# Stéphane Loisel

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## Personal Details

First Name: | Stéphane |

Middle Name: | |

Last Name: | Loisel |

Suffix: | |

RePEc Short-ID: | plo60 |

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

Lyon, France

http://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)

http://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)

- Edouard Debonneuil & Frédéric Planchet & Stéphane Loisel, 2015.
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**Do actuaries believe in longevity deceleration?**," Working Papers hal-01219270, HAL. - 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. - 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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- 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. - 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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- 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. - 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. - 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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- 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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- 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. - 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. - 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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- 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. - 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. - 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 176-176, December.

- Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 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. - 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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- 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. - Stéphane Loisel, 2012.
"
**On some practical correlation issues in Enterprise Risk Management**," Post-Print hal-00746262, HAL. - Stéphane Loisel, 2012.
"
**Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean**," Post-Print hal-00746257, 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. - 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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**Quelques problématiques de mathématiques appliquées à l'actuariat**," Post-Print hal-00723924, 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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**On ruin for worsening claims**," Post-Print hal-00746261, HAL. - 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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**Risques corrélés en théorie du risque**," Post-Print hal-00723927, HAL. - Stéphane Loisel, 2012.
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**Ruin probabilities with correlated claims**," Post-Print hal-00723921, 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. - Stéphane Loisel, 2012.
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**ORSA et mesures de risque multi-périodiques**," Post-Print hal-00723931, 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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**A game-theoretic approach to non-life insurance markets**," Post-Print hal-00746267, HAL. - Stéphane Loisel, 2012.
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**Ruin theory with dependent risks**," Post-Print hal-00671922, 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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- Stéphane Loisel, 2012.
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**On the domain of validity of the DeVylder-Goovaerts conjecture**," Post-Print hal-00723930, 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, 2012.
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**Théorie de la ruine et risques corrélés**," Post-Print hal-00723928, 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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**ORSA in Europe and in North America**," Post-Print hal-00723922, HAL. - Stéphane Loisel, 2012.
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**On ruin models with dependence**," Post-Print hal-00723918, HAL. - Stéphane Loisel, 2011.
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**Understanding and managing longevity risk**," Post-Print hal-00589695, 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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- 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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**Explicit ruin formulas for dependent risks**," Post-Print hal-00600093, 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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**7 lectures on Enterprise Risk Management**," Post-Print hal-00671924, 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. - Stéphane Loisel, 2011.
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**On some risk models with dependence**," Post-Print hal-00586457, HAL. - 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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**Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis**," Post-Print hal-00671925, 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, 2011.
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**Explicit ruin probabilities with dependent risks**," Post-Print hal-00671923, HAL. - Stéphane Loisel, 2011.
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**Méthodes d'accélération de la méthode des simulations dans les simulations**," Post-Print hal-00671920, HAL. - Stéphane Loisel, 2011.
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**Variable annuities and surrender risk**," Post-Print hal-00586456, 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. - Stéphane Loisel, 2011.
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**Théorie de la ruine en présence de risques corrélés**," Post-Print hal-00671918, 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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**Surrender risk and correlation crises**," Post-Print hal-00671919, 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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**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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- Stéphane Loisel, 2010.
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**Théorie de la ruine multivariée**," Post-Print hal-00540619, 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. - 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 & 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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**Dépendance stochastique en théorie du risque**," Post-Print hal-00469612, HAL. - Stéphane Loisel, 2010.
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**Solvabilité des compagnies d'assurance**," Post-Print hal-00540618, 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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**Understanding, modeling and managing longevity risk: some new challenges**," Post-Print hal-00426505, HAL. - Stéphane Loisel, 2009.
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**Correlation crises in risk theory, Solvency II and ERM**," Post-Print hal-00403675, 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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**Fonctions de pénalité en théorie du risque**," Post-Print hal-00397252, 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, 2009.
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**On some path-dependent correlation models in risk theory**," Post-Print hal-00397242, 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, 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 & Nicolas Privault, 2009.
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**Sensitivity analysis and density estimation for finite-time ruin probabilities**," Post-Print hal-00201347, 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, 2009.
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**Correlation crises, ruin probabilities and related issues in ERM and Solvency II**," Post-Print hal-00397125, 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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**Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings**," Post-Print hal-00397241, 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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**Correlation crises, model risk and ERM**," Post-Print hal-00441300, HAL. - Stéphane Loisel, 2009.
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**Solvency II: description, timeline, and update on current discussions**," Post-Print hal-00416215, 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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**On a class of non-Gerber-Shiu, non-discounted penalty functions**," Post-Print hal-00397239, 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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**In the Core of Longevity Risk: Dependence in Stochastic Mortality Models and Cut-offs in Prices of Longevity Swaps**," Post-Print hal-00397265, 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.
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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. - Stéphane Loisel, 2008.
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**Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle**," Post-Print hal-00397268, 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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**Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts**," Post-Print hal-00397264, 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, 2007.
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**Repositioning Enterprise Risk Management**," Post-Print hal-00397266, 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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**Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks**," Post-Print hal-00165776, HAL. - 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 & 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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**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, 2006.
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**Titrisation du risque de longévité**," Post-Print hal-00397282, 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, 2006.
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**Problems and numerical methods in insurance and finance**," Post-Print hal-00397281, 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. - 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.
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- Stéphane Loisel, 2005.
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**On the sensitivity analysis of some risk measures**," Post-Print hal-00397285, HAL. - Stéphane Loisel, 2005.
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**Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation**," Post-Print hal-00397287, 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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**Differentiation of some functionals of risk processes**," Post-Print hal-00157739, HAL. - Stéphane Loisel, 2005.
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**On Solvency issues for French and Vietnamese insurers**," Post-Print hal-00397293, 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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**Ruine, dividendes et allocation de réserve optimale**," Post-Print hal-00397291, 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.
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**Differentiation of functionals of risk processes and optimal reserve allocation**," Post-Print hal-00397288, HAL.

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

- Stéphane Loisel, 2006.
"
- Stéphane Loisel, 2005.
"
**Win-first probabilities and dividends with hazard rates**," Post-Print hal-00397297, HAL. - 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.
"

- 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.
"
- 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.
"
- 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 176-176, 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.
"
- 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.
"
- 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.
"
- 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, 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.
"
- 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.
"

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 36 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**(20) 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. 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-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

This author is among the top 5% authors according to these criteria:

- Number of Works
- Number of Distinct Works
- Number of Distinct Works, Weighted by Number of Authors
- Betweenness measure in co-authorship network

#### Most cited item

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

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

- 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.

#### Access and download statistics for all items

#### Co-authorship network on CollEc

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