Publications (12)
ARTICLE
CONSTRUCTION OF A CLASS OF COPULAS WITH HORIZONTAL OR VERTICAL SECTION OF A HOMOGRAPHIC FUNCTION
Herman Tiemtoré, Bagre Remi Guillaume, Loyara Vini Yves BernadinThe construction of multivariate distributions with arbitrary margins has been a problem of interest to statisticians for many years, but nowadays, by virtue of Sklar’s theorem, this problem can be reduced to the construction of a copula. However, there is no general method for constructing a...
ARTICLE
Links between the Incomplete Gamma Function and the Independent and Gumbel Copulas
Loyara Vini Yves Bernadin, Bagre Remi Guillaume, Bere FrédéricTo obtain the links between the incomplete gamma function and the two copulas (independent and Gumbel). We went through some integral function transformations. The transformations used are Laplace, Fourier, and Mellin. Our work can be seen as a bridge between the notion of copula in probability...
ARTICLE
Modelling groundwater pollutant transfer mineral micropollutants in a multi-layered aquifer in Burkina Faso (West African Sahel)
Moussa Diagne Faye , Vini Yves Bernadin Loyara , Angelbert Chabi Biaou , Roland Yonaba , Mahamadou Koita , Hamma YacoubaIn Burkina Faso, human activities around water points in rural areas affect groundwater resources, which become unfit for consumption. Nearly 33.5% of boreholes are subject to point source pollution. The assessment of the evolution of such pollution should be monitored to assess groundwater...
COMMUNICATION
Copules multivariées et modélisation de risques de portefeuille
Vini Yves Bernadin LOYARAL’objectif principal de cette communication est l’étude des mesures de risque et leurs applications en gestion de portefeuille . Pour ce faire, nous avons utilisé un outil de la théorie des probabilités : la copule. Une nouvelle relation a été établie par l’intermédiaire de la VaR...
ARTICLE
FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL
Frédéric Béré, Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Pierre Clovis NitiémaThis paper contributes to the approach of the bivariate risk of ruin in finite time. We deal with a problem of risk of occurrence of a claim from the Cramer-Lundberg model in which there is some by-claim (more or less zero) integrating a Brownian oscillation at the level of the reserve at a...
ARTICLE
STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS
Vini Yves Bernadin Loyara, Remi Guillaume Bagré, Frédéric Béré and Diakarya BarroThis paper deals with the family of nested Archimedean copulas in sampling financial risk factors. We propose the fourth and fifth orders of extensions of nested Archimedean copulas. Some tests of simulations on the functional are made for the risk factors. The CDS portfolio and discount factors...
ARTICLE
Estimated of COVID-19 Sampling Mean in Burkina Faso
Vini Yves Bernadin LOYARA, Remi Guillaume BAGRE Frédric BEREOur objective in the development of this document, was to establish an estimate of the average of di erent variables in particular, the case of daily contamination of covid-19, the case of recovery and finally the case of lethality of COVID-19 in Burkina to give an idea of the real rate of...
COMMUNICATION
Estimation Stochastique de la moyenne d'échantillonnage du COVID-19 au Burkina Faso
https://acc-ouaga.org/wp-content/uploads/2020/10/Programme-scientifique-du-colloque-interdisciplinaire-sur-la-Covid19.pdfNotre objectif dans l'élaboration de ce document, était d'établir une estimation de la moyenne de différentes variables notamment, le cas de contamination quotidienne de covid-19, le cas de guérison et enfin le cas de létalité de COVID-19 au Burkina à donner une idée du taux réel de...
ARTICLE
Estimation of the Value at Risk Using the Stochastic Approach of Taylor Formula
Vini Yves Bernadin Loyara; Remi Guillaume Bagré; Diakarya BarroThe aim of this paper is to provide an approximation of the value-at-risk of the multivariate copula associated with financial loss and profit function. A higher dimensional extension of the Taylor–Young formula is used for this estimation in a Euclidean space. Moreover, a time-varying and...
ARTICLE
SPATIAL CHARACTERIZATION OF STOCHASTIC DEPENDENCE USING COPULAS
Remi Guillaume Bagré, Vini Yves Bernadin Loyara and Diakarya BarroThis paper aims to propose some approaches for modeling stochastic processes through the underlying copula in a spatial context. Specifically, we provide a spatial characterization of distribution of statistics order. Moreover, we propose a Poisson point process with intensity in a spatial...
ARTICLE
Value-at-Risk Modeling with Conditional Copulas in Euclidean Space Framework
Vini Yves Bernadin Loyara, Diakarya BarroThis paper aims to establish an analytic relation between a time-varying conditional copula and the value at risk modeled by the underlying. Specically, under the asumption that the space is euclidean we use scalar product to clarify a link between the conditional copula varying with time and...
ARTICLE
MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS
Yves Bernadin Vini Loyara, Remi Guillaume Bagré and Diakarya BarroThis paper investigates some properties of derivative measures of the Value at Risk (VaR) of random variables modeling the stochastic behavior of a portfolio asset. Specifically, coherentness and convex properties of the conditional, the tail VaR and the standard deviation are established....