Christophe Dutang

Enseignant-chercheur, Grenoble INP - UGA
55
Documents
Affiliations actuelles
  • Laboratoire Jean Kuntzmann (LJK)
  • Applied Statistics And Reliability - ASAR (ASAR)

Domaines de recherche

Statistiques [math.ST] Finance quantitative [q-fin.CP] Probabilités [math.PR]

Publications

Publications

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One-step closed-form estimator for generalized linear model with categorical explanatory variables

Alexandre Brouste , Christophe Dutang , Lilit Hovsepyan , Tom Rohmer
Statistics and Computing, 2023, 33 (6), pp.138. ⟨10.1007/s11222-023-10313-4⟩
Article dans une revue hal-04251559 v1
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A modeler's guide to extreme value software

Léo Belzile , Christophe Dutang , Paul Northrop , Thomas Opitz
Extremes, 2023, 26 (4), pp.595-638. ⟨10.1007/s10687-023-00475-9⟩
Article dans une revue hal-04348302 v1
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Feller-Pareto and Related Distributions: Numerical Implementation and Actuarial Applications

Christophe Dutang , Vincent Goulet , Nicholas Langevin
Journal of Statistical Software, 2022, 103 (6), ⟨10.18637/jss.v103.i06⟩
Article dans une revue hal-03725415 v1
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A Closed-form Alternative Estimator for GLM with Categorical Explanatory Variables

Alexandre Brouste , Christophe Dutang , Tom Rohmer
Communications in Statistics - Simulation and Computation, In press, pp.1-17. ⟨10.1080/03610918.2022.2076870⟩
Article dans une revue hal-03689206 v1
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On a Markovian game model for competitive insurance pricing

Claire Mouminoux , Christophe Dutang , Stéphane Loisel , Hansjoerg Albrecher
Methodology and Computing in Applied Probability, 2021, ⟨10.1007/s11009-021-09906-1⟩
Article dans une revue hal-03448339 v1
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An explicit split point procedure in model-based trees allowing for a quick fitting of GLM trees and GLM forests

Christophe Dutang , Quentin Guibert
Statistics and Computing, 2021, 32 (1), ⟨10.1007/s11222-021-10059-x⟩
Article dans une revue hal-03448250 v1
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OneStep : Le Cam's One-step Estimation Procedure

Alexandre Brouste , Christophe Dutang , Darel Noutsa Mieniedou
The R Journal, 2021, 13 (1), pp.366. ⟨10.32614/RJ-2021-044⟩
Article dans une revue hal-03452455 v1
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Closed form Maximum Likelihood Estimator for Generalized Linear Models in the case of categorical explanatory variables: Application to insurance loss modelling

Alexandre Brouste , Christophe Dutang , Tom Rohmer
Computational Statistics, 2020, ⟨10.1007/s00180-019-00918-7⟩
Article dans une revue hal-01781504 v3
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Machine Learning Methods to Perform Pricing Optimization. A Comparison with Standard GLMs

Giorgio Alfredo Spedicato , Christophe Dutang , Leonardo Petrini
Variance, 2018, 12 (1), pp.69-89
Article dans une revue hal-01942038 v2
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Lapse tables for lapse risk management in insurance: a competing risk approach

Xavier Milhaud , Christophe Dutang
European Actuarial Journal, 2018, 8 (1), pp.97-126. ⟨10.1007/s13385-018-0165-7⟩
Article dans une revue hal-01985256 v1
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Theoretical L-moments and TL-moments Using Combinatorial Identities and Finite Operators

Christophe Dutang
Communications in Statistics - Theory and Methods, 2017, 46 (8), pp.3801-3828. ⟨10.1080/03610926.2015.1073313⟩
Article dans une revue hal-01163638 v2
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Robust and bias-corrected estimation of the probability of extreme failure sets

Christophe Dutang , Yuri Goegebeur , Armelle Guillou
Sankhya A, 2016, 78 (1), pp.52-86. ⟨10.1007/s13171-015-0078-3⟩
Article dans une revue hal-01616187 v1
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Closed-form and numerical computations of actuarial indicators in ruin theory and claim reserving

Alexandre Brouste , Christophe Dutang
Bulletin Français d'Actuariat, 2016
Article dans une revue hal-01616192 v1
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fitdistrplus : An R Package for Fitting Distributions

Marie Laure Delignette-Muller , Christophe Dutang
Journal of Statistical Software, 2015, 64 (4), ⟨10.18637/jss.v064.i04⟩
Article dans une revue hal-01616147 v1
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Robust and bias-corrected estimation of the coefficient of tail dependence

Christophe Dutang , Yuri Goegebeur , Armelle Guillou
Insurance: Mathematics and Economics, 2014, 57 (1), ⟨10.1016/j.insmatheco.2014.05.003⟩
Article dans une revue hal-01311680 v1
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A survey of some recent results on Risk Theory

Florin Avram , Romain Biard , Christophe Dutang , Stéphane Loisel , Landy Rabehasaina
ESAIM: Proceedings, 2014, 44, pp.322 - 337. ⟨10.1051/proc/201444020⟩
Article dans une revue hal-01616178 v1
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Competition among non-life insurers under solvency constraints: A game-theoretic approach

Christophe Dutang , Hansjoerg Albrecher , Stéphane Loisel
European Journal of Operational Research, 2013, 231 (3), pp.702 - 711. ⟨10.1016/j.ejor.2013.06.029⟩
Article dans une revue hal-01616156 v1
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Existence theorems for generalized Nash equilibrium problems: an analysis of assumptions

Christophe Dutang
Journal of Nonlinear Analysis and Optimization, 2013, 4 (2), pp.115-126
Article dans une revue hal-00828948 v2
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On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing

Christophe Dutang , Claude Lefèvre , Stéphane Loisel
Insurance: Mathematics and Economics, 2013, 53 (3), pp.774-785
Article dans une revue hal-00746251 v2
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Competition among non-life insurers under solvency constraints: A game-theoretic approach

Christophe Dutang , Hansjoerg Albrecher , Stéphane Loisel
European Journal of Operational Research, 2013, 231 (3), pp.702-711
Article dans une revue hal-00746245 v1

On an asymptotic rule <mml:math altimg="si14.gif" display="inline" overflow="scroll" xmlns:xocs="http://www.elsevier.com/xml/xocs/dtd" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns="http://www.elsevier.com/xml/ja/dtd" xmlns:ja="http://www.elsevier.com/xml/ja/dtd" xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:tb="http://www.elsevier.com/xml/common/table/dtd" xmlns:sb="http://www.elsevier.com/xml/common/struct-bib/dtd" xmlns:ce="http://www.elsevier.com/xml/common/dtd" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:cals="http://www.elsevier.com/xml/common/cals/dtd" xmlns:sa="http://www.elsevier.com/xml/common/struct-aff/dtd"><mml:mi>A</mml:mi><mml:mo>+</mml:mo><mml:mi>B</mml:mi><mml:mo>/</mml:mo><mml:mi>u</mml:mi></mml:math> for ultimate ruin probabilities under dependence by mixing

Christophe Dutang , C. Lefevre , S. Loisel
Insurance: Mathematics and Economics, 2013, 53 (3), pp.774 - 785. ⟨10.1016/j.insmatheco.2013.09.020⟩
Article dans une revue hal-01616175 v1
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The customer, the insurer and the market

Christophe Dutang
Bulletin Français d'Actuariat, 2012
Article dans une revue hal-01616152 v1
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actuar : An R Package for Actuarial Science

Vincent Goulet , Christophe Dutang , Mathieu Pigeon
Journal of Statistical Software, 2008, 25 (7), ⟨10.18637/jss.v025.i07⟩
Article dans une revue hal-01616144 v1

Utilisation des bases MeteoFrance en assurance automobile

Christophe Dutang
Open Science Days @UGA, Université Grenoble Alpes, Dec 2024, Grenoble, France
Communication dans un congrès hal-04840703 v1
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Inference rapide dans les modèles GLM à copule avec variables explicatives catégorielles en utilisant une procédure IFM -OSCFE

Alexandre Brouste , Christophe Dutang , Lilit Hovsepyan , Tom Rohmer
55e Journées de Statistique 2024, Université de Bordeaux, May 2024, Bordeaux, France
Communication dans un congrès hal-04633377 v1
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One-step closed-form estimator for generalized linear model with categorical explanatory variables

Alexandre Brouste , Christophe Dutang , Lilit Hovsepyan , Tom Rohmer
54es Journées de Statistique 2023, Université Libre de Bruxelles, Jul 2023, Bruxelles, Belgium. 7 p
Communication dans un congrès hal-04251593 v1

An Explicit Split Point Procedure in Model-Based Trees Allowing for a Quick Fitting of GLM Trees and GLM Forests

Quentin Guibert , Christophe Dutang
MLISTRAL (Machine Learning in Insurance Sector Targeted to Risk Analysis and Losses ), Sep 2022, Marseille, France
Communication dans un congrès hal-03833418 v1

New goodness-of-fit plots for censored data in the package fitdistrplus

Marie-Laure Delignette-Muller , Christophe Dutang , Aurélie Siberchicot
7ème rencontres R, Jul 2018, Rennes, France
Communication dans un congrès hal-04920835 v1
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Standard statistical inference

Christophe Dutang
Arthur Charpentier. Computational Actuarial Science with R, Chapter 2, CRC press, https://www.routledge.com/Computational-Actuarial-Science-with-R/Charpentier/p/book/9781466592599, 2015, Chapman--Hall CRC-The-R-Series
Chapitre d'ouvrage hal-04723337 v1

OneStep: One-Step Estimation

Alexandre Brouste , Christophe Dutang , Darel Noutsa Mieniedou
Logiciel hal-04722770 v1

RTDE: Robust Tail Dependence Estimation

Christophe Dutang
Logiciel hal-04726561 v1

fitdistrplus: Help to Fit of a Parametric Distribution to Non-Censored or Censored Data

Marie-Laure Delignette-Muller , Christophe Dutang , Aurelie Siberchicot
Logiciel hal-04722769 v1

rngWELL: Toolbox for WELL Random Number Generators

Christophe Dutang , Petr Savicky
Logiciel hal-04726570 v1

POT: Generalized Pareto Distribution and Peaks Over Threshold

Christophe Dutang , Mathieu Ribatet
Logiciel hal-04726599 v1

tsallisqexp: Tsallis q-Exp Distribution

Christophe Dutang , Cosma Rohilla Shalizi
Logiciel hal-04722773 v1

randtoolbox: Toolbox for Pseudo and Quasi Random Number Generation and Random Generator Tests

Christophe Dutang , Petr Savicky
Logiciel hal-04726578 v1

GNE: Computation of Generalized Nash Equilibria

Christophe Dutang
Logiciel hal-04723252 v1

expm: Matrix Exponential, Log, 'etc

Martin Maechler , Christophe Dutang , Vincent Goulet , Douglas Bates , David Firth et al.
Logiciel hal-04726629 v1

gumbel: The Gumbel-Hougaard Copula

Christophe Dutang
Logiciel hal-04726584 v1

lifecontingencies: Financial and Actuarial Mathematics for Life Contingencies

Giorgio Alfredo Spedicato , Christophe Dutang , Reinhold Kainhofer , Kevin Owens , Ernesto Schirmacher et al.
Logiciel hal-04726614 v1

R Project to use MeteoFrance and other Open databases

Christophe Dutang
Logiciel hal-04786582 v1

mbbefd: Maxwell Boltzmann Bose Einstein Fermi Dirac Distribution and Destruction Rate Modelling

Christophe Dutang , Giorgio Alfredo Spedicato , Markus Gesmann
Logiciel hal-04722771 v1

actuar: Actuarial Functions and Heavy Tailed Distributions

Vincent Goulet , Christophe Dutang
Logiciel hal-04726636 v1