In presence of abrupt (financial crisis or epidemics) or long-term (environmental or demographic) changes, one needs to use dynamic tools, to detect such changes from observable data, and to re- estimate models and risk quantification parameters, based on a dynamic and long-term view.

The aim of this project is to propose challenging numerical methods for dynamic utilities, multivariate risk analysis, change-point detection and estimation. These methods are based on advanced probabilistic and statistical tools, and will produce open access libraries. Thanks to the expertise of the team members, and motivated by real-life challenging problems, our project develops adapted numerical methods, in order to provide robust and concrete tools for a decision-maker.

Scientific Coordinators: Anis Matoussi, Caroline Hillairet, Nabil Kazi Tani

Partners: