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Stéphane Loisel

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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)
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  1. Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.
  2. 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.
  3. Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014. "Ruin problems with worsening risks or with infinite mean claims," Post-Print hal-00735843, HAL.
  4. Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2014. "Some characteristics of an equity security next-year impairment," Post-Print hal-00820929, HAL.
  5. Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013. "Convex extrema for nonincreasing discrete distributions: effects of convexity constraints," Working Papers hal-00912942, HAL.
  6. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.
  7. 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.
  8. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
  9. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on HeatWave Risk," Post-Print hal-00937071, HAL.
  10. 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.
  11. Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-00746245, HAL.
  12. Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2012. "Some mixing properties of conditionally independent processes," Working Papers hal-00670649, HAL.
  13. Yahia Salhi & Stéphane Loisel, 2012. "Basis risk modelling: a co-integration based approach," Working Papers hal-00746859, HAL.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Armelle Guillou & Stéphane Loisel & Gilles Stupfler, 2011. "Estimation of the parameters of a Markov-modulated loss process in insurance," Working Papers hal-00589696, HAL.
  22. Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.
  23. 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.
  24. Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
  25. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
  26. 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.
  27. Claude Lefèvre & Stéphane Loisel, 2010. "Stationary-excess operator and convex stochastic orders," Post-Print hal-00442047, HAL.
  28. 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.
  29. 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.
  30. 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.
  31. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
  32. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
  33. 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.
  34. 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.
  35. Stéphane Loisel, 2009. "A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins," Working Papers hal-00375715, HAL.
  36. 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.
  37. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
  38. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.
  39. 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.
  40. 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.
  41. 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.
  42. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.
  43. Stéphane Loisel, 2005. "Differentiation of some functionals of risk processes," Post-Print hal-00157739, HAL.
  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Lefèvre, Claude & Loisel, Stéphane, 2010. "Stationary-excess operator and convex stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.
  8. 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.
  9. 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.
  10. 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.
  11. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
  12. 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):
  1. NEP-COM: Industrial Competition (1) 2014-05-04
  2. NEP-DEM: Demographic Economics (1) 2012-11-17
  3. NEP-ECM: Econometrics (1) 2011-05-14
  4. NEP-ETS: Econometric Time Series (1) 2012-02-27
  5. NEP-FOR: Forecasting (1) 2012-11-17
  6. NEP-IAS: Insurance Economics (5) 2011-05-14 2011-05-14 2012-11-11 2013-03-16 2014-05-04. Author is listed
  7. NEP-ORE: Operations Research (1) 2011-05-14
  8. 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
  9. NEP-UPT: Utility Models & Prospect Theory (2) 2011-06-11 2014-05-04

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