Pierre-Olivier Goffard
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Previous Organizations / Institutes
The organizations / institutes from the scholar's other articles in the past ten years
Pierre-Olivier Goffard has a total of 5 co-authors. Here are the top co-authors by number of shared publications:
- Andrey Sarantsev
Department of Mathematics and Statistics, University of Nevada, Reno, USA
2 shared publications - Denys Pommeret
Ecole Centrale Aix-Marseille University CNRS I2M Campus de Luminy 13288 Marseille cedex 9 France
1 shared publication Lsaf Ea2429
1 shared publication- Stéphane Loisel
Laboratoire LIRSA, Conservatoire National des Arts et Métiers, Paris, France
1 shared publication - Xavier Guerrault
AXA France
1 shared publication
Latest Publications
- 1 September 2019
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 56 (4) , 1244-1268
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
We find explicit estimates for the exponential rate of long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows us to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
- 1 September 2019
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 56 (4) , 1244-1268
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
We find explicit estimates for the exponential rate of long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows us to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
- Open Access
EXPONENTIAL CONVERGENCE RATE OF RUIN PROBABILITIES FOR LEVEL-DEPENDENT LEVY-DRIVEN RISK PROCESSES
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
Open AccessEXPONENTIAL CONVERGENCE RATE OF RUIN PROBABILITIES FOR LEVEL-DEPENDENT LEVY-DRIVEN RISK PROCESSES
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the problem to long-term convergence of a reflected jump-diffusion to its stationary distribution, which is handled via Lyapunov functions.
- 3 November 2015
- Published by Springer Nature in Methodology and Computing in Applied Probability
- Vol. 19 (1) , 151-174
Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions
- 3 November 2015
- Published by Springer Nature in Methodology and Computing in Applied Probability
- Vol. 19 (1) , 151-174
Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions
- Open Access
- 17 April 2015
- Published by Springer Nature in European Actuarial Journal
- Vol. 5 (1) , 165-180
Is it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?
- 17 April 2015
- Published by Springer Nature in European Actuarial Journal
- Vol. 5 (1) , 165-180
Open AccessIs it optimal to group policyholders by age, gender, and seniority for BEL computations based on model points?