# Stéphane Loisel

### Contents:

This is information that was supplied by Stéphane Loisel in registering
through RePEc. If you are Stéphane Loisel , you may change this information at the
RePEc Author Service. Or if
you are not registered and would like to be listed as well, register at the RePEc Author Service. When you
register or update your RePEc registration, you may identify the papers and articles you have
authored.

## Personal Details

First Name: | Stéphane |

Middle Name: | |

Last Name: | Loisel |

Suffix: | |

RePEc Short-ID: | plo60 |

Email: | |

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

Postal Address: | |

Phone: |

Location: Lyon, France

Homepage: http://isfa.univ-lyon1.fr/

Email:

Phone: + 33 4 37 28 74 30

Fax: +33 4 37 28 76 32

Postal: 50 avenue Tony Garnier, F-69700 Lyon

Handle: RePEc:edi:isly1fr (more details at EDIRC)

Homepage: http://isfa.univ-lyon1.fr/

Email:

Phone: + 33 4 37 28 74 30

Fax: +33 4 37 28 76 32

Postal: 50 avenue Tony Garnier, F-69700 Lyon

Handle: RePEc:edi:isly1fr (more details at EDIRC)

- 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.

- Loisel, Stéphane & Trufin, Julien, 2014.
"
- 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. - Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014.
"
**Ruin problems with worsening risks or with infinite mean claims**," Post-Print hal-00735843, HAL. - Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2014.
"
**Some characteristics of an equity security next-year impairment**," Post-Print hal-00820929, HAL. - Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013.
"
**Convex extrema for nonincreasing discrete distributions: effects of convexity constraints**," Working Papers hal-00912942, HAL. - Claude Lefèvre & Stéphane Loisel, 2013.
"
**On multiply monotone distributions, continuous or discrete, with applications**," Post-Print hal-00750562, HAL. - Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2013.
"
**A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model**," Working Papers hal-00853680, HAL. - Julien Trufin & Stéphane Loisel, 2013.
"
**Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments**," Post-Print hal-00426790, HAL. - 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.
"
**Impact of Climate Change on Heat Wave Risk**," Risks, MDPI, Open Access Journal, vol. 1(3), pages 176-191, December.

- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 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.

- Dutang, C. & Lefèvre, C. & Loisel, S., 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. - Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2012.
"
**Some mixing properties of conditionally independent processes**," Working Papers hal-00670649, HAL. - Yahia Salhi & Stéphane Loisel, 2012.
"
**Basis risk modelling: a co-integration based approach**," Working Papers hal-00746859, HAL. - 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. - 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. - 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. - Stéphane Loisel, 2012.
"
**La capacité de réaction et les actions de gestion des dirigeants: nécessité et difficulté de les prendre en compte dans l'ORSA**," Post-Print hal-00671825, HAL. - 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. - 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. - 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. - 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.

- Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013.
"
- Stéphane Loisel & Xavier Milhaud, 2011.
"
**From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital**," Post-Print hal-00502847, HAL.- 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.

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

- Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011.
"
- Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011.
"
**On finite-time ruin probabilities with reinsurance cycles influenced by large claims**," Post-Print hal-00430178, HAL. - 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. - 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.

- 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. - 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. - 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. - Stéphane Loisel & Claude Lefèvre, 2009.
"
**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, HAL. - Stéphane Loisel & Nicolas Privault, 2009.
"
**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, HAL. - 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. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2009.
"
**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Post-Print hal-00168716, HAL.- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
**Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- Stéphane Loisel, 2009.
"
**A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins**," Working Papers hal-00375715, HAL. - 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. - Claude Lefèvre & Stéphane Loisel, 2008.
"
**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, HAL. - Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008.
"
**Impact of correlation crises in risk theory**," Post-Print hal-00308782, HAL. - Stéphane Loisel & Christian Mazza & Didier Rullière, 2008.
"
**Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin**," Post-Print hal-00168714, HAL.- 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.

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008.
"
- 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.
"
**Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks**," Post-Print hal-00165776, 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.
"
- Stéphane Loisel, 2005.
"
**Differentiation of some functionals of risk processes**," Post-Print hal-00157739, 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.- 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, 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.
"
- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013.
"
**Impact of Climate Change on Heat Wave Risk**," Risks, MDPI, Open Access Journal, vol. 1(3), pages 176-191, 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.
"
- 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.
"
- 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 & Xavier Milhaud, 2011.
"
**From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital**," Post-Print hal-00502847, HAL.

- Stéphane Loisel & Xavier Milhaud, 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.
"
**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 & Christian Mazza & Didier Rullière, 2009.
"

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

19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):

- NEP-COM: Industrial Competition (1) 2014-05-04
- NEP-DEM: Demographic Economics (1) 2012-11-17
- NEP-ECM: Econometrics (1) 2011-05-14
- NEP-ETS: Econometric Time Series (1) 2012-02-27
- NEP-FOR: Forecasting (1) 2012-11-17
- NEP-IAS: Insurance Economics (5) 2011-05-14 2011-05-14 2012-11-11 2013-03-16 2014-05-04. Author is listed
- NEP-ORE: Operations Research (1) 2011-05-14
- NEP-RMG: Risk Management (9) 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. Author is listed
- NEP-UPT: Utility Models & Prospect Theory (2) 2011-06-11 2014-05-04

#### Most cited item

- 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.

#### Most downloaded item (past 12 months)

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

#### Access and download statistics for all items

#### Co-authorship network on CollEc

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Stéphane Loisel should log into the RePEc Author Service

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

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

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