copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 127-142.
    7. Bernardi, M. & Durante, F. & Jaworski, P., 2017. "CoVaR of families of copulas," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 8-17.
    8. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
    9. Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
    10. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2018. "Asymptotic Multivariate Expectiles," Working Papers hal-01509963, HAL.
    11. Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
    12. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
    13. Hua, Lei, 2015. "Tail negative dependence and its applications for aggregate loss modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 135-145.
    14. Xie, Jiehua & Lin, Feng & Yang, Jingping, 2017. "On a generalization of Archimedean copula family," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 121-129.
    15. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    16. Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca, 2011. "Asymptotics for risk capital allocations based on Conditional Tail Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 310-324.
    17. Jaworski Piotr, 2017. "On Conditional Value at Risk (CoVaR) for tail-dependent copulas," Dependence Modeling, De Gruyter Open, vol. 5(1), pages 1-19, January.
    18. Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013. "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
    19. Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
    20. Mai Jan-Frederik, 2014. "A note on the Galambos copula and its associated Bernstein function," Dependence Modeling, De Gruyter Open, vol. 2(1), pages 1-8, March.
    21. Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
    22. MICHIELS, Frederik & DE SCHEPPER, Ann, 2009. "Understanding copula transforms: A review of dependence properties," Working Papers 2009012, University of Antwerp, Faculty of Applied Economics.
    23. Jaworski, Piotr, 2015. "Univariate conditioning of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 89-103.
    24. Belzile, Léo R. & Nešlehová, Johanna G., 2017. "Extremal attractors of Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 68-92.
    25. Hashorva, Enkelejd & Pakes, Anthony G. & Tang, Qihe, 2010. "Asymptotics of random contractions," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 405-414, December.
    26. Hua, Lei, 2017. "On a bivariate copula with both upper and lower full-range tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 94-104.
    27. Aulbach, Stefan & Falk, Michael & Hofmann, Martin, 2012. "The multivariate Piecing-Together approach revisited," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 161-170.
    28. Weng, Chengguo & Zhang, Yi, 2012. "Characterization of multivariate heavy-tailed distribution families via copula," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 178-186.

  14. Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.

    Cited by:

    1. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    2. Beare, Brendan K., 2012. "Archimedean Copulas And Temporal Dependence," Econometric Theory, Cambridge University Press, vol. 28(06), pages 1165-1185, December.
    3. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
    4. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter Open, vol. 1, pages 1-36, October.
    5. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
    6. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    7. Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
    8. Di Bernardino, Elena & Maume-Deschamps, Véronique & Prieur, Clémentine, 2013. "Estimating a bivariate tail: A copula based approach," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 81-100.
    9. Hashorva, Enkelejd & Pakes, Anthony G. & Tang, Qihe, 2010. "Asymptotics of random contractions," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 405-414, December.
    10. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.

  15. Charpentier, A. & Segers, J.J.J., 2006. "Convergence of Archimedean Copulas," Discussion Paper 2006-28, Tilburg University, Center for Economic Research.

    Cited by:

    1. Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.
    2. Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
    3. Wysocki, Włodzimierz, 2012. "Constructing archimedean copulas from diagonal sections," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 818-826.
    4. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 223-256, August.
    5. Wysocki, Włodzimierz, 2013. "When a copula is archimax," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 37-45.

  16. Arthur Charpentier & Alessandro Juri, 2004. "Limiting Dependence Structure for Credit Defaults," Working Papers 2004-16, Center for Research in Economics and Statistics.

    Cited by:

    1. Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.

Articles

  1. Arthur Charpentier & Alfred Galichon & Marc Henry, 2016. "Local Utility and Multivariate Risk Aversion," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 466-476, May.
    See citations under working paper version above.
  2. Charpentier, Arthur & Le Maux, Benoît, 2014. "Natural catastrophe insurance: How should the government intervene?," Journal of Public Economics, Elsevier, vol. 115(C), pages 1-17.
    See citations under working paper version above.
  3. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.

    Cited by:

    1. Krupskii, Pavel & Joe, Harry & Lee, David & Genton, Marc G., 2018. "Extreme-value limit of the convolution of exponential and multivariate normal distributions: Link to the Hüsler–Reiß distribution," Journal of Multivariate Analysis, Elsevier, vol. 163(C), pages 80-95.
    2. Elisa Perrone & Andreas Rappold & Werner G. Müller, 2017. "$$D_s$$ D s -optimality in copula models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 403-418, August.
    3. Mhalla, Linda & Chavez-Demoulin, Valérie & Naveau, Philippe, 2017. "Non-linear models for extremal dependence," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 49-66.
    4. Di Bernardino Elena & Rullière Didier, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Dependence Modeling, De Gruyter Open, vol. 4(1), pages 1-20, December.
    5. Sabrina Mulinacci, 2017. "A systemic shock model for too big to fail financial institutions," Papers 1704.02160, arXiv.org, revised Apr 2017.

  4. Arthur Charpentier & Stéphane Mussard, 2011. "Income inequality games," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 9(4), pages 529-554, December.
    See citations under working paper version above.
  5. Arthur Charpentier, 2011. "On the return period of the 2003 heat wave," Climatic Change, Springer, vol. 109(3), pages 245-260, December.
    See citations under working paper version above.
  6. Arthur Charpentier & Abder Oulidi, 2009. "Estimating allocations for Value-at-Risk portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 395-410, July.
    See citations under working paper version above.
  7. Charpentier, Arthur & Segers, Johan, 2009. "Tails of multivariate Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(7), pages 1521-1537, August.
    See citations under working paper version above.
  8. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
    See citations under working paper version above.
  9. Arthur Charpentier, 2008. "Insurability of Climate Risks," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 33(1), pages 91-109, January.
    See citations under working paper version above.
  10. Charpentier, Arthur & Segers, Johan, 2007. "Lower tail dependence for Archimedean copulas: Characterizations and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.
    See citations under working paper version above.

More information

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 13 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2014-05-09 2015-02-28 2015-08-25 2016-02-29
  2. NEP-IAS: Insurance Economics (3) 2010-04-17 2010-11-27 2014-07-05
  3. NEP-UPT: Utility Models & Prospect Theory (2) 2012-07-01 2014-07-05
  4. NEP-CMP: Computational Economics (1) 2016-10-23
  5. NEP-DCM: Discrete Choice Models (1) 2014-05-09
  6. NEP-GER: German Papers (1) 2015-08-30
  7. NEP-GTH: Game Theory (1) 2010-02-27
  8. NEP-MIC: Microeconomics (1) 2012-07-01
  9. NEP-OPM: Open Economy Macroeconomics (1) 2015-08-30
  10. NEP-PBE: Public Economics (1) 2015-02-28

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