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, L'objectif de la présente section est de comparer numériquement les performances de l'estimateur d'une matrice de transition associée à une chaîne de Markov décrivant un modèle de stock de type (R, s, S) lorsque le paramètre de lissage est sélectionné par (6) et par la méthode classique U CV et cela selon le noyau utilisé pour la construction de cet estimateur (K ? {Piosson ; Binomiale ; Binomiale Négatif ; Triangulaire})

. Finalement, nos résultats nous permettent de pouvoir conclure d'une part que les paramètres de lissage sélectionnés via les normes matricielles nous fournissent, d'une manière générale, des estimateurs plus performants et d'autre part

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, nous étudions l'estimation du quantile conditionnelle d'une variable réponse censuré aléatoirement et a valeurs dans R (scalaire) étant donné une covariable aléatoire fonctionnelle, où les données sont échantillonnées d'un processus stationnaire et ergodique. Un estimateur de type noyau de la fonction quantile conditionnelle est introduit. Ensuite

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, Bivariate copulas statistics and semi-parametric estimation

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, La théorie de l'évaluation des options est devenue un domaine riche en modélisations depuis le célèbre modèle fondateur de Black & Scholes ( BS 1973), où les auteurs délivrent une formule d'évaluation donnant le prix (prime ou premium) d'une option européenne, jouissant d'un caractère analytique et d'une simplicité notable lui conférant une praticabilité certaine

G. Madan and D. , En effet, ce modèle se base sur la constance de la volatilité et sur la distribution normale pour le rendement de l'actif sous jacent à l'option qui sous estime fortement les évènements « improbables » comme les crises et les crashs alors qu'ils sont beaucoup moins rares que cette loi ne le prévoit. Ceci sera confirmé par l'étude empirique de l'indice S&P500 où nous montrerons l'inefficacité du modèle BS à bien reproduire la dynamique des cours boursiers. L'évaluation d'un Call européen via des modèles alternatifs (Heston, 1993 et Bates 1996) adhérant mieux à la réalité des cours boursiers Références Bakshi, Cependant, ce modèle est rejeté par la structure des marchés financiers car il repose sur des hypothèses qui simplifient à outrance la réalité au point de s'en éloigner, vol.55, pp.205-238, 2000.

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, L'application de la théorie de crédibilité dans le tarif risque incendie Nous nous intéressons à la discussions des résultats d'estimations des paramètres de structures dans les deux études réalisées par Cohen.A (1986) et Deville.C, 2004.

, autrement dit le traitement du tarif du portefeuille se fait par l'attribution des poids aux contrats, cette approche a fait objet d'une application au tarif assurance incendie des grands risques Cohen.A (1986) ce tarif sera jugé par la suite dépassé et inadaptable avec l'évolution considérable de la branche, une problématique repris par Deville.C (2004) en proposant d'aller vers l'adaptation du tarif en faisant appel à l'approche de Jewell (1975), cette dernière tient aussi compte du poids des contrats mais aussi propose de travailler sur des sous portefeuilles plus en plus homogène c'est pourquoi cette approche nommée aussi le modèle de crédibilité hiérarchique de Jewell, en 1970 consiste à travailler sur les données de la statistique commune 4 avec une pondération des contrats contenant dans le portefeuille, 1986.

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, Nous développons d'avantage dans la suite de notre papier l'étude des estimateurs des paramètres de structure

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