Jérôme Lelong
- Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation
2015/10/13 by Ahmed Kebaier, Kebaier, Ahmed, Jérôme Lelong +1 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Computational Finance (q-fin.CP) #FOS: Economics and business #FOS: Mathematics #Mathematical Approximation and Integration #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications
- Sample Average Approximation for Portfolio Optimization under CVaR constraint in an (re)insurance context
2024/10/14 by Jérôme Lelong, Lelong, Jérôme, Véronique Maume‐Deschamps +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #FOS: Economics and business #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization