# Stéphane Loisel

### Contents:

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## 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)

- 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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- 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. - 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. - 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. - 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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- Claude Lefèvre & Stéphane Loisel, 2013.
"
**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.
"
**Impact of Climate Change on HeatWave Risk**," Post-Print hal-00937071, HAL.- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & StÃ©phane Loisel, 2013.
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**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 & StÃ©phane Loisel, 2013.
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- 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. - 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 & 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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- 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. - 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. - 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. - 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. - Yahia Salhi & Stéphane Loisel, 2012.
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**Basis risk modelling: a co-integration based approach**," Working Papers hal-00746859, 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. - Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2012.
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**Some mixing properties of conditionally independent processes**," Working Papers hal-00670649, HAL. - 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. - 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 & 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.

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

- Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009.
"
- 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 & Claude Lefèvre, 2009.
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**Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities**," Post-Print hal-00201377, 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. - 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. - Claude Lefèvre & Stéphane Loisel, 2008.
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**On Finite-Time Ruin Probabilities for Classical Risk Models**," Post-Print hal-00168958, 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.
"
- Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008.
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**Impact of correlation crises in risk theory**," Post-Print hal-00308782, 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 & 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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**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.
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**The win-first probability under interest force**," Post-Print hal-00165791, HAL.- Rulliere, Didier & Loisel, Stephane, 2005.
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**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 & StÃ©phane 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.- 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.
"

27 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 (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-ETS: Econometric Time Series (1) 2012-02-27
- NEP-FOR: Forecasting (1) 2012-11-17
- NEP-IAS: Insurance Economics (9) 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. Author is listed
- NEP-ORE: Operations Research (1) 2011-05-14
- NEP-RMG: Risk Management (19) 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. Author is listed
- NEP-UPT: Utility Models & Prospect Theory (4) 2007-08-08 2008-01-12 2011-06-11 2014-05-04

#### Most cited item

- 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.

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

- 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.

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