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Publications

by members of

Institut de Science Financière et d'Assurances (École ISFA)
Université Claude Bernard (Lyon 1)
Lyon, France

(French School of Actuarial and Management Studies, Claude Bernanrd University of Lyon))

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2016

  1. Yahia Salhi & Pierre-Emmanuel Thérond & Julien Tomas, 2016. "A Credibility Approach of the Makeham Mortality Law," Post-Print hal-01232683, HAL.
  2. Pierre-Emmanuel Thérond, 2016. "About Market Consistent Valuation in Insurance," Post-Print hal-01296792, HAL.
  3. Pierre-Emmanuel Thérond, 2016. "En quoi la norme comptable influence-t-elle le choix des indicateurs de risque et de performance ?," Post-Print hal-01296802, HAL.
  4. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "On a capital allocation by minimization of some risk indicators," Post-Print hal-01282679, HAL.
  5. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.

2015

  1. Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015. "Some characteristics of an equity security next-year impairment," Post-Print hal-00820929, HAL.
  2. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2015. "Main Determinants of Profit Sharing Policy in the French Life Insurance Industry," PSE Working Papers halshs-01165475, HAL.
  3. Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2015. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Working Papers hal-01242023, HAL.
  4. Alexandre Boumezoued & Nicole El Karoui & Stéphane Loisel, 2015. "Measuring mortality heterogeneity with multi-state models and interval-censored data," Working Papers hal-01215350, HAL.
  5. Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2015. "Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate," Working Papers hal-01149749, HAL.
  6. Edouard Debonneuil & Frédéric Planchet & Stéphane Loisel, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
  7. Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2015. "Arbres de régression et de classification (CART)," Post-Print hal-01152263, HAL.
  8. Pierre-Emmanuel Thérond, 2015. "Assurance et actuariat : éléments de perspective," Post-Print hal-01176057, HAL.
  9. Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2015. "Tree-based censored regression with applications to insurance," Working Papers hal-01141228, HAL.
  10. Pierre-Emmanuel Thérond, 2015. "Role of models in insurance regulation and financial reporting," Post-Print hal-01233342, HAL.
  11. Pierre-Emmanuel Thérond, 2015. "Les taux bas : changement de paradigme ?," Post-Print hal-01221967, HAL.
  12. V\'eronique Maume-Deschamps & Didier Rulli\`ere & Khalil Said, 2015. "A risk management approach to capital allocation," Papers 1506.04125, arXiv.org.
  13. V\'eronique Maume-Deschamps & Didier Rulli\`ere & Khalil Said, 2015. "Impact of dependence on some multivariate risk indicators," Papers 1507.01175, arXiv.org.
  14. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
  15. Elena Di Bernardino & Didier Rullière, 2015. "On an asymmetric extension of multivariate Archimedean copulas," Working Papers hal-01147778, HAL.
  16. Areski Cousin & Hassan Maatouk & Didier Rullière, 2015. "Kriging of financial term-structures," Working Papers hal-01206388, HAL.
  17. Anisa Caja & Quentin Guibert & Frédéric Planchet, 2015. "Influence of Economic Factors on the Credit Rating Transitions and Defaults of Credit Insurance Business," Working Papers hal-01178812, HAL.

2014

  1. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2014. "A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model," Working Papers hal-00853680, HAL.
  2. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
  3. Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014. "Ruin problems with worsening risks or with infinite mean claims," Post-Print hal-00735843, HAL.
  4. Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.
  5. Maria Govorun & Guy Latouche & Stéphane Loisel, 2014. "Phase-type aging modeling for health dependent costs," Working Papers hal-01084274, HAL.
  6. Alexandre Mornet & Patrick Leveillard & Stéphane Loisel, 2014. "Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobile," Working Papers hal-01081759, HAL.
  7. Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014. "Discrete Schur-constant models," Working Papers hal-01081756, HAL.
  8. Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2014. "Construction of an Index that links Wind Speeds and Strong Claim Rate of Insurers after a Storm in France," Working Papers hal-01081758, HAL.
  9. Yahia Salhi & Pierre-Emmanuel Thérond, 2014. "Alarm System for Credit Losses Impairment," Working Papers hal-00927391, HAL.
  10. Christian Robert & Pierre-Emmanuel Thérond, 2014. "Distortion risk measures, ambiguity aversion and optimal effort," Post-Print hal-00813199, HAL.
  11. Pierre-Emmanuel Thérond, 2014. "Alarm System for Credit Losses Impairment under IFRS 9," Post-Print hal-01152097, HAL.
  12. Frédéric Planchet & Pierre-Emmanuel Thérond, 2014. "Survival Analysis," Post-Print hal-01152086, HAL.
  13. Pierre-Emmanuel Thérond, 2014. "Dépréciations d'actifs financiers en IAS 39 : quelques caractéristiques," Post-Print hal-00947589, HAL.
  14. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2014. "On capital allocation by minimizing multivariate risk indicators," Working Papers hal-01082559, HAL.
  15. Quentin Guibert & Marc Juillard & Frédéric Planchet & Oberlain Nteukam Teuguia, 2014. "Solvabilité prospective en assurance: Méthodes quantitatives pour l'ORSA," Post-Print hal-01169543, HAL.

2013

  1. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.
  2. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
  3. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on HeatWave Risk," Post-Print hal-00937071, HAL.
  4. Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013. "Convex extrema for nonincreasing discrete distributions: effects of convexity constraints," Working Papers hal-00912942, HAL.
  5. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
  6. Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-00746245, HAL.
  7. Jean-Charles Croix & Frédéric Planchet & Pierre-Emmanuel Thérond, 2013. "Mortality : a statistical approach to detect model misspecification," Post-Print hal-00839339, HAL.
  8. Christian Robert & Pierre-Emmanuel Thérond, 2013. "Ambiguïté et aversion à l'incertitude," Post-Print hal-01231852, HAL.
  9. Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013. "The density of the ruin time for a renewal-reward process perturbed by a diffusion," Post-Print hal-00625099, HAL.
  10. Didier Rullière & Alaeddine Faleh & Frédéric Planchet & Wassim Youssef, 2013. "Exploring or reducing noise? A global optimization algorithm in the presence of noise," Post-Print hal-00759677, HAL.
  11. Elena Di Bernardino & Didier Rullière, 2013. "Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory," Post-Print hal-00750873, HAL.
  12. Elena Di Bernardino & Didier Rullière, 2013. "On certain transformation of Archimedean copulas: Application to the non-parametric estimation of their generators," Post-Print hal-00834000, HAL.

2012

  1. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.
  2. Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
  3. Stéphane Loisel, 2012. "La capacité de réaction et les actions de gestion des dirigeants: nécessité et difficulté de les prendre en compte dans l'ORSA," Post-Print hal-00671825, HAL.
  4. Yahia Salhi & Stéphane Loisel, 2012. "Basis risk modelling: a co-integration based approach," Working Papers hal-00746859, HAL.
  5. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2012. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Working Papers hal-00768526, HAL.
  6. Stéphane Loisel, 2012. "ORSA et mesures de risque multi-périodiques," Post-Print hal-00723931, HAL.
  7. Stéphane Loisel, 2012. "Quelques problématiques de mathématiques appliquées à l'actuariat," Post-Print hal-00723924, HAL.
  8. Stéphane Loisel, 2012. "On some practical correlation issues in Enterprise Risk Management," Post-Print hal-00746262, HAL.
  9. Stéphane Loisel, 2012. "ORSA in Europe and in North America," Post-Print hal-00723922, HAL.
  10. Stéphane Loisel, 2012. "Problématiques de théorie de la ruine en univers multivarié," Post-Print hal-00746265, HAL.
  11. Stéphane Loisel, 2012. "Risques corrélés en théorie du risque," Post-Print hal-00723927, HAL.
  12. Stéphane Loisel, 2012. "On ruin models with correlated risks," Post-Print hal-00671921, HAL.
  13. Stéphane Loisel, 2012. "On ruin models with dependence," Post-Print hal-00723918, HAL.
  14. Stéphane Loisel, 2012. "On ruin for worsening claims," Post-Print hal-00746261, HAL.
  15. Stéphane Loisel, 2012. "Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean," Post-Print hal-00746257, HAL.
  16. Stéphane Loisel, 2012. "On the domain of validity of the DeVylder-Goovaerts conjecture," Post-Print hal-00723930, HAL.
  17. Stéphane Loisel, 2012. "Ruin probabilities with correlated claims," Post-Print hal-00723921, HAL.
  18. Stéphane Loisel, 2012. "Ruin theory with dependent risks," Post-Print hal-00671922, HAL.
  19. Stéphane Loisel, 2012. "Théorie de la ruine et risques corrélés," Post-Print hal-00723928, HAL.
  20. Stéphane Loisel, 2012. "Dependence models in risk theory," Post-Print hal-00723919, HAL.
  21. Stéphane Loisel, 2012. "Acceleration techniques of nested simulations in insurance," Post-Print hal-00746258, HAL.
  22. Stéphane Loisel, 2012. "A game-theoretic approach to non-life insurance markets," Post-Print hal-00746267, HAL.
  23. Pierre-Emmanuel Thérond, 2012. "Les risques, les assurances et la normalisation," Post-Print hal-00931710, HAL.
  24. Elena Di Bernardino & Didier Rullière, 2012. "Distortions of multivariate risk measures: a level-sets based approach," Working Papers hal-00756387, HAL.
  25. Alexis Bienvenüe & Didier Rullière, 2012. "Iterative Adjustment of Survival Functions by Composed Probability Distortions," Post-Print hal-00665890, HAL.
  26. Frédéric Planchet & Quentin Guibert & Marc Juillard, 2012. "Measuring Uncertainty of Solvency Coverage Ratio in ORSA for Non-Life Insurance," Post-Print hal-01169220, HAL.

2011

  1. Romain Biard & Claude Lefèvre & Stéphane Loisel & Haikady Nagaraja, 2011. "Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings," Post-Print hal-00409418, HAL.
  2. Mathieu Bargès & Hélène Cossette & Stéphane Loisel & Etienne Marceau, 2011. "On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," Post-Print hal-00426502, HAL.
  3. Xavier Milhaud & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?," Post-Print hal-00450003, HAL.
  4. Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011. "Estimation of the parameters of a Markov-modulated loss process in insurance," Working Papers hal-00589696, HAL.
  5. Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.
  6. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
  7. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
  8. Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
  9. Stéphane Loisel, 2011. "Méthodes d'accélération de la méthode des simulations dans les simulations," Post-Print hal-00671920, HAL.
  10. Stéphane Loisel, 2011. "On some risk models with dependence," Post-Print hal-00586457, HAL.
  11. Stéphane Loisel, 2011. "On ruin models with dependent risks," Post-Print hal-00671926, HAL.
  12. Stéphane Loisel, 2011. "7 lectures on Enterprise Risk Management," Post-Print hal-00671924, HAL.
  13. Stéphane Loisel, 2011. "Variable annuities and surrender risk," Post-Print hal-00586456, HAL.
  14. Stéphane Loisel, 2011. "Explicit ruin probabilities with dependent risks," Post-Print hal-00671923, HAL.
  15. Stéphane Loisel, 2011. "Understanding and managing longevity risk," Post-Print hal-00589695, HAL.
  16. Stéphane Loisel, 2011. "Explicit ruin formulas for dependent risks," Post-Print hal-00600093, HAL.
  17. Stéphane Loisel, 2011. "Théorie de la ruine en présence de risques corrélés," Post-Print hal-00671918, HAL.
  18. Stéphane Loisel, 2011. "Surrender risk and correlation crises," Post-Print hal-00671919, HAL.
  19. Stéphane Loisel, 2011. "Cours Bachelier sur le risque de longévité," Post-Print hal-00566486, HAL.
  20. Stéphane Loisel, 2011. "Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis," Post-Print hal-00671925, HAL.
  21. Oberlain Nteukam Teuguia & Frédéric Planchet & Pierre-Emmanuel Thérond, 2011. "Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee," Post-Print hal-00543029, HAL.
  22. Frédéric Planchet & Pierre-Emmanuel Thérond, 2011. "Model Risk And Determination Of Solvency Capital In The Solvency 2 Framework," Post-Print hal-00625709, HAL.
  23. Frédéric Planchet & Pierre-Emmanuel Thérond, 2011. "Modélisation statistique des phénomènes de durée," Post-Print hal-01231856, HAL.
  24. Areski Cousin & Diana Dorobantu & Didier Rullière, 2011. "A note on the computation of an actuarial Waring formula in the finite-exchangeable case," Working Papers hal-00557751, HAL.
  25. Pierre Ribereau & Didier Rullière, 2011. "Agrégation d'informations et alternative au krigeage en environnement aléatoire," Working Papers hal-00575604, HAL.
  26. Areski Cousin & Diana Dorobantu & Didier Rullière, 2011. "Valuation of Portfolio Loss Derivatives in An Infectious Model," Post-Print hal-00665027, HAL.
  27. Alexis Bienvenüe & Didier Rullière, 2011. "On hyperbolic iterated distortions for the adjustment of survival functions," Post-Print hal-00665349, HAL.
  28. Aymric Kamega & Frédéric Planchet, 2011. "Analyse et comparaison des populations générale et assurée en Afrique subsaharienne francophone pour anticiper la mortalité future," Post-Print hal-00553898, HAL.
  29. Aymric Kamega & Frédéric Planchet, 2011. "Hétérogénéité : mesure du risque d'estimation dans le cas d'une modélisation intégrant des facteurs observables," Post-Print hal-00593874, HAL.
  30. François Bonnin & Frédéric Planchet & Marc Juillard, 2011. "Applications de techniques stochastiques pour l'analyse prospective de l'impact comptable du risque de taux," Post-Print hal-00593873, HAL.

2010

  1. Christian de Peretti & Carole Siani & Mario Cerrato, 2010. "A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates," Working Papers 2010_05, Business School - Economics, University of Glasgow.
  2. Claude Lefèvre & Stéphane Loisel, 2010. "Stationary-excess operator and convex stochastic orders," Post-Print hal-00442047, HAL.
  3. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.
  4. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
  5. Stéphane Loisel & Pierre Arnal & Romain Durand, 2010. "Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA," Working Papers hal-00502848, HAL.
  6. Stéphane Loisel, 2010. "Joint modeling of portfolio experienced and national mortality: A co-integration based approach," Post-Print hal-00502852, HAL.
  7. Stéphane Loisel, 2010. "Solvabilité des compagnies d'assurance," Post-Print hal-00540618, HAL.
  8. Stéphane Loisel, 2010. "Dépendance stochastique en théorie du risque," Post-Print hal-00469612, HAL.
  9. Stéphane Loisel, 2010. "Théorie de la ruine multivariée," Post-Print hal-00540619, HAL.
  10. Pierre-Emmanuel Thérond & Pierre Valade, 2010. "Appétence au risque : intégration au pilotage d'une société d'assurance," Post-Print hal-00593904, HAL.
  11. Frédéric Planchet & Pierre-Emmanuel Thérond & Marc Juillard, 2010. "Modèles financiers en assurance - Analyses de risque dynamiques," Post-Print hal-00530880, HAL.
  12. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité," Post-Print hal-00530868, HAL.
  13. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?," Post-Print hal-00433037, HAL.
  14. Frédéric Planchet & Quentin Guibert & Marc Juillard, 2010. "Un cadre de référence pour un modèle interne partiel en assurance de personnes," Post-Print hal-00530864, HAL.
  15. Aymric Kamega & Frédéric Planchet, 2010. "Mesure du risque d'estimation associé à une table d'expérience," Post-Print hal-00553863, HAL.
  16. Fr\'ed\'eric Planchet & Vincent Lelieur, 2010. "Utilisation des m\'ethodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalit\'e dans le cas de petits \'echantillons," Papers 1001.1916, arXiv.org.

2009

  1. Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print hal-00403662, HAL.
  2. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
  3. Stéphane Loisel, 2009. "A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins," Working Papers hal-00375715, HAL.
  4. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
  5. Laurent Devineau & Stéphane Loisel, 2009. "Construction d'un algorithme d'accélération de la méthode des «simulations dans les simulations» pour le calcul du capital économique Solvabilité II," Post-Print hal-00365363, HAL.
  6. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
  7. Stéphane Loisel, 2009. "Risk aggregation in Solvency II : bridging the gap between standard formula and internal risk models," Post-Print hal-00416216, HAL.
  8. Stéphane Loisel, 2009. "On some path-dependent correlation models in risk theory," Post-Print hal-00397242, HAL.
  9. Stéphane Loisel, 2009. "Ruin probabilities with Bühlmann credibility adjusted premiums," Post-Print hal-00431263, HAL.
  10. Stéphane Loisel, 2009. "Les risques et leur agrégation dans Solvabilité II et en ERM," Post-Print hal-00397256, HAL.
  11. Stéphane Loisel, 2009. "Understanding, modeling and managing longevity risk: some new challenges," Post-Print hal-00426505, HAL.
  12. Stéphane Loisel, 2009. "Fonctions de pénalité en théorie du risque," Post-Print hal-00397252, HAL.
  13. Stéphane Loisel, 2009. "Solvency II: description, timeline, and update on current discussions," Post-Print hal-00416215, HAL.
  14. Stéphane Loisel, 2009. "Correlation crises, ruin probabilities and related issues in ERM and Solvency II," Post-Print hal-00397125, HAL.
  15. Stéphane Loisel, 2009. "Correlation crises in risk theory, Solvency II and ERM," Post-Print hal-00403675, HAL.
  16. Stéphane Loisel, 2009. "Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings," Post-Print hal-00397241, HAL.
  17. Stéphane Loisel, 2009. "Correlation crises, model risk and ERM," Post-Print hal-00441300, HAL.
  18. Frédéric Planchet & Pierre-Emmanuel Thérond, 2009. "Rentes en cours de service : un nouveau critère d'allocation d'actif," Post-Print hal-00443009, HAL.
  19. Frédéric Planchet & Pierre-Emmanuel Thérond & Aymric Kamega, 2009. "Scénarios économiques en assurance - Modélisation et simulation," Post-Print hal-00530874, HAL.
  20. Didier Rulli\`ere & Diana Dorobantu & Areski Cousin, 2009. "An extension of Davis and Lo's contagion model," Papers 0904.1653, arXiv.org, revised Feb 2010.
  21. Alaeddine Faleh & Fr\'ed\'eric Planchet & Didier Rulli\`ere, 2009. "Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?," Papers 0911.3472, arXiv.org.
  22. Alexis Bienvenüe & Didier Rullière, 2009. "Sur une classe de transformations itérées pour l'ajustement et la simulation stochastique," Working Papers hal-00395495, HAL.
  23. Didier Rullière & Alaeddine Faleh & Frédéric Planchet, 2009. "Un algorithme d'optimisation par exploration sélective," Working Papers hal-00411406, HAL.
  24. Jean-Paul Félix & Frédéric Planchet, 2009. "Mesure des risques de marché et de souscription vie en situation d'information incomplète pour un portefeuille de prévoyance," Post-Print hal-00443002, HAL.

2008

  1. Mario Cerrato & Christian de Peretti & Nick Sarantis, 2008. "A Nonlinear Panel Unit Root Test under Cross Section Dependence," Working Papers 2008_08, Business School - Economics, University of Glasgow.
  2. Mario Cerrato & Christian de Peretti & Chris Stewart, 2008. "Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries," Working Papers 2008_27, Business School - Economics, University of Glasgow.
  3. Cerrato, Mario & de Peretti, Christian & Stewart, Chris, 2008. "Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries," SIRE Discussion Papers 2008-46, Scottish Institute for Research in Economics (SIRE).
  4. Christian De Peretti & Carole Siani, 2008. "Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal," Documents de recherche 08-01, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  5. Christian De Peretti & Carole Siani, 2008. "Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices," Documents de recherche 08-02, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  6. Stéphane Loisel & Christian Mazza & Didier Rullière, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Post-Print hal-00168714, HAL.
  7. Wayne Fisher & Stéphane Loisel & Shaun Wang, 2008. "On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level," Post-Print hal-00268841, HAL.
  8. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
  9. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.
  10. Stéphane Loisel, 2008. "On a class of non-Gerber-Shiu, non-discounted penalty functions," Post-Print hal-00397239, HAL.
  11. Stéphane Loisel, 2008. "Inter-age correlation in stochastic mortality models," Post-Print hal-00397267, HAL.
  12. Stéphane Loisel, 2008. "In the Core of Longevity Risk: Dependence in Stochastic Mortality Models and Cut-offs in Prices of Longevity Swaps," Post-Print hal-00397265, HAL.
  13. Stéphane Loisel, 2008. "From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM," Post-Print hal-00379422, HAL.
  14. Stéphane Loisel, 2008. "From Solvency II to ERM: tools, practical issues and research perspectives," Post-Print hal-00397259, HAL.
  15. Stéphane Loisel, 2008. "Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle," Post-Print hal-00397268, HAL.
  16. Stéphane Loisel, 2008. "Théorie de la ruine: introduction et exemples," Post-Print hal-00397250, HAL.
  17. Stéphane Loisel, 2008. "Bootstrapped Finite-Time Ruin Probabilities with Partly Shifted Risk Processes," Post-Print hal-00397261, HAL.
  18. Stéphane Loisel, 2008. "Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts," Post-Print hal-00397264, HAL.
  19. Frédéric Planchet & Marc Juillard & Pierre-Emmanuel Thérond, 2008. "Perturbations extrêmes sur la dérive de mortalité anticipée," Post-Print hal-00397324, HAL.
  20. Pierre-Emmanuel Thérond, 2008. "Mesure et gestion des risques d'assurance," Post-Print hal-00933281, HAL.
  21. Pierre-Emmanuel Thérond, 2008. "Évaluation de contrats d'assurance vie en euros : une problématique actuelle," Post-Print hal-00933282, HAL.

2007

  1. Stéphane Loisel, 2007. "Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks," Post-Print hal-00165776, HAL.
  2. Stéphane Loisel & Daniel Serant, 2007. "In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps," Working Papers hal-00201393, HAL.
  3. Stéphane Loisel, 2007. "Repositioning Enterprise Risk Management," Post-Print hal-00397266, HAL.
  4. Stéphane Loisel, 2007. "Ruin Theory with K Lines of Business," Post-Print hal-00397270, HAL.
  5. Stéphane Loisel, 2007. "Dépendance stochastique et mesures de risque," Post-Print hal-00397273, HAL.
  6. Stéphane Loisel, 2007. "Analyse de la robustesse de la probabilité de ruine en temps fini, et marge de solvabilité pour risque d'estimation," Post-Print hal-00397275, HAL.
  7. Frédéric Planchet & Pierre-Emmanuel Thérond, 2007. "Allocation d'actifs selon le critère de maximisation des fonds propres économiques en assurance non-vie : présentation et mise en oeuvre dans la réglementation française et dans un référentiel de type," Post-Print hal-00443028, HAL.
  8. Pierre-Emmanuel Thérond & Frédéric Planchet, 2007. "Provisions techniques et capital de solvabilité d'une compagnie d'assurance : méthodologie d'utilisation de Value-at-Risk," Post-Print hal-00443007, HAL.
  9. Frédéric Planchet & Pierre-Emmanuel Thérond, 2007. "Pilotage d'un régime de rentes viagères," Post-Print hal-00593872, HAL.
  10. Frédéric Planchet & Marc Juillard, 2007. "Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes," Post-Print hal-00443030, HAL.
  11. Frédéric Planchet & Vincent Lelieur, 2007. "Utilisation des méthodes de Lee-Carter et Log-Poisson pour l'ajustement de tables de mortalité dans le cas de petits échantillons," Post-Print hal-00443011, HAL.
  12. Frédéric Planchet & Pascal Winter, 2007. "L'utilisation des splines bidimensionnels pour l'estimation de lois de maintien en arrêt de travail," Post-Print hal-00443004, HAL.

2006

  1. Carole Siani & Christian de Peretti, 2006. "Bootstrapping Neural tests for conditional heteroskedasticity," Computing in Economics and Finance 2006 301, Society for Computational Economics.
  2. Christian de Peretti & Carole Siani, 2006. "Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory," Computing in Economics and Finance 2006 304, Society for Computational Economics.
  3. Stéphane Loisel, 2006. "Problems and numerical methods in insurance and finance," Post-Print hal-00397281, HAL.
  4. Stéphane Loisel, 2006. "Sensitivity analysis and optimal reserve allocation in risk theory," Post-Print hal-00397276, HAL.
  5. Stéphane Loisel, 2006. "Titrisation du risque de longévité," Post-Print hal-00397282, HAL.
  6. Frédéric Planchet & Pierre-Emmanuel Thérond, 2006. "Modèles de durée - Applications actuarielles," Post-Print hal-00530877, HAL.
  7. Frédéric Planchet & Laurent Faucillon & Marc Juillard, 2006. "Etude du risque systématique de mortalité," Post-Print hal-00443029, HAL.
  8. Frédéric Planchet & Joël Winter, 2006. "Provisions techniques des contrats de prévoyance collective," Post-Print hal-00594134, HAL.

2005

  1. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.
  2. Stéphane Loisel, 2005. "Differentiation of some functionals of risk processes," Post-Print hal-00157739, HAL.
  3. Stéphane Loisel, 2005. "Problèmes liés à la prise en compte de l'effet de diversification dans le cadre de Solvabilité II," Post-Print hal-00397286, HAL.
  4. Stéphane Loisel, 2005. "On the sensitivity analysis of some risk measures," Post-Print hal-00397285, HAL.
  5. Stéphane Loisel, 2005. "On Solvency issues for French and Vietnamese insurers," Post-Print hal-00397293, HAL.
  6. Stéphane Loisel, 2005. "Win-first probabilities and dividends with hazard rates," Post-Print hal-00397297, HAL.
  7. Stéphane Loisel, 2005. "Ruine, dividendes et allocation de réserve optimale," Post-Print hal-00397291, HAL.
  8. Stéphane Loisel, 2005. "Sensitivity analysis of the finite-time ruin probability and of some other risk measures," Post-Print hal-00397284, HAL.
  9. Stéphane Loisel, 2005. "Differentiation of functionals of risk processes and optimal reserve allocation," Post-Print hal-00397290, HAL.
  10. Stéphane Loisel, 2005. "Differentiation of some functionals of risk processes and optimal reserve allocation," Post-Print hal-00397289, HAL.
  11. Stéphane Loisel, 2005. "Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation," Post-Print hal-00397287, HAL.
  12. Stéphane Loisel, 2005. "Différentiation de fonctionnelles de processus de risque et allocation de réserve optimale," Post-Print hal-00397295, HAL.
  13. Frédéric Planchet & Pierre-Emmanuel Thérond, 2005. "Simulation de trajectoires de processus continus," Post-Print hal-00443003, HAL.
  14. Pierre-Emmanuel Thérond, 2005. "Solvency II, IFRS : l'impact des modèles d'actifs retenus," Post-Print hal-00933285, HAL.
  15. Pierre-Emmanuel Thérond, 2005. "Impact of the asset jumps in insurance: IFRS / Solvency II," Post-Print hal-00932971, HAL.
  16. Pierre-Emmanuel Thérond, 2005. "Asset allocation: new constraints induced by the Solvency II project," Post-Print hal-00932969, HAL.
  17. Frédéric Planchet & Pierre-Emmanuel Thérond & Julien Jacquemin, 2005. "Modèles financiers en assurance," Post-Print hal-01233341, HAL.

2004

  1. Giovanni Urga & Christian de Peretti, 2004. "Stopping Tests in the Sequential Estimation for Multiple Structural Breaks," Econometric Society 2004 Latin American Meetings 320, Econometric Society.
  2. Didier Rullière & Stéphane Loisel, 2004. "Another look at the Picard-Lefèvre formula for finite-time ruin probabilities," Post-Print hal-00379412, HAL.
  3. Pierre-Emmanuel Thérond, 2004. "Financial Risk Management of a Defined Benefit Plan," Post-Print hal-00932967, HAL.
  4. Pierre-Emmanuel Thérond, 2004. "Asset allocation of a pension scheme during the decumulation phase," Post-Print hal-00932968, HAL.
  5. Pierre-Emmanuel Thérond & Frédéric Planchet, 2004. "Approche scientifique des logiciels DFA," Post-Print hal-00933303, HAL.
  6. Pierre-Emmanuel Thérond, 2004. "Allocation d'actifs d'un régime de rentiers en cours de service," Post-Print hal-00933288, HAL.
  7. Frédéric Planchet & Pierre-Emmanuel Thérond, 2004. "Les principes de valorisation des engagements sociaux," Post-Print hal-01231853, HAL.
  8. Frédéric Planchet & Pierre-Emmanuel Thérond, 2004. "IAS 19 & 26 et les engagements à l’égard du personnel," Post-Print hal-01231855, HAL.
  9. Christian Mazza & Didier Rullière, 2004. "A link between wave governed random motions and ruin processes," Post-Print hal-00412977, HAL.

2003

  1. Frédéric Planchet & Pierre-Emmanuel Thérond, 2003. "Évaluation de l'engagement de l'entreprise associé à un plan de stock-options," Post-Print hal-00443032, HAL.
  2. Pierre-Emmanuel Thérond, 2003. "Impact des futures normes IFRS sur la tarification et le provisionnement des contrats d'assurance vie : mise en oeuvre de méthodes par simulation," Working Papers hal-00656965, HAL.

2002

  1. Christian de Peretti, 2002. "unilateral and bilateral bootstrap tests for long memory," Computing in Economics and Finance 2002 334, Society for Computational Economics.

2000

  1. Frédéric Planchet & Fabrice Magnin, 2000. "L'engagement d'un régime de retraite supplémentaire à prestations définies," Post-Print hal-00443031, HAL.

1998

  1. Didier Rullière & Daniel Serant, 1998. "Estimation de probabilités de changement d'état en présence de données incomplètes et applications actuarielles," Post-Print hal-00412983, HAL.

1997

  1. Didier Rullière & Daniel Serant, 1997. "Généralisation de l'estimateur de Kaplan-Meier d'une loi de durée de maintien en présence d'observations tronquées à gauche. Extension à l'étude conjointe de deux durées de maintien," Post-Print hal-00412981, HAL.

Journal articles

2015

  1. Govorun, Maria & Latouche, Guy & Loisel, Stéphane, 2015. "Phase-type aging modeling for health dependent costs," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 173-183.
  2. Julien Azzaz & Stéphane Loisel & Pierre-E. Thérond, 2015. "Some characteristics of an equity security next-year impairment," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 111-135, July.
  3. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
  4. Tomas, Julien & Planchet, Frédéric, 2015. "Prospective mortality tables: Taking heterogeneity into account," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 169-190.

2014

  1. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
  2. Robert, Christian Y. & Therond, Pierre-E., 2014. "Distortion Risk Measures, Ambiguity Aversion And Optimal Effort," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 44(02), pages 277-302, May.
  3. Anisa Caja & Frédéric Planchet, 2014. "Modeling Cycle Dependence in Credit Insurance," Risks, MDPI, Open Access Journal, vol. 2(1), pages 74, March.

2013

  1. Mario Cerrato & Christian De Peretti & Chris Stewart, 2013. "Is The Consumption–Income Ratio Stationary? Evidence From Linear And Non-Linear Panel Unit Root Tests For Oecd And Non-Oecd Countries," Manchester School, University of Manchester, vol. 81(1), pages 102-120, 01.
  2. Mohamed Rochdi Keffala & Christian de Peretti, 2013. "Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 169-178, May.
  3. Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.
  4. Dutang, C. & Lefèvre, C. & Loisel, S., 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 774-785.
  5. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, Open Access Journal, vol. 1(3), pages 176, December.
  6. Di Bernardino, Elena & Rullière, Didier, 2013. "Distortions of multivariate distribution functions and associated level curves: Applications in multivariate risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 190-205.
  7. Areski Cousin & Diana Dorobantu & Didier Rullière, 2013. "An extension of Davis and Lo's contagion model," Quantitative Finance, Taylor & Francis Journals, vol. 13(3), pages 407-420, February.
  8. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter Open, vol. 1, pages 1-36, October.
  9. Tomas, Julien & Planchet, Frédéric, 2013. "Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: Application to long-term care insurance," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 573-589.

2012

  1. Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012. "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 162-174.
  2. Alexis Bienvenüe & Didier Rullière, 2012. "Iterative Adjustment of Survival Functions by Composed Probability Distortions," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 37(2), pages 156-179, September.
  3. Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.

2011

  1. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
  2. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
  3. Nteukam T., Oberlain & Planchet, Frédéric & Thérond, Pierre-E., 2011. "Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 161-175, March.

2010

  1. de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
  2. Lefèvre, Claude & Loisel, Stéphane, 2010. "Stationary-excess operator and convex stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.

2009

  1. Dany Lang & Christian de Peretti, 2009. "A strong hysteretic model of Okun's Law: theory and a preliminary investigation," International Review of Applied Economics, Taylor & Francis Journals, vol. 23(4), pages 445-462.
  2. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.

2008

  1. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.
  2. Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008. "Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December.

2007

  1. Siani, Carole & de Peretti, Christian, 2007. "Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2442-2460, February.

2005

  1. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

2004

  1. de Peretti Christian & Siani Carole, 2004. "Neural Tests for Conditional Heteroskedasticity in ARCH-M Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-24, September.
  2. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
  3. Mazza, Christian & Rulliere, Didier, 2004. "A link between wave governed random motions and ruin processes," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.

2003

  1. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Society for Computational Economics, vol. 22(2), pages 187-212, October.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.