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ORBi Open Repository and Bibliography (210,026 recursos)
In may 2007, the ULg's Administrative Board (joined in June 2007 by the FUSAGx) decided to create an institutional repository and defined a strong institutional self-archiving policy to increase the visibility, accessibility and impact of the University's publications (Board's decision). This decision led to the official launch, in November 2008, of the ORBi platform including both the Academic Bibliography and the Institutional Repository of the Wallonia-Europe University Academy.

Business & economic sciences => Quantitative methods in economics & management

Mostrando recursos 1 - 20 de 259

1. Nonparametric and bootstrap techniques applied to financial risk modeling - Hambuckers, julien
For the purpose of quantifying financial risks, risk managers need to model the behavior of financial variables. However, the construction of such mathematical models is a difficult task that requires careful statistical approaches. Among the important choices that must be addressed,we can list the error distribution, the structure of the variance process, the relationship between parameters of interest and explanatory variables. In particular, one may avoid procedures that rely either on too rigid parametric assumptions or on inefficient estimation procedures. In this thesis, we develop statistical procedures that tackle some of these issues, in the context of three financial risk modelling...

2. What are the determinants of the operational losses severity distribution ? A multivariate analysis based on a semiparametric approach. - Hambuckers, julien; Heuchenne, Cédric; Lopez, Olivier
Peer reviewed

3. A semiparametric model for Generalized Pareto regression based on a dimension reduction assumption - Hambuckers, julien; Heuchenne, Cédric; Lopez, Olivier
In this paper, we consider a regression model in which the tail of the conditional distribution of the response can be approximated by a Generalized Pareto distribution. Our model is based on a semiparametric single-index assumption on the conditional tail index; while no further assumption on the conditional scale parameter is made. The underlying dimension reduction assumption allows the procedure to be of prime interest in the case where the dimension of the covariates is high, in which case the purely nonparametric techniques fail while the purely parametric ones are too rough to correctly fit to the data. We derive asymptotic normality of the estimators that we define,...

4. A cyclical square-root model for the term structure of interest rates - Platania, Federico; Moreno, Manuel
Peer reviewed

5. Real options valuation under uncertainty - Platania, Federico; Lambert, Marie; Moreno, Manuel
Peer reviewed

6. What is the impact of ticket-level fare information on classic itinerary choice models ? - Lurkin, Virginie; Garrow, Laurie; Schyns, Michael
I have been invited by Prof. Dr. Catherine Cleophas as an external guest to the "Revenue Management Colloquium" in Aix-la-Chapelle from March 25 to March 26. The aim is to present my own doctoral project and discuss the presentations of other PhD students

7. Early detection of university students in potential difficulty - Hoffait, Anne-Sophie; Schyns, Michael
Rate of success in the first year at University in Belgium is very low regarding other foreign universities. The University of Liege, as other Universities, has already taken different initiatives. But by early identifying students who have a high probability to face difficulties if nothing is done, the Universities might develop adapted methods to attack the problem with more emphasis where it is more needed and when it is still possible. Thus we want to develop a decision tool able to identify these students to help them. For that, we consider three standard datamining methods: logistic regression, artificial neural networks...

8. Economic statistical design of nonparametric control charts - Marcos Alvarez, Alejandro
In this work, we apply the economic statistical design framework to nonparametric control charts. To this end, we develop bounds for the type II error probability, i.e. the false negatives rate, of the nonparametric charts that are then used within the model. We implement the optimization problem defining economic statistical design and use it to find the design parameters of nonparametric control charts. We then compare the behavior of this design with parametric and nonparametric charts on different probability distributions with different values of the distribution parameters. We finally perform a brief analysis of the obtained results that emphasizes the...

9. Sequential testing of k-out-of-n systems with imperfect tests - Wenchao, Wei; Coolen, Kris; Talla Nobibon, Fabrice; Leus, Roel
A k-out-of-n system configuration requires that, for the overall system to be functional, at least k out of the total of n components be working. We consider the problem of sequentially testing the components of a k-out-of-n system in order to learn the state of the system, when the tests are costly and when the individual component tests are imperfect, which means that a test can identify a component as working when in reality it is down, and vice versa. Each component is tested at most once. Since tests are imperfect, even when all components are tested the state of the...

10. A Markov chain model of power indices in corporate structures - Crama, Yves; Leruth, Luc; Wang, Su
This paper proposes to use a game-theoretic framework in analyzing complex corporate networks, notably in measuring the ``amount of control'' of both direct and indirect shareholders. The values of the indices are defined by complex voting games, composed by interlocked weighted majority games. This paper proposes a characterization of corporate networks in which the notion of ``control'' can be well defined, as well as an algorithm that consistently estimates the power indices when it is the case.

11. A mixed integer nonlinear programming bi-objective model for intermodal network design - Mostert, Martine; Caris, An; Limbourg, Sabine
Peer reviewed

12. Quand les maths nous transportent... - Crama, Yves
Voici trois siècles, il se racontait dans la ville prussienne de Königsberg qu’un promeneur ne pouvait pas traverser successivement les sept ponts reliant les différentes parties de la cité sans emprunter deux fois le même pont. Leonhard Euler apporta en 1736 une démonstration élégante de cette affirmation. Il produisit ainsi l’une des premières applications des mathématiques à la construction d’itinéraires optimisés. Aujourd’hui, la modélisation mathématique est devenue un outil indispensable pour les décideurs dans le monde du transport et, plus généralement, pour la gestion et la planification des activités logistiques. Qu’il s’agisse de calculer l’itinéraire le plus rapide de Liège à...

13. Quand les maths nous transportent... - Crama, Yves
Voici trois siècles, il se racontait dans la ville prussienne de Königsberg qu’un promeneur ne pouvait pas traverser successivement les sept ponts reliant les différentes parties de la cité sans emprunter deux fois le même pont. Leonhard Euler apporta en 1736 une démonstration élégante de cette affirmation. Il produisit ainsi l’une des premières applications des mathématiques à la construction d’itinéraires optimisés. Aujourd’hui, la modélisation mathématique est devenue un outil indispensable pour les décideurs dans le monde du transport et, plus généralement, pour la gestion et la planification des activités logistiques. Qu’il s’agisse de calculer l’itinéraire le plus rapide de Liège...

14. Guaranteed Conditional Performance of the S2 Control Chart with Estimated Parameters - Faraz, Alireza; Heuchenne, Cédric; Woodall, William
Peer reviewed

15. SADPrix: Système d'Aide à la Décision en Matière de Prix - Choffray, Jean-Marie; Tarondeau, Jean-Claude
Ce document traite de la fixation des prix et des principales méthodes utilisées dans ce domaine. Il présente le système SADPrix d'aide à la fixation des prix par une modélisation interactive du comportement du marché et de la dynamique des coûts.

16. A Methodology For Investigating Heterogeneous Perceptual Structures - Choffray, Jean-Marie; Lilien, Gary L.
This paper presents a methodology to assess and test differences in perceptual structures among groups involved in purchasing decisions. Once identified, these differences cand help understand the formation of product preferences.

17. A model-based methodology for assessing market response for new industrial products - Choffray, Jean-Marie; Lilien, Gary L.
Peer reviewed

18. DESIGNOR: une méthode nouvelle d'aide à la conception des produits industriels - Choffray, Jean-Marie
Cet article présente une méthode nouvelle, appelée DESIGNOR, d'aide à la décision marketing. Son objectif est d'accroître la créativité au cours du processus de développement d'un nouveau produit industriel et de réduire les risques d'échec commercial.

19. The market for solar cooling: perceptions, response and strategy implications - Choffray, Jean-Marie; Lilien, Gary L.
Peer reviewed

20. Differences in perceptions and evaluation criteria among groups influencing industrial buying decisions - Choffray, Jean-Marie; Lilien, Gary L.
Peer reviewed

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