# Stéphane Loisel

## Personal Details

First Name: | Stéphane |

Middle Name: | |

Last Name: | Loisel |

Suffix: | |

RePEc Short-ID: | plo60 |

http://isfaserveur.univ-lyon1.fr/~stephane.loisel/ | |

Terminal Degree: | 2004 (from RePEc Genealogy) |

## Affiliation

### Institut de Science Financière et d'Assurances (École ISFA)

Université Claude Bernard (Lyon 1)

Lyon, Francehttp://isfa.univ-lyon1.fr/

: + 33 4 37 28 74 30

+33 4 37 28 76 32

50 avenue Tony Garnier, F-69700 Lyon

RePEc:edi:isly1fr (more details at EDIRC)

## Research output

Jump to: Working papers Articles### Working papers

- Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016.
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**Some mixing properties of conditionally independent processes**," Post-Print hal-00670649, HAL. - Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016.
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**Wind Storm Risk Management**," Working Papers hal-01299692, HAL. - Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2015.
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**Main Determinants of Profit Sharing Policy in the French Life Insurance Industry**," PSE Working Papers halshs-01165475, HAL.- F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015.
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**Main determinants of profit sharing policy in the French life insurance industry**," Débats économiques et financiers 17, Banque de France.

- F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015.
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- Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015.
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**Some characteristics of an equity security next-year impairment**," Post-Print hal-00820929, HAL.- Julien Azzaz & Stéphane Loisel & Pierre-E. Thérond, 2015.
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**Some characteristics of an equity security next-year impairment**," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 111-135, July.

- Pierre-Emmanuel Thérond & Julien Azzaz, 2013.
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**Some characteristics of an equity security next-year impairment**," Post-Print hal-00933278, HAL. - Pierre-Emmanuel Thérond, 2014.
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**Some characteristics of an equity security next-year impairment**," Post-Print hal-01152099, HAL.

- Julien Azzaz & Stéphane Loisel & Pierre-E. Thérond, 2015.
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- Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2015.
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**Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate**," Working Papers hal-01149749, HAL. - Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015.
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**Do actuaries believe in longevity deceleration?**," Working Papers hal-01219270, HAL. - Alexandre Boumezoued & Nicole El Karoui & Stéphane Loisel, 2015.
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**Measuring mortality heterogeneity with multi-state models and interval-censored data**," Working Papers hal-01215350, HAL.- Boumezoued, Alexandre & Karoui, Nicole El & Loisel, Stéphane, 2017.
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**Measuring mortality heterogeneity with multi-state models and interval-censored data**," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 67-82.

- Boumezoued, Alexandre & Karoui, Nicole El & Loisel, Stéphane, 2017.
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- Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2015.
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**Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions**," Working Papers hal-01242023, HAL. - Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2015.
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**Estimating the parameters of a seasonal Markov-modulated Poisson process**," Post-Print hal-01456131, HAL. - Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2014.
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**Construction of an Index that links Wind Speeds and Strong Claim Rate of Insurers after a Storm in France**," Working Papers hal-01081758, HAL. - Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2014.
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**A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model**," Working Papers hal-00853680, HAL. - Maria Govorun & Guy Latouche & Stéphane Loisel, 2014.
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**Phase-type aging modeling for health dependent costs**," Working Papers hal-01084274, HAL.- Govorun, Maria & Latouche, Guy & Loisel, Stéphane, 2015.
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**Phase-type aging modeling for health dependent costs**," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 173-183.

- Govorun, Maria & Latouche, Guy & Loisel, Stéphane, 2015.
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- Stéphane Loisel & Julien Trufin, 2014.
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**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.- Loisel, Stéphane & Trufin, Julien, 2014.
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**Properties of a risk measure derived from the expected area in red**," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.

- Loisel, Stéphane & Trufin, Julien, 2014.
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- Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
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**Discrete Schur-constant models**," Working Papers hal-01081756, HAL.- Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015.
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**Discrete Schur-constant models**," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.

- Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015.
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- Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014.
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**Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation**," Post-Print hal-00816894, HAL. - Alexandre Mornet & Patrick Leveillard & Stéphane Loisel, 2014.
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**Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobile**," Working Papers hal-01081759, HAL. - Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014.
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**Ruin problems with worsening risks or with infinite mean claims**," Post-Print hal-00735843, HAL. - Julien Trufin & Stéphane Loisel, 2013.
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**Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments**," Post-Print hal-00426790, HAL. - Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
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**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," Post-Print hal-00746245, HAL.- Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013.
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**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," European Journal of Operational Research, Elsevier, vol. 231(3), pages 702-711.

- Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013.
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- Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013.
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**Convex extrema for nonincreasing discrete distributions: effects of convexity constraints**," Working Papers hal-00912942, HAL. - Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013.
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**On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing**," Post-Print hal-00746251, HAL.- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
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**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.

- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
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- Claude Lefèvre & Stéphane Loisel, 2013.
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**On multiply monotone distributions, continuous or discrete, with applications**," Post-Print hal-00750562, HAL. - Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
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**Impact of Climate Change on HeatWave Risk**," Post-Print hal-00937071, HAL.- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
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**Impact of Climate Change on Heat Wave Risk**," Risks, MDPI, Open Access Journal, vol. 1(3), pages 1-16, December.

- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
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- Yahia Salhi & Stéphane Loisel, 2012.
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**Basis risk modelling: a co-integration based approach**," Working Papers hal-00746859, HAL. - Stéphane Loisel, 2012.
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**Dependence models in risk theory**," Post-Print hal-00723919, HAL. - Stéphane Loisel, 2012.
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**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. - Stéphane Loisel, 2012.
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**Acceleration techniques of nested simulations in insurance**," Post-Print hal-00746258, HAL. - Stéphane Loisel, 2012.
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**Ruin theory with dependent risks**," Post-Print hal-00671922, HAL. - Stéphane Loisel, 2012.
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**On some practical correlation issues in Enterprise Risk Management**," Post-Print hal-00746262, HAL. - Stéphane Loisel, 2012.
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**ORSA et mesures de risque multi-périodiques**," Post-Print hal-00723931, HAL. - Stéphane Loisel & Hans-U. Gerber, 2012.
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**Why ruin theory should be of interest for insurance practitioners and risk managers nowadays**," Post-Print hal-00746231, HAL. - Stéphane Loisel, 2012.
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**Théorie de la ruine et risques corrélés**," Post-Print hal-00723928, HAL. - Stéphane Loisel, 2012.
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**Risques corrélés en théorie du risque**," Post-Print hal-00723927, HAL. - Stéphane Loisel, 2012.
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**On ruin models with dependence**," Post-Print hal-00723918, HAL. - Stéphane Loisel, 2012.
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**A game-theoretic approach to non-life insurance markets**," Post-Print hal-00746267, HAL. - Stéphane Loisel, 2012.
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**ORSA in Europe and in North America**," Post-Print hal-00723922, HAL. - Stéphane Loisel, 2012.
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**On ruin models with correlated risks**," Post-Print hal-00671921, HAL. - Stéphane Loisel, 2012.
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**Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean**," Post-Print hal-00746257, HAL. - Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012.
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**Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges**," Post-Print hal-00417800, HAL.- Stéphane Loisel, 2010.
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**Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges**," Post-Print hal-00517902, HAL.

- Stéphane Loisel, 2010.
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- Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2012.
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**Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions**," Working Papers hal-00768526, HAL.- Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016.
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**Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions**," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 61-72.

- Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016.
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- Stéphane Loisel, 2012.
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**Problématiques de théorie de la ruine en univers multivarié**," Post-Print hal-00746265, HAL. - Stéphane Loisel, 2012.
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**On the domain of validity of the DeVylder-Goovaerts conjecture**," Post-Print hal-00723930, HAL. - Stéphane Loisel, 2012.
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**Ruin probabilities with correlated claims**," Post-Print hal-00723921, HAL. - Stéphane Loisel, 2012.
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**On ruin for worsening claims**," Post-Print hal-00746261, HAL. - Stéphane Loisel, 2012.
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**Quelques problématiques de mathématiques appliquées à l'actuariat**," Post-Print hal-00723924, HAL. - Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
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**Explicit ruin formulas for models with dependence among risks**," Post-Print hal-00540621, HAL.- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
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**Explicit ruin formulas for models with dependence among risks**," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.

- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
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- Stéphane Loisel, 2011.
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**Explicit ruin probabilities with dependent risks**," Post-Print hal-00671923, HAL. - Stéphane Loisel, 2011.
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**On ruin models with dependent risks**," Post-Print hal-00671926, HAL.- Stéphane Loisel, 2012.
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**On ruin models with dependent risks**," Post-Print hal-00723920, HAL.

- Stéphane Loisel, 2012.
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- Mathieu Bargès & Hélène Cossette & Stéphane Loisel & Etienne Marceau, 2011.
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**On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula**," Post-Print hal-00426502, HAL. - Stéphane Loisel & Xavier Milhaud, 2011.
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**From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital**," Post-Print hal-00502847, HAL.- Loisel, Stéphane & Milhaud, Xavier, 2011.
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**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.

- Stéphane Loisel, 2012.
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**From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital**," Post-Print hal-00746268, HAL.

- Loisel, Stéphane & Milhaud, Xavier, 2011.
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- Stéphane Loisel, 2011.
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**On some risk models with dependence**," Post-Print hal-00586457, HAL. - Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011.
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**On finite-time ruin probabilities with reinsurance cycles influenced by large claims**," Post-Print hal-00430178, HAL. - Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011.
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**Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management**," Post-Print hal-00517766, HAL. - Stéphane Loisel, 2011.
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**Understanding and managing longevity risk**," Post-Print hal-00589695, HAL. - Romain Biard & Claude Lefèvre & Stéphane Loisel & Haikady Nagaraja, 2011.
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**Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings**," Post-Print hal-00409418, HAL. - Stéphane Loisel, 2011.
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**Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis**," Post-Print hal-00671925, HAL. - Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
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**Estimation of the parameters of a Markov-modulated loss process in insurance**," Working Papers hal-00589696, HAL.- Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013.
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**Estimation of the parameters of a Markov-modulated loss process in insurance**," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.

- Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013.
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- Stéphane Loisel, 2011.
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**Cours Bachelier sur le risque de longévité**," Post-Print hal-00566486, HAL. - Stéphane Loisel, 2011.
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**Surrender risk and correlation crises**," Post-Print hal-00671919, HAL. - Stéphane Loisel, 2011.
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**Variable annuities and surrender risk**," Post-Print hal-00586456, HAL. - Stéphane Loisel, 2011.
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**Explicit ruin formulas for dependent risks**," Post-Print hal-00600093, HAL. - Stéphane Loisel, 2011.
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**7 lectures on Enterprise Risk Management**," Post-Print hal-00671924, HAL. - Stéphane Loisel, 2011.
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**Théorie de la ruine en présence de risques corrélés**," Post-Print hal-00671918, HAL. - Stéphane Loisel, 2011.
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**Méthodes d'accélération de la méthode des simulations dans les simulations**," Post-Print hal-00671920, HAL. - Xavier Milhaud & Stéphane Loisel & Véronique Maume-Deschamps, 2011.
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**Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?**," Post-Print hal-00450003, HAL. - Stéphane Loisel, 2010.
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**Solvabilité des compagnies d'assurance**," Post-Print hal-00540618, HAL. - Stéphane Loisel, 2010.
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**Dépendance stochastique en théorie du risque**," Post-Print hal-00469612, HAL. - Stéphane Loisel & Pierre Arnal & Romain Durand, 2010.
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**Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA**," Working Papers hal-00502848, HAL. - Stéphane Loisel, 2010.
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**Joint modeling of portfolio experienced and national mortality: A co-integration based approach**," Post-Print hal-00502852, HAL. - Claude Lefèvre & Stéphane Loisel, 2010.
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**Stationary-excess operator and convex stochastic orders**," Post-Print hal-00442047, HAL.- Lefèvre, Claude & Loisel, Stéphane, 2010.
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**Stationary-excess operator and convex stochastic orders**," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.

- Lefèvre, Claude & Loisel, Stéphane, 2010.
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- Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
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**Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation**," Post-Print hal-00372525, HAL. - Stéphane Loisel, 2010.
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**Théorie de la ruine multivariée**," Post-Print hal-00540619, HAL. - Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010.
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**Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise**," Post-Print hal-00502851, HAL. - Stéphane Loisel, 2009.
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**Correlation crises, ruin probabilities and related issues in ERM and Solvency II**," Post-Print hal-00397125, HAL. - Laurent Devineau & Stéphane Loisel, 2009.
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**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. - Stéphane Loisel, 2009.
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**Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings**," Post-Print hal-00397241, HAL. - Stéphane Loisel & Claude Lefèvre, 2009.
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**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL. - Stéphane Loisel, 2009.
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**On some path-dependent correlation models in risk theory**," Post-Print hal-00397242, HAL. - Stéphane Loisel, 2009.
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**Correlation crises, model risk and ERM**," Post-Print hal-00441300, HAL. - Stéphane Loisel, 2009.
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**Les risques et leur agrégation dans Solvabilité II et en ERM**," Post-Print hal-00397256, HAL. - Stéphane Loisel, 2009.
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**Solvency II: description, timeline, and update on current discussions**," Post-Print hal-00416215, HAL. - Stéphane Loisel, 2009.
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**Ruin probabilities with Bühlmann credibility adjusted premiums**," Post-Print hal-00431263, HAL. - Stéphane Loisel, 2009.
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**Correlation crises in risk theory, Solvency II and ERM**," Post-Print hal-00403675, HAL. - Stéphane Loisel, 2009.
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**A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins**," Working Papers hal-00375715, HAL. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
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**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Post-Print hal-00168716, HAL.- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
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**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.

- Stéphane Loisel, 2007.
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**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Post-Print hal-00397269, HAL.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
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- Stéphane Loisel & Nicolas Privault, 2009.
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**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Stéphane Loisel, 2009.
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**Risk aggregation in Solvency II : bridging the gap between standard formula and internal risk models**," Post-Print hal-00416216, HAL. - Stéphane Loisel, 2009.
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**Understanding, modeling and managing longevity risk: some new challenges**," Post-Print hal-00426505, HAL. - Stéphane Loisel, 2009.
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**Fonctions de pénalité en théorie du risque**," Post-Print hal-00397252, HAL. - Laurent Devineau & Stéphane Loisel, 2009.
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**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. - Stéphane Loisel, 2008.
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**From Solvency II to ERM: tools, practical issues and research perspectives**," Post-Print hal-00397259, HAL. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
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**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Post-Print hal-00168714, HAL.- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
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**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.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
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- Stéphane Loisel, 2008.
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**Théorie de la ruine: introduction et exemples**," Post-Print hal-00397250, HAL. - Stéphane Loisel, 2008.
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**Inter-age correlation in stochastic mortality models**," Post-Print hal-00397267, HAL. - Claude Lefèvre & Stéphane Loisel, 2008.
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**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL. - Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008.
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**Impact of correlation crises in risk theory**," Post-Print hal-00308782, HAL. - Stéphane Loisel, 2008.
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**From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM**," Post-Print hal-00379422, HAL. - Stéphane Loisel, 2008.
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**On a class of non-Gerber-Shiu, non-discounted penalty functions**," Post-Print hal-00397239, HAL. - Wayne Fisher & Stéphane Loisel & Shaun Wang, 2008.
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**On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level**," Post-Print hal-00268841, HAL. - Stéphane Loisel, 2008.
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**In the Core of Longevity Risk: Dependence in Stochastic Mortality Models and Cut-offs in Prices of Longevity Swaps**," Post-Print hal-00397265, HAL. - Stéphane Loisel, 2008.
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**Bootstrapped Finite-Time Ruin Probabilities with Partly Shifted Risk Processes**," Post-Print hal-00397261, HAL. - Stéphane Loisel, 2008.
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**Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle**," Post-Print hal-00397268, HAL. - Stéphane Loisel, 2008.
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**Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts**," Post-Print hal-00397264, HAL. - Stéphane Loisel, 2007.
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**Dépendance stochastique et mesures de risque**," Post-Print hal-00397273, HAL. - Stéphane Loisel, 2007.
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**Repositioning Enterprise Risk Management**," Post-Print hal-00397266, HAL. - Stéphane Loisel, 2007.
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**Ruin Theory with K Lines of Business**," Post-Print hal-00397270, HAL.- Stéphane Loisel, 2004.
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**Ruin theory with K lines of business**," Post-Print hal-00379417, HAL.

- Stéphane Loisel, 2004.
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- Stéphane Loisel, 2007.
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**Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks**," Post-Print hal-00165776, HAL. - Stéphane Loisel & Daniel Serant, 2007.
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**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.- Stéphane Loisel, 2007.
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**In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps**," Post-Print hal-00397274, HAL. - Stéphane Loisel, 2008.
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**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.

- Stéphane Loisel, 2007.
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- Stéphane Loisel, 2007.
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**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. - Stéphane Loisel, 2006.
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**Titrisation du risque de longévité**," Post-Print hal-00397282, HAL. - Stéphane Loisel, 2006.
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**Problems and numerical methods in insurance and finance**," Post-Print hal-00397281, HAL. - Stéphane Loisel, 2006.
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**Sensitivity analysis and optimal reserve allocation in risk theory**," Post-Print hal-00397276, HAL.- Stéphane Loisel, 2007.
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**Sensitivity analysis and optimal reserve allocation in risk theory**," Post-Print hal-00397277, HAL.

- Stéphane Loisel, 2007.
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- Stéphane Loisel, 2005.
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**Win-first probabilities and dividends with hazard rates**," Post-Print hal-00397297, HAL. - Stéphane Loisel, 2005.
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**Sensitivity analysis of the finite-time ruin probability and of some other risk measures**," Post-Print hal-00397284, HAL. - Stéphane Loisel, 2005.
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**Différentiation de fonctionnelles de processus de risque et allocation de réserve optimale**," Post-Print hal-00397295, HAL. - Stéphane Loisel, 2005.
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**Differentiation of some functionals of risk processes**," Post-Print hal-00157739, HAL. - Stéphane Loisel, 2005.
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**Problèmes liés à la prise en compte de l'effet de diversification dans le cadre de Solvabilité II**," Post-Print hal-00397286, HAL. - Stéphane Loisel, 2005.
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**Differentiation of functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397290, HAL.- Stéphane Loisel, 2005.
"
**Differentiation of functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397288, HAL.

- Stéphane Loisel, 2005.
"
- Stéphane Loisel, 2005.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397289, HAL.- Stéphane Loisel, 2006.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397280, HAL. - Stéphane Loisel, 2006.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397279, HAL. - Stéphane Loisel, 2006.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397278, HAL.

- Stéphane Loisel, 2006.
"
- Stéphane Loisel, 2005.
"
**On the sensitivity analysis of some risk measures**," Post-Print hal-00397285, HAL. - Stéphane Loisel, 2005.
"
**Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation**," Post-Print hal-00397287, HAL. - Stéphane Loisel, 2005.
"
**On Solvency issues for French and Vietnamese insurers**," Post-Print hal-00397293, HAL. - Stéphane Loisel, 2005.
"
**Ruine, dividendes et allocation de réserve optimale**," Post-Print hal-00397291, HAL. - Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

- Rulliere, Didier & Loisel, Stephane, 2005.
"
- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.- 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.

- Rulliere, Didier & Loisel, Stephane, 2004.
"

### Articles

- 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.- Alexandre Boumezoued & Nicole El Karoui & Stéphane Loisel, 2015.
"
**Measuring mortality heterogeneity with multi-state models and interval-censored data**," Working Papers hal-01215350, HAL.

- Alexandre Boumezoued & Nicole El Karoui & Stéphane Loisel, 2015.
"
- 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.- 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.

- Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2012.
"
- 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.- Maria Govorun & Guy Latouche & Stéphane Loisel, 2014.
"
**Phase-type aging modeling for health dependent costs**," Working Papers hal-01084274, HAL.

- Maria Govorun & Guy Latouche & Stéphane Loisel, 2014.
"
- 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.- Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
**Discrete Schur-constant models**," Working Papers hal-01081756, HAL.

- Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
- 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.- Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015.
"
**Some characteristics of an equity security next-year impairment**," Post-Print hal-00820929, HAL. - Pierre-Emmanuel Thérond & Julien Azzaz, 2013.
"
**Some characteristics of an equity security next-year impairment**," Post-Print hal-00933278, HAL. - Pierre-Emmanuel Thérond, 2014.
"
**Some characteristics of an equity security next-year impairment**," Post-Print hal-01152099, HAL.

- Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015.
"
- 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.- Stéphane Loisel & Julien Trufin, 2014.
"
**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.

- Stéphane Loisel & Julien Trufin, 2014.
"
- 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 1-16, December.- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
"
**Impact of Climate Change on HeatWave Risk**," Post-Print hal-00937071, HAL.

- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
"
- 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.- Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," Post-Print hal-00746245, HAL.

- Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
- 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.- 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.

- Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013.
"
- 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.- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
**Estimation of the parameters of a Markov-modulated loss process in insurance**," Working Papers hal-00589696, HAL.

- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
- 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.- Stéphane Loisel, 2012.
"
**From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital**," Post-Print hal-00746268, HAL. - Stéphane Loisel & Xavier Milhaud, 2011.
"

- Stéphane Loisel, 2012.
"
- 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: The Journal of the International Actuarial Association, Cambridge University Press, vol. 41(01), pages 215-238, May. - 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.- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
"
**Explicit ruin formulas for models with dependence among risks**," Post-Print hal-00540621, HAL.

- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
"
- Lefèvre, Claude & Loisel, Stéphane, 2010.
"
**Stationary-excess operator and convex stochastic orders**," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.- Claude Lefèvre & Stéphane Loisel, 2010.
"
**Stationary-excess operator and convex stochastic orders**," Post-Print hal-00442047, HAL.

- Claude Lefèvre & Stéphane Loisel, 2010.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- Stéphane Loisel, 2007.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"

- Stéphane Loisel, 2007.
"
- 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. - 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.- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.

- Didier Rullière & Stéphane Loisel, 2005.
"
- 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.- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.

- Didier Rullière & Stéphane Loisel, 2004.
"

## Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.### Working papers

- Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016.
"
**Wind Storm Risk Management**," Working Papers hal-01299692, HAL.Cited by:

- Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017.
"
**Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views**," EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.- F. Borel-Mathurin & S. Loisel & J. Segers, 2017.
"
**Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views**," Débats économiques et financiers 32, Banque de France.

- F. Borel-Mathurin & S. Loisel & J. Segers, 2017.
"

- Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017.
"
- 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.- 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.

Cited by:

- Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017.
"
**Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views**," EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.- F. Borel-Mathurin & S. Loisel & J. Segers, 2017.
"
**Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views**," Débats économiques et financiers 32, Banque de France.

- F. Borel-Mathurin & S. Loisel & J. Segers, 2017.
"
- Kok, Christoffer & Pancaro, Cosimo & Berdin, Elia, 2017.
"
**A stochastic forward-looking model to assess the profitability and solvency of European insurers**," Working Paper Series 2028, European Central Bank.- Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016.
"
**A stochastic forward-looking model to assess the profitability and solvency of European insurers**," ICIR Working Paper Series 21/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR). - Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016.
"
**A stochastic forward-looking model to assess the profitability and solvency of European insurers**," SAFE Working Paper Series 137, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.

- Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016.
"
- B. Camara & F.-D. Castellani & H. Fraisse & L. Frey & C. Héam & L. Labonne & V. Martin, 2015.
"
**MERCURE : A Macroprudential Stress Testing Model developed at the ACPR**," Débats économiques et financiers 19, Banque de France. - J. Hombert & V. Lyonnet, 2017.
"
**Intergenerational Risk Sharing in Life Insurance: Evidence from France**," Débats économiques et financiers 30, Banque de France.

- F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015.
"
- Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015.
"
**Do actuaries believe in longevity deceleration?**," Working Papers hal-01219270, HAL.Cited by:

- Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2017.
"
**Conditions Of Interest Of A Longevity Megafund For Pension Funds**," Working Papers hal-01571937, HAL.

- Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2017.
"
- Stéphane Loisel & Julien Trufin, 2014.
"
**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.- 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.

Cited by:

- Hirbod Assa & Manuel Morales & Hassan Omidi Firouzi, 2016.
"
**On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory**," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-20, August. - Guérin, Hélène & Renaud, Jean-François, 2017.
"
**On the distribution of cumulative Parisian ruin**," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.

- Loisel, Stéphane & Trufin, Julien, 2014.
"
- Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
**Discrete Schur-constant models**," Working Papers hal-01081756, HAL.- 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.

Cited by:

- Aoudia, Djilali Ait & Marchand, Éric & Perron, François, 2016.
"
**Counts of Bernoulli success strings in a multivariate framework**," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 1-10. - Ta, Bao Quoc & Van, Chung Pham, 2017.
"
**Some properties of bivariate Schur-constant distributions**," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 69-76. - Anna Casta~ner & M Merc`e Claramunt, 2017.
"
**Equilibrium distributions and discrete Schur-constant models**," Papers 1709.09955, arXiv.org. - Anna Castañer & M Mercè Claramunt, 2017.
"
**Equilibrium distributions and discrete Schur-constant models**," Working Papers hal-01593552, HAL.

- Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015.
"
- 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.Cited by:

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015.
"
**A risk management approach to capital allocation**," Working Papers hal-01163180, HAL.- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
**A risk management approach to capital allocation**," Papers 1506.04125, arXiv.org.

- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
- V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2015.
"
**Impact of dependence on some multivariate risk indicators**," Papers 1507.01175, arXiv.org.- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
**Impact of dependence on some multivariate risk indicators**," Post-Print hal-01171395, HAL.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016.
"
**On capital allocation by minimizing multivariate risk indicators**," Post-Print hal-01082559, HAL. - Cuberos A. & Masiello E. & Maume-Deschamps V., 2015.
"
**High level quantile approximations of sums of risks**," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-18, October.

- Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015.
"
- Julien Trufin & Stéphane Loisel, 2013.
"
**Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments**," Post-Print hal-00426790, HAL.Cited by:

- 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.- 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.

- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
"
- Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012.
"
**An adaptive premium policy with a Bayesian motivation in the classical risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378. - Li, Shu & Landriault, David & Lemieux, Christiane, 2015.
"
**A risk model with varying premiums: Its risk management implications**," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 38-46.

- Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013.
"
- Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," Post-Print hal-00746245, HAL.- 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.

Cited by:

- Malinovskii, Vsevolod K., 2015.
"
**Business planning for a profit-seeking insurer under deficiency of information**," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 215-226. - Boonen, Tim J., 2016.
"
**Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator**," European Journal of Operational Research, Elsevier, vol. 250(3), pages 955-965. - 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. - Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015.
"
**On finite-time ruin probabilities in a generalized dual risk model with dependence**," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148.

- Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013.
"
- 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.- 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.

Cited by:

- Buddana Amrutha & Kozubowski Tomasz J., 2014.
"
**Discrete Pareto Distributions**," Stochastics and Quality Control, De Gruyter, vol. 29(2), pages 143-156, December. - Badía, F.G. & Sangüesa, C. & Cha, J.H., 2014.
"
**Stochastic comparison of multivariate conditionally dependent mixtures**," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 82-94.

- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
"
- Claude Lefèvre & Stéphane Loisel, 2013.
"
**On multiply monotone distributions, continuous or discrete, with applications**," Post-Print hal-00750562, HAL.Cited by:

- Denuit, Michel M., 2018.
"
**Risk apportionment and multiply monotone targets**," Mathematical Social Sciences, Elsevier, vol. 92(C), pages 74-77. - Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014.
"
**A separation theorem for the weak s-convex orders**," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 279-284. - Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
**Discrete Schur-constant models**," Working Papers hal-01081756, HAL.- 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.

- Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015.
"
- Anna Casta~ner & M Merc`e Claramunt, 2017.
"
**Equilibrium distributions and discrete Schur-constant models**," Papers 1709.09955, arXiv.org. - Anna Castañer & M Mercè Claramunt, 2017.
"
**Equilibrium distributions and discrete Schur-constant models**," Working Papers hal-01593552, HAL.

- Denuit, Michel M., 2018.
"
- Yahia Salhi & Stéphane Loisel, 2012.
"
**Basis risk modelling: a co-integration based approach**," Working Papers hal-00746859, HAL.Cited by:

- Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015.
"
**Do actuaries believe in longevity deceleration?**," Working Papers hal-01219270, HAL. - Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014.
"
**Time-consistent mean–variance hedging of longevity risk: Effect of cointegration**," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67. - 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.- 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.

- Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016.
"
- Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016.
"
**The Cost of Counterparty Risk and Collateralization in Longevity Swaps**," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.- Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011.
"
**The cost of counterparty risk and collateralization in longevity swaps**," MPRA Paper 35740, University Library of Munich, Germany.

- Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011.
"
- Tim J. Boonen & Hong Li, 2017.
"
**Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach**," Demography, Springer;Population Association of America (PAA), vol. 54(5), pages 1921-1946, October. - Hunt, Andrew & Blake, David, 2015.
"
**Modelling longevity bonds: Analysing the Swiss Re Kortis bond**," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 12-29.

- Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015.
"
- 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.Cited by:

- Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016.
"
**On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models**," Papers 1607.01902, arXiv.org, revised Nov 2016. - Julien Vedani & Fabien Ramaharobandro, 2013.
"
**Continuous compliance: a proxy-based monitoring framework**," Papers 1309.7222, arXiv.org, revised Dec 2013. - Julien Vedani & Fabien Ramaharobandro, 2013.
"
**Continuous compliance: a proxy-based monitoring framework**," Working Papers hal-00866531, HAL. - Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang, 2017.
"
**The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation**," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-27, January. - Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016.
"
**A Note on Realistic Dividends in Actuarial Surplus Models**," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-9, October.

- Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016.
"
- 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.- Stéphane Loisel, 2010.
"
**Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges**," Post-Print hal-00517902, HAL.

Cited by:

- Bohm, Thomas & Waldvogel, Felix, 2012.
"
**Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko**," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking. - Risk, J. & Ludkovski, M., 2016.
"
**Statistical emulators for pricing and hedging longevity risk products**," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60. - 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.- 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.

- Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016.
"
- Yahia Salhi & Pierre-Emmanuel Thérond & Julien Tomas, 2016.
"
**A Credibility Approach of the Makeham Mortality Law**," Post-Print hal-01232683, HAL. - Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017.
"
**Cohort effects in mortality modelling: a Bayesian state-space approach**," Papers 1703.08282, arXiv.org. - Ekheden, Erland & Hössjer, Ola, 2015.
"
**Multivariate time series modeling, estimation and prediction of mortalities**," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171. - Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015.
"
**Bayesian Poisson log-bilinear models for mortality projections with multiple populations**," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy. - Yahia Salhi & Stéphane Loisel, 2012.
"
**Basis risk modelling: a co-integration based approach**," Working Papers hal-00746859, HAL. - Helena Aro & Teemu Pennanen, 2013.
"
**Liability-driven investment in longevity risk management**," Papers 1307.8261, arXiv.org. - D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012.
"
**Modelling dependent data for longevity projections**," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701. - Menoncin, Francesco & Regis, Luca, 2017.
"
**Longevity-linked assets and pre-retirement consumption/portfolio decisions**," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86. - Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017.
"
**Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated**," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September. - Francesco Menoncin & Luca Regis, 2015.
"
**Longevity assets and pre-retirement consumption/portfolio decisions**," Working Papers 2/2015, IMT Institute for Advanced Studies Lucca, revised May 2015. - Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2017.
"
**A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives**," Post-Print hal-01258645, HAL. - Clemente De Rosa & Elisa Luciano & Luca Regis, 2015.
"
**Basis risk in static versus dynamic longevity-risk hedging**," Carlo Alberto Notebooks 425, Collegio Carlo Alberto, revised Oct 2015. - James Risk & Michael Ludkovski, 2015.
"
**Statistical Emulators for Pricing and Hedging Longevity Risk Products**," Papers 1508.00310, arXiv.org, revised Sep 2015.

- Stéphane Loisel, 2010.
"
- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
"
**Explicit ruin formulas for models with dependence among risks**," Post-Print hal-00540621, HAL.- 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.

Cited by:

- Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou, 2016.
"
**On bivariate lifetime modelling in life insurance applications**," Papers 1601.04351, arXiv.org. - 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.- 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.

- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
"
- 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.- Stéphane Loisel & Julien Trufin, 2014.
"
**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.

- Stéphane Loisel & Julien Trufin, 2014.
"
- Caroline Hillairet & Ying Jiao, 2017.
"
**Pricing formulae for derivatives in insurance using the Malliavin calculus**," Working Papers 2017-75, Center for Research in Economics and Statistics. - Xie, Jiehua & Lin, Feng & Yang, Jingping, 2017.
"
**On a generalization of Archimedean copula family**," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 121-129. - Corina Constantinescu & Suhang Dai & Weihong Ni & Zbigniew Palmowski, 2016.
"
**Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window**," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-23, June. - 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. - Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2017.
"
**Pricing formulae for derivatives in insurance using the Malliavin calculus**," Working Papers hal-01561987, HAL. - Su, Jianxi & Furman, Edward, 2017.
"
**Multiple risk factor dependence structures: Copulas and related properties**," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 109-121. - Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie, 2015.
"
**Explicit diversifiction benefit for dependent risks**," ESSEC Working Papers WP1522, ESSEC Research Center, ESSEC Business School.- Michel Dacorogna & Laila Elbahtouri & Marie Kratz, 2015.
"
**Explicit diversification benefit for dependent risks**," Working Papers hal-01256869, HAL.

- Michel Dacorogna & Laila Elbahtouri & Marie Kratz, 2015.
"
- 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. - Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012.
"
**An adaptive premium policy with a Bayesian motivation in the classical risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378. - Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
**Discrete Schur-constant models**," Working Papers hal-01081756, HAL.- 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.

- Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015.
"
- Jianxi Su & Edward Furman, 2016.
"
**Multiple risk factor dependence structures: Copulas and related properties**," Papers 1610.02126, arXiv.org. - Lazarova, M.D. & Minkova, L.D., 2017.
"
**I-Delaporte process and applications**," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 133(C), pages 135-141. - Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011.
"
**Archimedean copulas in finite and infinite dimensions—with application to ruin problems**," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495. - 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. - Su, Jianxi & Furman, Edward, 2017.
"
**Multiple risk factor dependence structures: Distributional properties**," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 56-68. - Enkelejd Hashorva & Lanpeng Ji, 2014.
"
**Random Shifting and Scaling of Insurance Risks**," Risks, MDPI, Open Access Journal, vol. 2(3), pages 1-12, July. - Cuberos A. & Masiello E. & Maume-Deschamps V., 2015.
"
**High level quantile approximations of sums of risks**," Dependence Modeling, De Gruyter Open, vol. 3(1), pages 1-18, October. - Caroline Hillairet & Ying Jiao & Anthony R'eveillac, 2017.
"
**Pricing formulae for derivatives in insurance using the Malliavin calculus**," Papers 1707.05061, arXiv.org. - Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016.
"
**Some mixing properties of conditionally independent processes**," Post-Print hal-00670649, HAL. - Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015.
"
**On finite-time ruin probabilities in a generalized dual risk model with dependence**," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148. - Marri, Fouad & Furman, Edward, 2012.
"
**Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure**," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157. - Furman, Edward & Kuznetsov, Alexey & Zitikis, Ričardas, 2018.
"
**Weighted risk capital allocations in the presence of systematic risk**," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 75-81.

- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
"
- 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.Cited by:

- Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014.
"
**Ruin problems with worsening risks or with infinite mean claims**," Post-Print hal-00735843, HAL. - Siti Norafidah Mohd Ramli & Jiwook Jang, 2014.
"
**Neumann Series on the Recursive Moments of Copula-Dependent Aggregate Discounted Claims**," Risks, MDPI, Open Access Journal, vol. 2(2), pages 1-16, May. - Woo, Jae-Kyung & Cheung, Eric C.K., 2013.
"
**A note on discounted compound renewal sums under dependency**," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179. - Lefèvre, Claude & Picard, Philippe, 2011.
"
**A new look at the homogeneous risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519. - Zhao, Xiaobing & Zhou, Xian, 2012.
"
**Copula models for insurance claim numbers with excess zeros and time-dependence**," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 191-199. - Marri, Fouad & Furman, Edward, 2012.
"
**Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure**," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.

- Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014.
"
- Stéphane Loisel & Xavier Milhaud, 2011.
"
- 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.

- Stéphane Loisel, 2012.
"

Cited by:

- Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016.
"
**Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors**," Working Papers hal-01282601, HAL.- Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016.
"
**Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors**," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.

- Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016.
"
- Martin Eling & Michael Kochanski, 2013.
"
**Research on lapse in life insurance: what has been done and what needs to be done?**," Journal of Risk Finance, Emerald Group Publishing, vol. 14(4), pages 392-413, August.- Eling, Martin & Kochanski, Michael, 2012.
"
**Research on Lapse in Life Insurance – What Has Been Done and What Needs to Be Done?**," Working Papers on Finance 1224, University of St. Gallen, School of Finance.

- Eling, Martin & Kochanski, Michael, 2012.
"
- 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.- 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.

- F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015.
"
- 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.- 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.

- Bensusan, Harry & El Karoui, Nicole & Loisel, Stéphane & Salhi, Yahia, 2016.
"
- Feodoria, Mark & Förstemann, Till, 2015.
"
**Lethal lapses: How a positive interest rate shock might stress German life insurers**," Discussion Papers 12/2015, Deutsche Bundesbank. - 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. - 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.- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
**Estimation of the parameters of a Markov-modulated loss process in insurance**," Working Papers hal-00589696, HAL.

- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
- Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," Post-Print hal-01616156, HAL. - Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016.
"
**Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs**," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-36, November. - Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," Post-Print hal-00746245, HAL.- 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.

- Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013.
"

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- 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.Cited by:

- Michael Ludkovski & James Risk, 2017.
"
**Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement**," Papers 1710.05204, arXiv.org, revised May 2018. - Cousin, Areski & Di Bernardino, Elena, 2014.
"
**On multivariate extensions of Conditional-Tail-Expectation**," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282. - Cousin, Areski & Di Bernardino, Elena, 2013.
"
**On multivariate extensions of Value-at-Risk**," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46. - Areski Cousin & Elena Di Bernardinoy, 2013.
"
**On Multivariate Extensions of Conditional-Tail-Expectation**," Working Papers hal-00877386, HAL.

- Michael Ludkovski & James Risk, 2017.
"
- 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.Cited by:

- Li, Xiaohu & Wu, Jintang, 2014.
"
**Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time**," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 15-26. - Søren Asmussen & Romain Biard, 2011.
"
**Ruin probabilities for a regenerative Poisson gap generated risk process**," Post-Print hal-00569254, HAL. - Chen, Yiqing & Yuen, Kam C., 2012.
"
**Precise large deviations of aggregate claims in a size-dependent renewal risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.

- Li, Xiaohu & Wu, Jintang, 2014.
"
- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
**Estimation of the parameters of a Markov-modulated loss process in insurance**," Working Papers hal-00589696, HAL.- 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.

Cited by:

- Gajek, Lesław & Rudź, Marcin, 2017.
"
**A generalization of Gerber’s inequality for ruin probabilities in risk-switching models**," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 236-240.

- Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013.
"
- Stéphane Loisel, 2011.
"
**Explicit ruin formulas for dependent risks**," Post-Print hal-00600093, HAL.Cited by:

- Caroline Hillairet & Ying Jiao, 2017.
"
**Pricing formulae for derivatives in insurance using the Malliavin calculus**," Working Papers 2017-75, Center for Research in Economics and Statistics. - Su, Jianxi & Furman, Edward, 2017.
"
**Multiple risk factor dependence structures: Distributional properties**," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 56-68.

- Caroline Hillairet & Ying Jiao, 2017.
"
- 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.Cited by:

- 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.- 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.

- F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015.
"
- Gemmo, Irina & Götz, Martin, 2016.
"
**Life insurance and demographic change: An empirical analysis of surrender decisions based on panel data**," ICIR Working Paper Series 24/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR). - 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.- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
**Estimation of the parameters of a Markov-modulated loss process in insurance**," Working Papers hal-00589696, HAL.

- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"

- Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2015.
"
- 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.Cited by:

- Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016.
"
**Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors**," Working Papers hal-01282601, HAL.- Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016.
"
**Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors**," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.

- Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016.
"

- Flavia Barsotti & Xavier Milhaud & Yahia Salhi, 2016.
"
- Stéphane Loisel, 2010.
"
**Joint modeling of portfolio experienced and national mortality: A co-integration based approach**," Post-Print hal-00502852, HAL.Cited by:

- Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016.
"
**The Cost of Counterparty Risk and Collateralization in Longevity Swaps**," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.- Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011.
"
**The cost of counterparty risk and collateralization in longevity swaps**," MPRA Paper 35740, University Library of Munich, Germany.

- Biffis, Enrico & Blake, David & Pitotti, Lorenzo & Sun, Ariel, 2011.
"
- Stéphane Loisel, 2010.
"
**Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges**," Post-Print hal-00517902, HAL.- 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.

- Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012.
"

- Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016.
"
- Claude Lefèvre & Stéphane Loisel, 2010.
"
**Stationary-excess operator and convex stochastic orders**," Post-Print hal-00442047, HAL.- Lefèvre, Claude & Loisel, Stéphane, 2010.
"
**Stationary-excess operator and convex stochastic orders**," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.

Cited by:

- Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014.
"
**A separation theorem for the weak s-convex orders**," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 279-284. - Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013.
"
**Convex extrema for nonincreasing discrete distributions: effects of convexity constraints**," Working Papers hal-00912942, HAL. - Anna Casta~ner & M Merc`e Claramunt, 2017.
"
**Equilibrium distributions and discrete Schur-constant models**," Papers 1709.09955, arXiv.org. - Anna Castañer & M Mercè Claramunt, 2017.
"
**Equilibrium distributions and discrete Schur-constant models**," Working Papers hal-01593552, HAL. - Claude Lefèvre & Stéphane Loisel, 2013.
"
**On multiply monotone distributions, continuous or discrete, with applications**," Post-Print hal-00750562, HAL.

- Lefèvre, Claude & Loisel, Stéphane, 2010.
"
- 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.Cited by:

- 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.- Stéphane Loisel & Julien Trufin, 2014.
"
**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.

- Stéphane Loisel & Julien Trufin, 2014.
"
- Liu, Jingchen & Woo, Jae-Kyung, 2014.
"
**Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks**," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9. - Romain Biard, 2013.
"
**Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation**," Post-Print hal-00538571, HAL. - Landriault, David & Renaud, Jean-François & Zhou, Xiaowen, 2011.
"
**Occupation times of spectrally negative Lévy processes with applications**," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2629-2641, November. - Cénac P. & Maume-Deschamps V. & Prieur C., 2012.
"
**Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm**," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

- Loisel, Stéphane & Trufin, Julien, 2014.
"
- 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.Cited by:

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- Stéphane Loisel, 2012.
"
- Stéphane Loisel & Xavier Milhaud, 2011.
"

- Stéphane Loisel, 2012.
"
- 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.- 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.

- F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015.
"

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- 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.Cited by:

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- Stéphane Loisel, 2012.
"
- Stéphane Loisel & Xavier Milhaud, 2011.
"

- Stéphane Loisel, 2012.
"
- 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. - Mezőfi, Balázs & Niedermayer, Andras & Niedermayer, Daniel & Süli, Balázs Márton, 2017.
"
**Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures**," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 164-171. - Asier Garayeta & J. Inaki De La Pena & Ivan Iturricastillo, 2014.
"
**Pragmatic Solutions for Solvency Capital Requirements at Life Insurance Companies: The Case of Spain**," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 5(4), pages 39-51, July. - Julien Vedani & Fabien Ramaharobandro, 2013.
"
**Continuous compliance: a proxy-based monitoring framework**," Papers 1309.7222, arXiv.org, revised Dec 2013. - Julien Vedani & Laurent Devineau, 2012.
"
**Solvency assessment within the ORSA framework: issues and quantitative methodologies**," Working Papers hal-00744351, HAL. - Julien Vedani & Fabien Ramaharobandro, 2013.
"
**Continuous compliance: a proxy-based monitoring framework**," Working Papers hal-00866531, HAL. - Julien Vedani & Laurent Devineau, 2012.
"
**Solvency assessment within the ORSA framework: issues and quantitative methodologies**," Papers 1210.6000, arXiv.org, revised Oct 2012. - Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012.
"
**Copula based hierarchical risk aggregation through sample reordering**," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- Stéphane Loisel & Claude Lefèvre, 2009.
"
**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL.Cited by:

- Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2016.
"
**On the evaluation of finite-time ruin probabilities in a dependent risk model**," Applied Mathematics and Computation, Elsevier, vol. 275(C), pages 268-286. - 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.- 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.

- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013.
"
**Survival probabilities in bivariate risk models, with application to reinsurance**," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642. - Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011.
"
**On finite-time ruin probabilities with reinsurance cycles influenced by large claims**," Post-Print hal-00430178, HAL. - 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. - Lefèvre, Claude & Picard, Philippe, 2011.
"
**A new look at the homogeneous risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.

- Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2016.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"

Cited by:

- Stéphane Loisel & Nicolas Privault, 2009.
"
**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- Stéphane Loisel & Nicolas Privault, 2009.
"
**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL.Cited by:

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- 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.Cited by:

- 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. - Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011.
"
- Laurent Devineau & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued, 2017.
"
**Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion**," Working Papers hal-01521491, HAL. - 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. - Fort Gersende & Gobet Emmanuel & Moulines Eric, 2017.
"
**MCMC design-based non-parametric regression for rare event. Application to nested risk computations**," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 21-42, March.

- Nteukam T., Oberlain & Planchet, Frédéric, 2012.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"

Cited by:

- Stéphane Loisel & Nicolas Privault, 2009.
"
**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - Touazi, A. & Benouaret, Z. & Aissani, D. & Adjabi, S., 2017.
"
**Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 78-83. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013.
"
**Optimal risk transfer under quantile-based risk measurers**," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
- Claude Lefèvre & Stéphane Loisel, 2008.
"
**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- Stéphane Loisel, 2008.
"
**Inter-age correlation in stochastic mortality models**," Post-Print hal-00397267, HAL.Cited by:

- Stéphane Loisel, 2010.
"
**Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges**," Post-Print hal-00517902, HAL.- 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.

- Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012.
"

- Stéphane Loisel, 2010.
"
- Claude Lefèvre & Stéphane Loisel, 2008.
"
**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL.Cited by:

- Irmina Czarna & Zbigniew Palmowski, 2009.
"
**De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process**," Papers 0906.2100, arXiv.org, revised Feb 2011. - Lanpeng Ji & Chunsheng Zhang, 2014.
"
**A Duality Result for the Generalized Erlang Risk Model**," Risks, MDPI, Open Access Journal, vol. 2(4), pages 1-11, November. - 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.- 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.

- Dutang, C. & Lefèvre, C. & Loisel, S., 2013.
"
- Stéphane Loisel & Claude Lefèvre, 2009.
"
**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Julien Trufin & Stéphane Loisel, 2013.
"
**Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments**," Post-Print hal-00426790, HAL. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
- Gathy, Maude & Lefèvre, Claude, 2010.
"
**On the Lagrangian Katz family of distributions as a claim frequency model**," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 76-83, August. - Li, Shuanming & Lu, Yi, 2017.
"
**Distributional study of finite-time ruin related problems for the classical risk model**," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 319-330.

- Irmina Czarna & Zbigniew Palmowski, 2009.
"
- Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008.
"
**Impact of correlation crises in risk theory**," Post-Print hal-00308782, HAL.Cited by:

- Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"

- Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
- Stéphane Loisel, 2008.
"
**From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM**," Post-Print hal-00379422, HAL.Cited by:

- Georgios Marinakos & Sophia Daskalaki & Theodoros Ntrinias, 2014.
"
**Defensive financial decisions support for retailers in Greek pharmaceutical industry**," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(3), pages 525-551, September.

- Georgios Marinakos & Sophia Daskalaki & Theodoros Ntrinias, 2014.
"
- 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.Cited by:

- 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.

- Laurent Devineau & Stéphane Loisel, 2009.
"
- 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.- Stéphane Loisel, 2007.
"
- 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.

Cited by:

- Chou-Wen Wang & Sharon S. Yang, 2013.
"
**Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework**," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.

- Stéphane Loisel, 2007.
"
- Stéphane Loisel, 2005.
"
**Differentiation of some functionals of risk processes**," Post-Print hal-00157739, HAL.Cited by:

- Florin Avram & Sooie-Hoe Loke, 2018.
"
**On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics**," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-18, April. - 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.- Stéphane Loisel & Julien Trufin, 2014.
"
**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.

- Stéphane Loisel & Julien Trufin, 2014.
"
- Romain Biard, 2013.
"
**Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation**," Post-Print hal-00538571, HAL. - 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 1-16, December.- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
"
**Impact of Climate Change on HeatWave Risk**," Post-Print hal-00937071, HAL.

- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
"
- Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014.
"
- Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
- Esther Frostig & Adva Keren–Pinhasik, 2017.
"
**Parisian ruin in the dual model with applications to the G/M/1 queue**," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August. - Macci, Claudio, 2008.
"
**Large deviations for the time-integrated negative parts of some processes**," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 75-83, January. - Cénac P. & Maume-Deschamps V. & Prieur C., 2012.
"
**Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm**," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

- Florin Avram & Sooie-Hoe Loke, 2018.
"
- Stéphane Loisel, 2005.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397289, HAL.- Stéphane Loisel, 2006.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397280, HAL. - Stéphane Loisel, 2006.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397279, HAL. - Stéphane Loisel, 2006.
"
**Differentiation of some functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397278, HAL.

Cited by:

- Florin Avram & Sooie-Hoe Loke, 2018.
"
**On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics**," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-18, April. - Esther Frostig & Adva Keren–Pinhasik, 2017.
"
**Parisian ruin in the dual model with applications to the G/M/1 queue**," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August. - Cénac P. & Maume-Deschamps V. & Prieur C., 2012.
"
**Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm**," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

- Stéphane Loisel, 2006.
"
- Stéphane Loisel, 2005.
"
**Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation**," Post-Print hal-00397287, HAL.Cited by:

- Florin Avram & Sooie-Hoe Loke, 2018.
"
**On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics**," Risks, MDPI, Open Access Journal, vol. 6(2), pages 1-18, April. - Esther Frostig & Adva Keren–Pinhasik, 2017.
"
**Parisian ruin in the dual model with applications to the G/M/1 queue**," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August. - Cénac P. & Maume-Deschamps V. & Prieur C., 2012.
"

- Florin Avram & Sooie-Hoe Loke, 2018.
"
- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

Cited by:

- Yuan, Haili & Hu, Yijun, 2008.
"
**Absolute ruin in the compound Poisson risk model with constant dividend barrier**," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2086-2094, October.

- Rulliere, Didier & Loisel, Stephane, 2005.
"
- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.- 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.

Cited by:

- Claude Lefèvre & Philippe Picard, 2013.
"
**Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach**," Risks, MDPI, Open Access Journal, vol. 1(3), pages 1-21, December. - 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. - Stéphane Loisel & Claude Lefèvre, 2009.
"
**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL. - Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- 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. - Julien Trufin & Stéphane Loisel, 2013.
"
**Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments**," Post-Print hal-00426790, HAL. - Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011.
"
**On finite-time ruin probabilities with reinsurance cycles influenced by large claims**," Post-Print hal-00430178, HAL. - Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010.
"
- Tamturk, Muhsin & Utev, Sergey, 2018.
"
**Ruin probability via Quantum Mechanics Approach**," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74. - Julien Vedani & Laurent Devineau, 2012.
"
**Solvency assessment within the ORSA framework: issues and quantitative methodologies**," Working Papers hal-00744351, HAL. - Claude Lefèvre & Stéphane Loisel, 2008.
"
**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL. - Zhang, Huiming & Liu, Yunxiao & Li, Bo, 2014.
"
**Notes on discrete compound Poisson model with applications to risk theory**," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 325-336. - Li, Shuanming & Lu, Yi, 2017.
"
**Distributional study of finite-time ruin related problems for the classical risk model**," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 319-330. - 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. - 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.- Christian Mazza & Didier Rullière, 2004.
"
**A link between wave governed random motions and ruin processes**," Post-Print hal-00412977, HAL.

- Christian Mazza & Didier Rullière, 2004.
"
- Julien Vedani & Laurent Devineau, 2012.
"
**Solvency assessment within the ORSA framework: issues and quantitative methodologies**," Papers 1210.6000, arXiv.org, revised Oct 2012. - Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.

- Rulliere, Didier & Loisel, Stephane, 2005.
"

- Rulliere, Didier & Loisel, Stephane, 2004.
"

### Articles

- 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.See citations under working paper version above.- Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
**Discrete Schur-constant models**," Working Papers hal-01081756, HAL.

- Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2014.
"
- 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.See citations under working paper version above.- Stéphane Loisel & Julien Trufin, 2014.
"
**Properties of a risk measure derived from the expected area in red**," Post-Print hal-00870224, HAL.

- Stéphane Loisel & Julien Trufin, 2014.
"
- 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.See citations under working paper version above.- Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
**Competition among non-life insurers under solvency constraints: A game-theoretic approach**," Post-Print hal-00746245, HAL.

- Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013.
"
- 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.See citations under working paper version above.- 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.

- Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013.
"
- 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.See citations under working paper version above.- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
**Estimation of the parameters of a Markov-modulated loss process in insurance**," Working Papers hal-00589696, HAL.

- Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011.
"
- Loisel, Stéphane & Milhaud, Xavier, 2011.
"See citations under working paper version above.
- Stéphane Loisel, 2012.
"
- Stéphane Loisel & Xavier Milhaud, 2011.
"

- Stéphane Loisel, 2012.
"
- 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: The Journal of the International Actuarial Association, Cambridge University Press, vol. 41(01), pages 215-238, May.Cited by:

- Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014.
"
**Ruin problems with worsening risks or with infinite mean claims**," Post-Print hal-00735843, HAL. - Siti Norafidah Mohd Ramli & Jiwook Jang, 2014.
"
**Neumann Series on the Recursive Moments of Copula-Dependent Aggregate Discounted Claims**," Risks, MDPI, Open Access Journal, vol. 2(2), pages 1-16, May. - Woo, Jae-Kyung & Cheung, Eric C.K., 2013.
"
**A note on discounted compound renewal sums under dependency**," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179. - Lefèvre, Claude & Picard, Philippe, 2011.
"
**A new look at the homogeneous risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519. - Zhao, Xiaobing & Zhou, Xian, 2012.
"
**Copula models for insurance claim numbers with excess zeros and time-dependence**," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 191-199. - Marri, Fouad & Furman, Edward, 2012.
"
**Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure**," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.

- Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014.
"
- 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.See citations under working paper version above.- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
"
**Explicit ruin formulas for models with dependence among risks**," Post-Print hal-00540621, HAL.

- Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011.
"
- Lefèvre, Claude & Loisel, Stéphane, 2010.
"
**Stationary-excess operator and convex stochastic orders**," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.See citations under working paper version above.- Claude Lefèvre & Stéphane Loisel, 2010.
"
**Stationary-excess operator and convex stochastic orders**," Post-Print hal-00442047, HAL.

- Claude Lefèvre & Stéphane Loisel, 2010.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"See citations under working paper version above.
- Stéphane Loisel, 2007.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"

- Stéphane Loisel, 2007.
"
- 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.Cited by:

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- Stéphane Loisel, 2012.
"
- Stéphane Loisel & Xavier Milhaud, 2011.
"

- Stéphane Loisel, 2012.
"
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
- Stéphane Loisel, 2007.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"

- Stéphane Loisel, 2007.
"
- Romain Biard, 2013.
"
**Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation**," Post-Print hal-00538571, HAL. - Laurent Devineau & Stéphane Loisel, 2009.
"
- Chen, Yiqing & Yuen, Kam C., 2012.
"
**Precise large deviations of aggregate claims in a size-dependent renewal risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461. - 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.

- Loisel, Stéphane & Milhaud, Xavier, 2011.
"
- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"See citations under working paper version above.
- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"

- Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
- Rulliere, Didier & Loisel, Stephane, 2005.
"
**The win-first probability under interest force**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.See citations under working paper version above.- Didier Rullière & Stéphane Loisel, 2005.
"
**The win-first probability under interest force**," Post-Print hal-00165791, HAL.

- Didier Rullière & Stéphane Loisel, 2005.
"
- 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.See citations under working paper version above.- Didier Rullière & Stéphane Loisel, 2004.
"
**Another look at the Picard-Lefèvre formula for finite-time ruin probabilities**," Post-Print hal-00379412, HAL.

- Didier Rullière & Stéphane Loisel, 2004.
"

## More information

Research fields, statistics, top rankings, if available.### Statistics

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### Rankings

This author is among the top 5% authors according to these criteria:- Number of Works
- Number of Distinct Works
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### 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 41 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.- NEP-RMG:
**Risk Management**(23) 2007-07-07 2007-08-08 2007-09-16 2008-01-12 2008-08-06 2009-07-17 2009-08-22 2010-02-13 2010-07-24 2010-07-31 2011-05-14 2011-06-11 2011-07-02 2012-11-11 2013-01-19 2013-09-13 2014-05-04 2014-05-04 2014-10-03 2015-08-25 2015-12-28 2016-04-04 2016-10-23. Author is listed - NEP-IAS:
**Insurance Economics**(15) 2007-08-08 2009-07-17 2010-04-17 2010-07-24 2011-05-14 2011-05-14 2012-11-11 2013-03-16 2014-05-04 2015-08-19 2015-08-25 2015-08-25 2015-08-25 2015-09-05 2015-12-28. Author is listed - NEP-ECM:
**Econometrics**(7) 2007-09-16 2007-09-16 2008-01-12 2008-08-06 2009-04-25 2009-07-17 2011-05-14. Author is listed - NEP-UPT: Utility Models & Prospect Theory (4) 2007-08-08 2008-01-12 2011-06-11 2014-05-04
- NEP-AGE: Economics of Ageing (2) 2015-08-25 2015-11-07
- NEP-HEA: Health Economics (2) 2015-08-25 2015-10-25
- NEP-COM: Industrial Competition (1) 2014-05-04
- NEP-DEM: Demographic Economics (1) 2012-11-17
- NEP-ENV: Environmental Economics (1) 2016-10-23
- NEP-FOR: Forecasting (1) 2012-11-17
- NEP-GER: German Papers (1) 2015-08-30
- NEP-MAC: Macroeconomics (1) 2015-09-05
- NEP-ORE: Operations Research (1) 2011-05-14

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