- Conferences and scientific events
- Research and developpment
- Séminaires de l'année académique 2011-2012
- Seminars of the academic year 2010-2011
- Seminars of the academic year 2009-2010 (archives)
- Seminars of the academic year 2008-2009 (archives)
- Seminars of the academic year 2007-2008 (archives)
- Seminars of the academic year 2006-2007 (archives)
- Seminars of the academic year 2005-2006 (archives)
- Seminars of the academic year 2004-2005 (archives)
Séminaires de l'année 2009-2010
- 8 février 2010, Jussi Klemelä, University of Oulu, Finlande
portfolio selection using Kernel regression
we describe characteristics of four dynamic portfolios:
two portfolios of stock indexes (a portfolio allowing shorting and à long-only portfolio), a portfolio of currencies, and a portfolio of bonds.
The portfolios are chosen using kernel regression on the price history.
The stock index portfolios achieve much better performance than the market portfolio. The currency and bond porffolios achieve also good performance.
- 15 février 2010, Marie Kratz, ESSEC Business School, Cergy-Pontoise, France
On alarm systems. Applications for Insurance companies and for Health surveillance Institute
Marie Kratz, ESSEC Business School Paris Singapore & MAP5, Université Paris Descartes
The aim of the study is to develop an appropriate alarm system for the early detection of time clusters applied to public health surveillance data or to prevent or reduce the chance of ruin of an insurance company. Indeed, one approach to risk management for an insurance company is to develop an effective alarm system before the possible ruin and to recommend an augmentation of capital of suitable magnitude at the alarm times to prevent or reduce the chance of ruin.
To draw a fair measure of effectiveness of alarm system(s), comparison is made with existing warning systems for public health surveillance, and in the case of insurance companies, between a process equipped with alarm system, with capital being added at the sound of every alarm, and the corresponding process without any alarm system but an equivalently higher initial capital
- 26 avril 2010, Rajat Mukherjee, Nestle Research Center, Switzerland
The Role of Biostatisticians in Human Trials: A Case Study
This talk outlines the role of biostatisticians in the conduct of human trials in medical and nutritional research. The various aspects of the job are illustrated using a case study that deals with modeling correlated binary response.