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Author ID: marceau.etienne Recent zbMATH articles by "Marceau, Étienne"
Published as: Marceau, Etienne; Marceau, Étienne; Marceau, E.; Marceau, É.
Homepage: https://www.act.ulaval.ca/departement-et-professeurs/professeurs-et-personnel/pr...
External Links: MGP · Google Scholar · ResearchGate

Publications by Year

Citations contained in zbMATH Open

48 Publications have been cited 688 times in 419 Documents Cited by Year
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
94
2006
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
70
2008
Stochastic bounds on sums of dependent risks. Zbl 1028.91553
Denuit, M.; Genest, C.; Marceau, É.
43
1999
The discrete-time risk model with correlated classes of business. Zbl 1103.91358
Cossette, Hélène; Marceau, Etienne
37
2000
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
37
2003
TVaR-based capital allocation with copulas. Zbl 1231.91141
Bargès, Mathieu; Cossette, Hélène; Marceau, Étienne
34
2009
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. Zbl 1284.60027
Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima
31
2013
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
26
2002
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
25
2010
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. Zbl 1235.91086
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne
23
2012
On two dependent individual risk models. Zbl 1055.91044
Cossette, Hélène; Gaillardetz, Patrice; Marceau, Étienne; Rioux, Jacques
20
2002
Compound binomial risk model in a Markovian environment. Zbl 1079.91049
Cossette, Hélène; Landriault, David; Marceau, Étienne
19
2004
Compound Poisson approximations for individual models with dependent risks. Zbl 1055.91050
Genest, Christian; Marceau, Étienne; Mesfioui, Mhamed
17
2003
Classical numerical ruin probabilities. Zbl 0880.62108
De Vylder, F.; Marceau, E.
16
1996
Risk models based on time series for count random variables. Zbl 1218.91074
Cossette, Hélène; Marceau, Étienne; Toureille, Florent
16
2011
Discrete-time risk models on time series for count random variables. Zbl 1230.91071
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique
16
2010
Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Zbl 1188.91086
Cossette, Hélène; Landriault, David; Marceau, Étienne
14
2004
On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Zbl 1214.91050
Bargès, Mathieu; Cossette, Hélène; Loisel, Stéphane; Marceau, Étienne
13
2011
On robustness in risk theory. Zbl 1002.62081
Marceau, Étienne; Rioux, Jacques
10
2001
On the discrete-time compound renewal risk model with dependence. Zbl 1167.91013
Marceau, Etienne
10
2009
Ruin probabilities in the discrete time renewal risk model. Zbl 1090.60076
Cossette, Hélène; Landriault, David; Marceau, Etienne
9
2006
On life insurance reserves in a stochastic mortality and interest rates environment. Zbl 0941.91038
Marceau, Etienne; Gaillardetz, Patrice
8
1999
Vector-valued tail value-at-risk and capital allocation. Zbl 1349.91319
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed
8
2016
Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications. Zbl 1398.62289
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry
8
2018
Hierarchical Archimedean copulas through multivariate compound distributions. Zbl 1395.62112
Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Étienne; Mtalai, Itre
7
2017
The numerical solution of the Schmitter problems: Theory. Zbl 0890.90037
De Vylder, F.; Marceau, E.
6
1996
Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed
6
2013
Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1232.91343
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
6
2011
Collective risk models with dependence. Zbl 1410.91261
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre
5
2019
The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107
De Vylder, F.; Goovaerts, M.; Marceau, E.
5
1997
Modeling catastrophes and their impact on insurance portfolios. Zbl 1084.62526
Cossette, Hélène; Duchesne, Thierry; Marceau, Étienne
5
2003
Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre
5
2020
On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. Zbl 1348.91137
Cossette, Hélène; Marceau, Etienne; Perreault, Samuel
4
2015
Distributional bounds for functions of dependent risks. Zbl 1187.91093
Cossette, H.; Denuit, M; Marceau, É.
4
2002
Upper stop-loss bounds for sums of possibly dependent risks with given means and variances. Zbl 1007.91028
Genest, Christian; Marceau, Étienne; Mesfioui, Mhamed
4
2002
A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. Zbl 1292.62077
Cossette, Hélène; Côté, Marie-Pier; Mailhot, Mélina; Marceau, Etienne
4
2014
The solution of Schmitter’s simple problem: Numerical illustration. Zbl 0906.62108
De Vylder, F.; Goovaerts, M.; Marceau, E.
3
1997
Modelling and evaluation of risks in insurance. Models on one period. (Modélisation et évaluation quantitative des risques en actuariat. Modèles sur une période.) Zbl 1264.91002
Marceau, Étienne
3
2013
Common mixture in the individual risk model. Zbl 1187.91094
Cossette, H.; Gaillardetz, P.; Marceau, E.
3
2002
Impact of dependence among multiple claims in a single loss. Zbl 1103.91357
Cossette, Hélène; Denuit, Michel; Marceau, Etienne
2
2000
Dynamic risk measures within discrete-time risk models. Zbl 1312.91057
Cossette, Hélène; Marceau, Etienne
2
2013
Analysis of the discounted sum of ascending ladder heights. Zbl 1284.91220
Cossette, Hélène; Landriault, David; Marceau, Etienne; Moutanabbir, Khouzeima
2
2012
Stochastic approximations of present value functions. Zbl 1187.91092
Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É.
2
2001
Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Zbl 1419.62120
Cossette, 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 1480.60140
Cossette, 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 1333.91022
Cossette, H.; Landriault, D.; Marceau, É.
1
2004
Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. Zbl 1291.91095
Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne
1
2014
On sums of two counter-monotonic risks. Zbl 1445.91050
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne
1
2020
Ruin-based risk measures in discrete-time risk models. Zbl 1447.91132
Cossette, Hélène; Marceau, Etienne; Trufin, Julien; Zuyderhoff, Pierre
5
2020
On sums of two counter-monotonic risks. Zbl 1445.91050
Chaoubi, Ihsan; Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Etienne
1
2020
Collective risk models with dependence. Zbl 1410.91261
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre
5
2019
Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Zbl 1419.62120
Cossette, 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 1480.60140
Cossette, 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 1398.62289
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry
8
2018
Hierarchical Archimedean copulas through multivariate compound distributions. Zbl 1395.62112
Cossette, Hélène; Gadoury, Simon-Pierre; Marceau, Étienne; Mtalai, Itre
7
2017
Vector-valued tail value-at-risk and capital allocation. Zbl 1349.91319
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed
8
2016
On two families of bivariate distributions with exponential marginals: aggregation and capital allocation. Zbl 1348.91137
Cossette, Hélène; Marceau, Etienne; Perreault, Samuel
4
2015
A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks. Zbl 1292.62077
Cossette, Hélène; Côté, Marie-Pier; Mailhot, Mélina; Marceau, Etienne
4
2014
Risk models with dependence between claim occurrences and severities for Atlantic hurricanes. Zbl 1291.91095
Boudreault, Mathieu; Cossette, Hélène; Marceau, Étienne
1
2014
Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation. Zbl 1284.60027
Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; Moutanabbir, Khouzeima
31
2013
Bivariate lower and upper orthant value-at-risk. Zbl 1304.91097
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne; Mesfioui, Mhamed
6
2013
Modelling and evaluation of risks in insurance. Models on one period. (Modélisation et évaluation quantitative des risques en actuariat. Modèles sur une période.) Zbl 1264.91002
Marceau, Étienne
3
2013
Dynamic risk measures within discrete-time risk models. Zbl 1312.91057
Cossette, Hélène; Marceau, Etienne
2
2013
TVaR-based capital allocation for multivariate compound distributions with positive continuous claim amounts. Zbl 1235.91086
Cossette, Hélène; Mailhot, Mélina; Marceau, Étienne
23
2012
Analysis of the discounted sum of ascending ladder heights. Zbl 1284.91220
Cossette, Hélène; Landriault, David; Marceau, Etienne; Moutanabbir, Khouzeima
2
2012
Risk models based on time series for count random variables. Zbl 1218.91074
Cossette, Hélène; Marceau, Étienne; Toureille, Florent
16
2011
On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Zbl 1214.91050
Bargès, Mathieu; Cossette, Hélène; Loisel, Stéphane; Marceau, Étienne
13
2011
Constant dividend barrier in a risk model with a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1232.91343
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
6
2011
Analysis of ruin measures for the classical compound Poisson risk model with dependence. Zbl 1226.91024
Cossette, Héléne; Marceau, Etienne; Marri, Fouad
25
2010
Discrete-time risk models on time series for count random variables. Zbl 1230.91071
Cossette, Hélène; Marceau, Etienne; Maume-Deschamps, Véronique
16
2010
TVaR-based capital allocation with copulas. Zbl 1231.91141
Bargès, Mathieu; Cossette, Hélène; Marceau, Étienne
34
2009
On the discrete-time compound renewal risk model with dependence. Zbl 1167.91013
Marceau, Etienne
10
2009
On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula. Zbl 1151.91565
Cossette, Hélène; Marceau, Etienne; Marri, Fouad
70
2008
On a risk model with dependence between interclaim arrivals and claim sizes. Zbl 1145.91030
Boudreault, Mathieu; Cossette, Hélène; Landriault, David; Marceau, Etienne
94
2006
Ruin probabilities in the discrete time renewal risk model. Zbl 1090.60076
Cossette, Hélène; Landriault, David; Marceau, Etienne
9
2006
Compound binomial risk model in a Markovian environment. Zbl 1079.91049
Cossette, Hélène; Landriault, David; Marceau, Étienne
19
2004
Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Zbl 1188.91086
Cossette, Hélène; Landriault, David; Marceau, Étienne
14
2004
Risk measures related to the surplus process in the compound Markov binomial model. Zbl 1333.91022
Cossette, H.; Landriault, D.; Marceau, É.
1
2004
Ruin probabilities in the compound Markov binomial model. Zbl 1092.91040
Cossette, Hélène; Landriault, David; Marceau, Étienne
37
2003
Compound Poisson approximations for individual models with dependent risks. Zbl 1055.91050
Genest, Christian; Marceau, Étienne; Mesfioui, Mhamed
17
2003
Modeling catastrophes and their impact on insurance portfolios. Zbl 1084.62526
Cossette, Hélène; Duchesne, Thierry; Marceau, Étienne
5
2003
Criteria for the stochastic ordering of random sums, with actuarial applications. Zbl 1003.60022
Denuit, Michel; Genest, Christian; Marceau, Étienne
26
2002
On two dependent individual risk models. Zbl 1055.91044
Cossette, Hélène; Gaillardetz, Patrice; Marceau, Étienne; Rioux, Jacques
20
2002
Distributional bounds for functions of dependent risks. Zbl 1187.91093
Cossette, H.; Denuit, M; Marceau, É.
4
2002
Upper stop-loss bounds for sums of possibly dependent risks with given means and variances. Zbl 1007.91028
Genest, Christian; Marceau, Étienne; Mesfioui, Mhamed
4
2002
Common mixture in the individual risk model. Zbl 1187.91094
Cossette, H.; Gaillardetz, P.; Marceau, E.
3
2002
On robustness in risk theory. Zbl 1002.62081
Marceau, Étienne; Rioux, Jacques
10
2001
Stochastic approximations of present value functions. Zbl 1187.91092
Cossette, H.; Denuit, Michel; Dhaene, J.; Marceau, É.
2
2001
The discrete-time risk model with correlated classes of business. Zbl 1103.91358
Cossette, Hélène; Marceau, Etienne
37
2000
Impact of dependence among multiple claims in a single loss. Zbl 1103.91357
Cossette, Hélène; Denuit, Michel; Marceau, Etienne
2
2000
Stochastic bounds on sums of dependent risks. Zbl 1028.91553
Denuit, M.; Genest, C.; Marceau, É.
43
1999
On life insurance reserves in a stochastic mortality and interest rates environment. Zbl 0941.91038
Marceau, Etienne; Gaillardetz, Patrice
8
1999
The bi-atomic uniform minimal solution of Schmitter’s problem. Zbl 0906.62107
De Vylder, F.; Goovaerts, M.; Marceau, E.
5
1997
The solution of Schmitter’s simple problem: Numerical illustration. Zbl 0906.62108
De Vylder, F.; Goovaerts, M.; Marceau, E.
3
1997
Classical numerical ruin probabilities. Zbl 0880.62108
De Vylder, F.; Marceau, E.
16
1996
The numerical solution of the Schmitter problems: Theory. Zbl 0890.90037
De Vylder, F.; Marceau, E.
6
1996
all top 5

Cited by 543 Authors

37 Marceau, Étienne
31 Cossette, Hélène
15 Woo, Jae-Kyung
13 Yuen, Kam Chuen
12 Denuit, Michel M.
12 Landriault, David
10 Cheung, Eric C. K.
10 Lefèvre, Claude
9 Fu, Ke’ang
9 Hu, Xiang
9 Loisel, Stéphane
8 Mailhot, Mélina
8 Yang, Hu
7 Guo, Junyi
7 Maume-Deschamps, Véronique
7 Zhang, Lianzeng
7 Zhang, Zhimin
6 Ahn, Jae Youn
6 Chen, Mi
6 Genest, Christian
6 Mesfioui, Mhamed
6 Shen, Xinmei
6 Vernic, Raluca
5 Albrecher, Hansjörg
5 Lin, X. Sheldon
5 Marri, Fouad
5 Oh, Rosy
5 Palmowski, Zbigniew
5 Puccetti, Giovanni
5 Rüschendorf, Ludger
5 Wang, Dehui
5 Willmot, Gordon E.
5 Xie, Jiehua
5 Zou, Wei
4 Asmussen, Søren
4 Brazauskas, Vytaras
4 Cai, Jun
4 Chen, Yiqing
4 Côté, Marie-Pier
4 Furman, Edward
4 Gebizlioğlu, Ömer L.
4 Kolev, Nikolai
4 Li, Jinzhu
4 Ortega, Eva-María
4 Robert, Christian Yann
4 Sendova, Kristina P.
4 Tank, Fatih
4 Trufin, Julien
3 Badescu, Andrei L.
3 Biard, Romain
3 Di Bernardino, Elena
3 Embrechts, Paul
3 Eryılmaz, Serkan N.
3 Gadoury, Simon-Pierre
3 Gao, Jianwei
3 Goovaerts, Marc J.
3 Guillen, Montserrat
3 Herrmann, Klaus
3 Hofert, Marius
3 Huang, Rongtan
3 Kaas, Rob
3 Kortschak, Dominik
3 Laeven, Roger J. A.
3 Li, Xiaohu
3 Moutanabbir, Khouzeima
3 Mtalai, Itre
3 Nadarajah, Saralees
3 Picard, Philippe
3 Prieto, Faustino
3 Ragulina, Olena
3 Ratovomirija, Gildas
3 Rullière, Didier
3 Sarabia, José María
3 Su, Jianxi
3 Tang, Qihe
3 Valdez, Emiliano A.
3 Wang, Guojing
3 Wu, Xueyuan
3 Zhou, Ming
2 Adékambi, Franck
2 Aissani, Djamil
2 Aleksandrov, Boris
2 Apaydın, Ayşen
2 Asimit, Alexandru V.
2 Avram, Florin
2 Bao, Zhenhua
2 Beck, Nicholas
2 Belzunce, Félix
2 Benouaret, Zina
2 Bi, Xiuchun
2 Boudreault, Mathieu
2 Boxma, Onno Johan
2 Chaoubi, Ihsan
2 Cheng, Jianhua
2 Cheung, Ka Chun
2 Constantinescu, Corina D.
2 Cousin, Areski
2 Cuberos, A.
2 Czarna, Irmina
2 de Vylder, Florent Etienne
...and 443 more Authors
all top 5

Cited in 89 Serials

127 Insurance Mathematics & Economics
39 Scandinavian Actuarial Journal
20 Methodology and Computing in Applied Probability
18 Journal of Computational and Applied Mathematics
18 Communications in Statistics. Theory and Methods
17 ASTIN Bulletin
13 Statistics & Probability Letters
12 North American Actuarial Journal
9 Journal of Multivariate Analysis
9 European Actuarial Journal
8 Journal of Applied Probability
7 Dependence Modeling
6 Journal of Inequalities and Applications
5 Acta Mathematicae Applicatae Sinica. English Series
4 Applied Mathematics. Series B (English Edition)
4 Journal of the Korean Statistical Society
3 Lithuanian Mathematical Journal
3 Applied Mathematics and Computation
3 Journal of Statistical Planning and Inference
3 Statistics
3 Computational Statistics and Data Analysis
3 Acta Mathematica Sinica. English Series
3 Applied Stochastic Models in Business and Industry
3 Stochastic Models
3 Journal of Industrial and Management Optimization
3 Modern Stochastics. Theory and Applications
2 The Annals of Applied Probability
2 Finance and Stochastics
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Stochastics
2 Journal of Statistical Theory and Practice
2 Risk and Decision Analysis
2 Probability Surveys
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Journal of Mathematical Analysis and Applications
1 Mathematical Methods in the Applied Sciences
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Fuzzy Sets and Systems
1 Journal of Mathematical Economics
1 Mathematics and Computers in Simulation
1 Operations Research
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 Applications of 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 Top
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 Informatica (Vilnius)
1 Discrete Dynamics in Nature and Society
1 Extremes
1 Stochastic Environmental Research and Risk Assessment
1 Probability in the Engineering and Informational Sciences
1 Econometric Theory
1 International Game Theory Review
1 Journal of Applied Mathematics
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Advances in Difference Equations
1 Electronic Journal of Statistics
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Set-Valued and Variational Analysis
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 AIMS Mathematics
1 Japanese Journal of Statistics and Data Science
1 Probability, Uncertainty and Quantitative Risk
1 Results in Applied Mathematics

Citations by Year