IDEAS home Printed from https://ideas.repec.org/e/plo60.html
   My authors  Follow this author

Stéphane Loisel
(Stephane Loisel)

Personal Details

First Name:Stephane
Middle Name:
Last Name:Loisel
Suffix:
RePEc Short-ID:plo60
[This author has chosen not to make the email address public]
http://sl.isfa.fr
Terminal Degree:2004 (from RePEc Genealogy)

Affiliation

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

Lyon, France
http://isfa.univ-lyon1.fr/
RePEc:edi:isly1fr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2020. "Optimal prevention of large risks with two types of claims," Post-Print hal-02314914, HAL.
  2. Stéphane Loisel, 2020. "Stable value : a contract at the interplay between insurance and finance," Post-Print hal-03045681, HAL.
  3. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2020. "Optimal prevention strategies in the classical risk model," Post-Print hal-02314899, HAL.
  4. Stéphane Loisel, 2020. "On ruin theory with prevention," Post-Print hal-02617843, HAL.
  5. Stéphane Loisel, 2020. "On customer behaviour in insurance," Post-Print hal-02617847, HAL.
  6. Stéphane Loisel, 2020. "On recent advances in sustainable actuarial science," Post-Print hal-03045685, HAL.
  7. Stéphane Loisel, 2020. "Quickest detection of changes in longevity patterns," Post-Print hal-03070877, HAL.
  8. Stéphane Loisel, 2020. "On customer behaviour in insurance and behavioural experiments," Post-Print hal-03045690, HAL.
  9. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
  10. Stéphane Loisel, 2020. "Quickest detection of changes in actuarial assumptions and design of KRI’s in ERM," Post-Print hal-03045618, HAL.
  11. Denis Clot & David Ingram & Stéphane Loisel & Anani Ayodélé Olympio, 2020. "Attitudes towards analytics in the insurance and banking sectors," Post-Print hal-02984532, HAL.
  12. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière, 2020. "Health-policyholder clustering using health consumption," Post-Print hal-02156058, HAL.
  13. Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020. "Bounding Basis-Risk Using s-convex Orders on Beta-unimodal Distributions," Post-Print hal-02611227, HAL.
  14. Stéphane Loisel & Anani Olympio & Jérémy Zozime, 2020. "Modelisation Des Chocs Biomeriques En Assurance De Personnes," Working Papers hal-02563112, HAL.
  15. Stéphane Loisel, 2020. "Quickest detection in presence of seasonality: an illustration with call center data," Post-Print hal-02633903, HAL.
  16. Stéphane Loisel, 2020. "Longevity risk and quickest detection problem: from theory to practice," Post-Print hal-03045664, HAL.
  17. Stéphane Loisel & Frank Schiller & Jennifer Wang, 2020. "Attitudes of supervisors with respect to AI and potential new insurance products," Post-Print hal-02984533, HAL.
  18. Patrick J. Laub & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2020. "Quickest detection in practice in presence of seasonality: an illustration with call center data," Post-Print hal-02984527, HAL.
  19. Stéphane Loisel, 2019. "Risque de longévité et surveillance de portefeuille," Post-Print hal-02055476, HAL.
  20. Stéphane Loisel, 2019. "On quickest detection issues for longevity risk," Post-Print hal-02472036, HAL.
  21. Stéphane Loisel, 2019. "On detection and longevity," Post-Print hal-02472025, HAL.
  22. Stéphane Loisel, 2019. "A longevity adventure with Nicole and LoLitA," Post-Print hal-02472042, HAL.
  23. Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Yahia Salhi, 2019. "Le prix du risque de longévité," Post-Print hal-02471990, HAL.
  24. Stéphane Loisel, 2019. "On insurtech innovations," Post-Print hal-02472046, HAL.
  25. Stéphane Loisel, 2019. "Reevaluation of the capital charge after a large shock," Post-Print hal-02472033, HAL.
  26. Stéphane Loisel, 2019. "On detection problems related to longevity risk management," Post-Print hal-02472037, HAL.
  27. Anna Castañer & M. Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2019. "Partially Schur-constant models," Post-Print hal-01998057, HAL.
  28. Stéphane Loisel, 2019. "Market inconsistencies of the MCEV," Post-Print hal-02472032, HAL.
  29. Stéphane Loisel, 2019. "Quickest detection of actuarial assumptions and longevity risk management," Post-Print hal-02472021, HAL.
  30. Hansjoerg Albrecher & Antoine Bommier & Damir Filipović & Pablo Koch-Medina & Stéphane Loisel & Hato Schmeiser, 2019. "Insurance: Models, Digitalization, and Data Science," Swiss Finance Institute Research Paper Series 19-26, Swiss Finance Institute.
  31. Stéphane Loisel, 2019. "How to design KRI’s from cusum in practice?," Post-Print hal-02472034, HAL.
  32. Stéphane Loisel & Julien Guyon, 2019. "Probabilités et coupe du monde féminine de la FIFA," Post-Print hal-02472040, HAL.
  33. Stéphane Loisel, 2019. "From cusum strategy to longevity risk indicators," Post-Print hal-02472039, HAL.
  34. Stéphane Loisel, 2019. "Obfuscation and honesty, and their effect on distribution channel choices," Post-Print hal-02472044, HAL.
  35. Stéphane Loisel, 2019. "Quickest detection of change in intensity and longevity risk management," Post-Print hal-02472014, HAL.
  36. Stéphane Loisel, 2018. "Recent longevity transfer solutions," Post-Print hal-02013434, HAL.
  37. Stéphane Loisel, 2018. "Solutions to biometric, mortality and longevity risk," Post-Print hal-02013426, HAL.
  38. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
  39. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2018. "Markov Property in Discrete Schur-constant Models," Post-Print hal-01995775, HAL.
  40. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Post-Print hal-01995767, HAL.
  41. Claire Mouminoux & Jean-Louis Rullière & Stéphane Loisel, 2018. "Obfuscation and Honesty Experimental Evidence on Insurance Demand with Multiple Distribution Channels," Working Papers hal-01819522, HAL.
  42. Stéphane Loisel, 2018. "Modélisation, surveillance et transfert du risque de longévité," Post-Print hal-02013474, HAL.
  43. Stéphane Loisel, 2018. "ERM and Analytics," Post-Print hal-02012522, HAL.
  44. Stéphane Loisel, 2018. "How to design longevity /mortality KRI’s from Cusum," Post-Print hal-02055496, HAL.
  45. Stéphane Loisel, 2018. "Monitoring actuarial assumptions in life insurance," Post-Print hal-02013507, HAL.
  46. Stéphane Loisel, 2018. "On discrete Schur-constant vectors, with applications," Post-Print hal-02055549, HAL.
  47. Stéphane Loisel, 2018. "Attitudes face au risque et face à l’analytics," Post-Print hal-02055555, HAL.
  48. Stéphane Loisel, 2018. "On the reevaluation of the Solvency Capital Requirement after a large shock," Post-Print hal-02013420, HAL.
  49. Stéphane Loisel, 2018. "Mouvements des régiments sur le front durant toute la période de guerre : cartographie et choix stratégiques du haut commandement," Post-Print hal-02055523, HAL.
  50. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
  51. Stéphane Loisel, 2017. "Discrete Schur-Constant Models in Insurance," Post-Print hal-02013530, HAL.
  52. Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2017. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Post-Print hal-01242023, HAL.
  53. Borel-Mathurin, Fabrice & Loisel, Stephane & Segers, Johan, 2017. "Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views," LIDAM Discussion Papers ISBA 2017006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  54. Nicole El Karoui & Stéphane Loisel, 2017. "Le risque de longévité est-il assurable ?," Post-Print hal-01995781, HAL.
  55. Stéphane Loisel, 2017. "Data analytics and innovations in insurance," Post-Print hal-02013546, HAL.
  56. Stéphane Loisel, 2017. "Strategies optimales de détection rapide de rupture pour une classe de processus ponctuels," Post-Print hal-02013510, HAL.
  57. Fabien Graeff & Nicolas Leboisne & Stéphane Loisel & Darasovann Thach, 2017. "La captive, un outil d'Enterprise Risk Management toujours efficient sous Solvabilité II?," Post-Print hal-01995772, HAL.
  58. Stéphane Loisel, 2017. "Quickest detection of change in actuarial assumptions," Post-Print hal-02013556, HAL.
  59. Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017. "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series 17-69, Swiss Finance Institute, revised Jan 2018.
  60. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2017. "On finite exchangeable sequences and their dependence," Post-Print hal-01995790, HAL.
  61. Stéphane Loisel, 2017. "Short course on ERM," Post-Print hal-02013542, HAL.
  62. Stéphane Loisel, 2017. "Monitoring actuarial assumptions in insurance," Post-Print hal-02013535, HAL.
  63. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
  64. Stéphane Loisel, 2016. "Vision conditionnelle du monde dans les stress tests et révision des hypothèses actuarielles," Post-Print hal-02013570, HAL.
  65. Stéphane Loisel, 2016. "ERM for insurance companies," Post-Print hal-02013588, HAL.
  66. Hansjoerg Albrecher & Paul Embrechts & Damir Filipović & Glenn W. Harrison & Pablo Koch-Medina & Stéphane Loisel & Paolo Vanini & Joël Wagner, 2016. "Old-Age Provision: Past, Present, Future," Swiss Finance Institute Research Paper Series 16-55, Swiss Finance Institute.
  67. Stéphane Loisel, 2016. "Online monitoring of actuarial assumptions," Post-Print hal-02013573, HAL.
  68. Stéphane Loisel, 2016. "Several problems in ruin theory," Post-Print hal-02013592, HAL.
  69. Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Post-Print hal-00670649, HAL.
  70. Stéphane Loisel, 2016. "Online monitoring of longevity and actuarial assumptions," Post-Print hal-02013561, HAL.
  71. Stéphane Loisel & Kati Nisipasu, 2016. "Ex-ante Model Validation and Back-Testing," Post-Print hal-01995807, HAL.
  72. Stéphane Loisel, 2016. "Quickest detection of some changes in longevity patterns," Post-Print hal-02013586, HAL.
  73. Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016. "Wind Storm Risk Management," Working Papers hal-01299692, HAL.
  74. Stéphane Loisel, 2016. "Quickest detection strategy for changes in longevity patterns and longevity risk management," Post-Print hal-02013579, HAL.
  75. David Ingram & Stéphane Loisel, 2016. "Models and Behaviour of Stakeholders," Post-Print hal-01995808, HAL.
  76. Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2015. "Index for predicting insurance claims from wind storms with an application in France," Post-Print hal-01081758, HAL.
  77. Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2015. "Discrete Schur-constant models," Post-Print hal-01081756, HAL.
  78. Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015. "Some characteristics of an equity security next-year impairment," Post-Print hal-00820929, HAL.
  79. 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.
  80. Stéphane Loisel, 2015. "ERM and Solvency II," Post-Print hal-02013624, HAL.
  81. Stéphane Loisel, 2015. "On some robustness and some uncertainty issues in ruin theory," Post-Print hal-02013620, HAL.
  82. Stéphane Loisel, 2015. "On some longevity modelling and monitoring issues," Post-Print hal-02013610, HAL.
  83. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
  84. F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015. "Main determinants of profit sharing policy in the French life insurance industry," Débats économiques et financiers 17, Banque de France.
  85. Stéphane Loisel, 2015. "On a quickest detection problem for longevity risk with two populations," Post-Print hal-02014054, HAL.
  86. Alexandre Mornet & Patrick Leveillard & Stéphane Loisel, 2015. "Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobile," Post-Print hal-01081759, HAL.
  87. Alexandre Boumezoued & Nicole El Karoui & Stéphane Loisel, 2015. "Measuring mortality heterogeneity with multi-state models and interval-censored data," Working Papers hal-01215350, HAL.
  88. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2015. "A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model," Post-Print hal-00853680, HAL.
  89. Maria Govorun & Guy Latouche & Stéphane Loisel, 2015. "Phase-type aging modeling for health dependent costs," Post-Print hal-01084274, HAL.
  90. Patrice Bertail & Stéphane Loisel, 2014. "Théorie de la ruine," Post-Print hal-01995811, HAL.
  91. Stéphane Loisel, 2014. "Fast Change Detection on Proportional Two-Population Hazard Rates," Post-Print hal-02013763, HAL.
  92. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
  93. Stéphane Loisel, 2014. "On Schur-constant models," Post-Print hal-02013757, HAL.
  94. Stéphane Loisel, 2014. "Solvabilité," Post-Print hal-01995814, HAL.
  95. Stéphane Loisel, 2014. "Understanding, modeling and managing longevity risk," Post-Print hal-02013809, HAL.
  96. Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.
  97. Stéphane Loisel, 2014. "Impairments of financial securities & News from LoLitA," Post-Print hal-02013735, HAL.
  98. Stéphane Loisel, 2014. "Ruin theory with correlated risks, or with worsening claims Bonus: Longevity meets ruin theory," Post-Print hal-02013793, HAL.
  99. Stéphane Loisel, 2014. "Key Risk Indicators and quickest detection problems," Post-Print hal-02013789, HAL.
  100. 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.
  101. Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014. "Ruin problems with worsening risks or with infinite mean claims," Post-Print hal-00735843, HAL.
  102. Stéphane Loisel, 2014. "Mesures de risque et theorie de la ruine," Post-Print hal-02013774, HAL.
  103. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
  104. Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-00746245, HAL.
  105. Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013. "Convex extrema for nonincreasing discrete distributions: effects of convexity constraints," Working Papers hal-00912942, HAL.
  106. 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.
  107. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.
  108. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on HeatWave Risk," Post-Print hal-00937071, HAL.
  109. Stéphane Loisel, 2012. "Dependence models in risk theory," Post-Print hal-00723919, HAL.
  110. 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.
  111. Stéphane Loisel, 2012. "Acceleration techniques of nested simulations in insurance," Post-Print hal-00746258, HAL.
  112. Stéphane Loisel, 2012. "Ruin theory with dependent risks," Post-Print hal-00671922, HAL.
  113. Stéphane Loisel, 2012. "On some practical correlation issues in Enterprise Risk Management," Post-Print hal-00746262, HAL.
  114. Stéphane Loisel, 2012. "ORSA et mesures de risque multi-périodiques," Post-Print hal-00723931, HAL.
  115. 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.
  116. Stéphane Loisel, 2012. "Théorie de la ruine et risques corrélés," Post-Print hal-00723928, HAL.
  117. Stéphane Loisel, 2012. "Risques corrélés en théorie du risque," Post-Print hal-00723927, HAL.
  118. Stéphane Loisel, 2012. "On ruin models with dependence," Post-Print hal-00723918, HAL.
  119. Stéphane Loisel, 2012. "A game-theoretic approach to non-life insurance markets," Post-Print hal-00746267, HAL.
  120. Stéphane Loisel, 2012. "ORSA in Europe and in North America," Post-Print hal-00723922, HAL.
  121. Stéphane Loisel, 2012. "On ruin models with correlated risks," Post-Print hal-00671921, HAL.
  122. Stéphane Loisel, 2012. "Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean," Post-Print hal-00746257, HAL.
  123. 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.
  124. Stéphane Loisel, 2012. "Problématiques de théorie de la ruine en univers multivarié," Post-Print hal-00746265, HAL.
  125. Stéphane Loisel, 2012. "On the domain of validity of the DeVylder-Goovaerts conjecture," Post-Print hal-00723930, HAL.
  126. Stéphane Loisel, 2012. "Ruin probabilities with correlated claims," Post-Print hal-00723921, HAL.
  127. Stéphane Loisel, 2012. "On ruin for worsening claims," Post-Print hal-00746261, HAL.
  128. Stéphane Loisel, 2012. "Quelques problématiques de mathématiques appliquées à l'actuariat," Post-Print hal-00723924, HAL.
  129. Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
  130. Stéphane Loisel, 2011. "Explicit ruin probabilities with dependent risks," Post-Print hal-00671923, HAL.
  131. Stéphane Loisel, 2011. "On ruin models with dependent risks," Post-Print hal-00671926, HAL.
  132. 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.
  133. Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.
  134. Stéphane Loisel, 2011. "On some risk models with dependence," Post-Print hal-00586457, HAL.
  135. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
  136. 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.
  137. Stéphane Loisel, 2011. "Understanding and managing longevity risk," Post-Print hal-00589695, HAL.
  138. 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.
  139. Stéphane Loisel, 2011. "Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis," Post-Print hal-00671925, HAL.
  140. Stéphane Loisel, 2011. "Surrender risk and correlation crises," Post-Print hal-00671919, HAL.
  141. Stéphane Loisel, 2011. "Cours Bachelier sur le risque de longévité," Post-Print hal-00566486, HAL.
  142. Stéphane Loisel, 2011. "Variable annuities and surrender risk," Post-Print hal-00586456, HAL.
  143. Stéphane Loisel, 2011. "Explicit ruin formulas for dependent risks," Post-Print hal-00600093, HAL.
  144. Stéphane Loisel, 2011. "7 lectures on Enterprise Risk Management," Post-Print hal-00671924, HAL.
  145. Stéphane Loisel, 2011. "Théorie de la ruine en présence de risques corrélés," Post-Print hal-00671918, HAL.
  146. Stéphane Loisel, 2011. "Méthodes d'accélération de la méthode des simulations dans les simulations," Post-Print hal-00671920, HAL.
  147. 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.
  148. Stéphane Loisel, 2010. "Solvabilité des compagnies d'assurance," Post-Print hal-00540618, HAL.
  149. Stéphane Loisel, 2010. "Dépendance stochastique en théorie du risque," Post-Print hal-00469612, HAL.
  150. 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.
  151. Stéphane Loisel, 2010. "Joint modeling of portfolio experienced and national mortality: A co-integration based approach," Post-Print hal-00502852, HAL.
  152. Claude Lefèvre & Stéphane Loisel, 2010. "Stationary-excess operator and convex stochastic orders," Post-Print hal-00442047, HAL.
  153. 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.
  154. Stéphane Loisel, 2010. "Théorie de la ruine multivariée," Post-Print hal-00540619, HAL.
  155. 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.
  156. Stéphane Loisel, 2009. "Correlation crises, ruin probabilities and related issues in ERM and Solvency II," Post-Print hal-00397125, HAL.
  157. 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.
  158. Stéphane Loisel, 2009. "Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings," Post-Print hal-00397241, HAL.
  159. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
  160. Stéphane Loisel, 2009. "On some path-dependent correlation models in risk theory," Post-Print hal-00397242, HAL.
  161. Stéphane Loisel, 2009. "Correlation crises, model risk and ERM," Post-Print hal-00441300, HAL.
  162. Stéphane Loisel, 2009. "Les risques et leur agrégation dans Solvabilité II et en ERM," Post-Print hal-00397256, HAL.
  163. Stéphane Loisel, 2009. "Solvency II: description, timeline, and update on current discussions," Post-Print hal-00416215, HAL.
  164. Stéphane Loisel, 2009. "Ruin probabilities with Bühlmann credibility adjusted premiums," Post-Print hal-00431263, HAL.
  165. Stéphane Loisel, 2009. "Correlation crises in risk theory, Solvency II and ERM," Post-Print hal-00403675, HAL.
  166. Stéphane Loisel, 2009. "A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins," Working Papers hal-00375715, HAL.
  167. 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.
  168. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
  169. Stéphane Loisel, 2009. "Risk aggregation in Solvency II : bridging the gap between standard formula and internal risk models," Post-Print hal-00416216, HAL.
  170. Stéphane Loisel, 2009. "Understanding, modeling and managing longevity risk: some new challenges," Post-Print hal-00426505, HAL.
  171. Stéphane Loisel, 2009. "Fonctions de pénalité en théorie du risque," Post-Print hal-00397252, HAL.
  172. 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.
  173. Stéphane Loisel, 2008. "From Solvency II to ERM: tools, practical issues and research perspectives," Post-Print hal-00397259, HAL.
  174. 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.
  175. Stéphane Loisel, 2008. "Théorie de la ruine: introduction et exemples," Post-Print hal-00397250, HAL.
  176. Stéphane Loisel, 2008. "Inter-age correlation in stochastic mortality models," Post-Print hal-00397267, HAL.
  177. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
  178. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.
  179. Stéphane Loisel, 2008. "In the core of longevity risk: hidden dependence in stochastic mortality models and cut‐offs in prices of longevity swaps," Post-Print hal-00397260, HAL.
  180. Stéphane Loisel, 2008. "From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM," Post-Print hal-00379422, HAL.
  181. Stéphane Loisel, 2008. "On a class of non-Gerber-Shiu, non-discounted penalty functions," Post-Print hal-00397239, HAL.
  182. 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.
  183. 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.
  184. Stéphane Loisel, 2008. "Bootstrapped Finite-Time Ruin Probabilities with Partly Shifted Risk Processes," Post-Print hal-00397261, HAL.
  185. Stéphane Loisel, 2008. "Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle," Post-Print hal-00397268, HAL.
  186. Stéphane Loisel, 2008. "Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts," Post-Print hal-00397264, HAL.
  187. Stéphane Loisel, 2007. "Dépendance stochastique et mesures de risque," Post-Print hal-00397273, HAL.
  188. Stéphane Loisel, 2007. "Repositioning Enterprise Risk Management," Post-Print hal-00397266, HAL.
  189. 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.
  190. 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.
  191. Stéphane Loisel, 2006. "Differentiation of some functionals of risk processes and optimal reserve allocation," Post-Print hal-00397278, HAL.
  192. Stéphane Loisel, 2006. "Titrisation du risque de longévité," Post-Print hal-00397282, HAL.
  193. Stéphane Loisel, 2006. "Problems and numerical methods in insurance and finance," Post-Print hal-00397281, HAL.
  194. Stéphane Loisel, 2006. "Sensitivity analysis and optimal reserve allocation in risk theory," Post-Print hal-00397276, HAL.
  195. Stéphane Loisel, 2005. "Win-first probabilities and dividends with hazard rates," Post-Print hal-00397297, HAL.
  196. Stéphane Loisel, 2005. "Sensitivity analysis of the finite-time ruin probability and of some other risk measures," Post-Print hal-00397284, HAL.
  197. Stéphane Loisel, 2005. "Différentiation de fonctionnelles de processus de risque et allocation de réserve optimale," Post-Print hal-00397295, HAL.
  198. Stéphane Loisel, 2005. "Differentiation of functionals of risk processes and optimal reserve allocation," Post-Print hal-00397288, HAL.
  199. Stéphane Loisel, 2005. "Differentiation of some functionals of risk processes," Post-Print hal-00157739, HAL.
  200. 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.
  201. Stéphane Loisel, 2005. "On the sensitivity analysis of some risk measures," Post-Print hal-00397285, HAL.
  202. Stéphane Loisel, 2005. "Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation," Post-Print hal-00397287, HAL.
  203. Stéphane Loisel, 2005. "On Solvency issues for French and Vietnamese insurers," Post-Print hal-00397293, HAL.
  204. Stéphane Loisel, 2005. "Ruine, dividendes et allocation de réserve optimale," Post-Print hal-00397291, HAL.
  205. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.
  206. Didier Rullière & Stéphane Loisel, 2004. "Another look at the Picard-Lefèvre formula for finite-time ruin probabilities," Post-Print hal-00379412, HAL.
  207. Stéphane Loisel, 2004. "Ruin theory with K lines of business," Post-Print hal-00379417, HAL.

Articles

  1. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
  2. Gauchon, Romain & Loisel, Stéphane & Rullière, Jean-Louis & Trufin, Julien, 2020. "Optimal prevention strategies in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 202-208.
  3. Castañer, Anna & Claramunt, M. Mercè & Lefèvre, Claude & Loisel, Stéphane, 2019. "Partially Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 172(C), pages 47-58.
  4. Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Yahia Salhi, 2019. "Le prix du risque de longévité," Revue d'économie financière, Association d'économie financière, vol. 0(1), pages 129-145.
  5. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Risks, MDPI, vol. 6(3), pages 1-17, September.
  6. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
  7. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. "Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(3), pages 420-455, July.
  8. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
  9. Boumezoued, Alexandre & Karoui, Nicole El & Loisel, Stéphane, 2017. "Measuring mortality heterogeneity with multi-state models and interval-censored data," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 67-82.
  10. Nicole El Karoui & Stéphane Loisel, 2017. "Le risque de longévité est-il assurable ?," Revue d'économie financière, Association d'économie financière, vol. 0(2), pages 107-122.
  11. Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016. "Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 61-72.
  12. Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(5), pages 1241-1259, March.
  13. 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.
  14. 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.
  15. 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.
  16. 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.
  17. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
  18. Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 231(3), pages 702-711.
  19. 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.
  20. 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.
  21. 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.
  22. Bargès, Mathieu & Cossette, Hélène & Loisel, Stéphane & Marceau, Étienne, 2011. "On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 215-238, May.
  23. 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.
  24. Romain Biard & Claude Lefèvre & Stéphane Loisel & Haikady N. Nagaraja, 2011. "Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(5), pages 503-518, September.
  25. Lefèvre, Claude & Loisel, Stéphane, 2010. "Stationary-excess operator and convex stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.
  26. 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.
  27. 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.
  28. 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.
  29. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
  30. 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.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works
  3. Number of Distinct Works, Weighted by Number of Authors
  4. Betweenness measure in co-authorship network

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 40 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (26) 2007-07-07 2007-08-08 2007-09-16 2008-01-12 2008-08-06 2009-08-22 2010-02-13 2010-07-24 2010-07-31 2011-05-14 2011-06-11 2011-07-02 2012-11-11 2014-05-04 2014-05-04 2014-10-03 2016-04-04 2016-10-23 2017-07-02 2018-01-15 2018-08-20 2019-06-24 2020-03-16 2020-06-15 2020-08-24 2020-11-23. Author is listed
  2. NEP-IAS: Insurance Economics (16) 2010-04-17 2010-07-24 2010-07-31 2011-05-14 2012-11-11 2013-03-16 2014-05-04 2015-08-25 2015-09-05 2016-10-30 2018-01-15 2018-08-20 2019-06-24 2020-06-15 2020-08-24 2020-08-31. Author is listed
  3. NEP-ECM: Econometrics (6) 2007-09-16 2007-09-16 2008-01-12 2008-08-06 2009-04-25 2009-07-17. Author is listed
  4. NEP-UPT: Utility Models and Prospect Theory (3) 2007-08-08 2011-06-11 2014-05-04
  5. NEP-HEA: Health Economics (2) 2015-10-25 2020-08-31
  6. NEP-AGE: Economics of Ageing (1) 2015-11-07
  7. NEP-CMP: Computational Economics (1) 2020-08-31
  8. NEP-COM: Industrial Competition (1) 2014-05-04
  9. NEP-ENV: Environmental Economics (1) 2016-10-23
  10. NEP-EXP: Experimental Economics (1) 2018-07-16
  11. NEP-MAC: Macroeconomics (1) 2015-09-05

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Stephane Loisel
(Stephane Loisel) should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.