Details about Stéphane Loisel

Access statistics for papers by Stéphane Loisel.

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Short-id: plo60

Working Papers

2021

1. Optimal prevention of large risks with two types of claims
   Post-Print, HAL

2020

2. Attitudes of supervisors with respect to AI and potential new insurance products
   Post-Print, HAL
3. Attitudes towards analytics in the insurance and banking sectors
   Post-Print, HAL
4. Bounding Basis-Risk Using s-convex Orders on Beta-unimodal Distributions
   Post-Print, HAL View citations (1)
   Also in Working Papers, HAL (2020) View citations (1)
5. Health-policyholder clustering using health consumption
   Post-Print, HAL
6. Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments
   Working Papers, HAL
7. Longevity risk and quickest detection problem: from theory to practice
   Post-Print, HAL
8. MODELISATION DES CHOCS BIOMERIQUES EN ASSURANCE DE PERSONNES
   Working Papers, HAL
9. On customer behaviour in insurance
   Post-Print, HAL
10. On customer behaviour in insurance and behavioural experiments
    Post-Print, HAL
11. On recent advances in sustainable actuarial science
    Post-Print, HAL
12. On ruin theory with prevention
    Post-Print, HAL
13. Optimal prevention strategies in the classical risk model
    Post-Print, HAL View citations (1)
    See also Journal Article Optimal prevention strategies in the classical risk model, Insurance: Mathematics and Economics, Elsevier (2020) View citations (1) (2020)
14. Quickest detection in practice in presence of seasonality: an illustration with call center data
    Post-Print, HAL
15. Quickest detection in presence of seasonality: an illustration with call center data
    Post-Print, HAL
16. Quickest detection of changes in actuarial assumptions and design of KRI’s in ERM
    Post-Print, HAL
17. Quickest detection of changes in longevity patterns
    Post-Print, HAL
18. Stable value: a contract at the interplay between insurance and finance
    Post-Print, HAL

2019

19. A longevity adventure with Nicole and LoLitA
    Post-Print, HAL
20. From cusum strategy to longevity risk indicators
    Post-Print, HAL
21. How to design KRI’s from cusum in practice?
    Post-Print, HAL
22. Insurance: Models, Digitalization, and Data Science
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (6)
    Also in Post-Print, HAL (2019) View citations (4)
23. Le prix du risque de longévité
    Post-Print, HAL
    See also Journal Article Le prix du risque de longévité, Revue d'économie financière, Association d'économie financière (2019) (2019)
24. Market inconsistencies of the MCEV
    Post-Print, HAL
25. Obfuscation and honesty, and their effect on distribution channel choices
    Post-Print, HAL
26. On detection and longevity
    Post-Print, HAL
27. On detection problems related to longevity risk management
    Post-Print, HAL
28. On insurtech innovations
    Post-Print, HAL
29. On quickest detection issues for longevity risk
    Post-Print, HAL
30. Partially Schur-constant models
    Post-Print, HAL View citations (2)
    See also Journal Article Partially Schur-constant models, Journal of Multivariate Analysis, Elsevier (2019) View citations (2) (2019)
31. Probabilités et coupe du monde féminine de la FIFA
    Post-Print, HAL
32. Quickest detection of actuarial assumptions and longevity risk management
    Post-Print, HAL
    Also in Post-Print, HAL (2019)
33. Quickest detection of change in intensity and longevity risk management
    Post-Print, HAL
    Also in Post-Print, HAL (2019)
    Post-Print, HAL (2019)
34. Reevaluation of the capital charge after a large shock
    Post-Print, HAL
35. Risque de longévité et surveillance de portefeuille
    Post-Print, HAL

2018

36. A Quantum-Type Approach to Non-Life Insurance Risk Modelling
    Post-Print, HAL View citations (2)
    See also Journal Article A Quantum-Type Approach to Non-Life Insurance Risk Modelling, Risks, MDPI (2018) View citations (3) (2018)
37. Asset-Liability Management for Long-Term Insurance Business
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (9)
    Also in Post-Print, HAL (2018) View citations (9)
38. Attitudes face au risque et face à l’analytics
    Post-Print, HAL
39. ERM and Analytics
    Post-Print, HAL
40. How to design longevity /mortality KRI’s from Cusum
    Post-Print, HAL
41. Longevity risk and capital markets: The 2015–16 update
    Post-Print, HAL View citations (2)
    See also Journal Article Longevity risk and capital markets: The 2015–16 update, Insurance: Mathematics and Economics, Elsevier (2018) View citations (2) (2018)
42. Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry
    Post-Print, HAL View citations (1)
    Also in Working Papers, HAL (2015) View citations (10)
    PSE Working Papers, HAL (2015) View citations (9)
    Débats économiques et financiers, Banque de France (2015) View citations (11)
    See also Journal Article Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry, The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan (2018) View citations (4) (2018)
43. Markov Property in Discrete Schur-constant Models
    Post-Print, HAL View citations (3)
44. Modélisation, surveillance et transfert du risque de longévité
    Post-Print, HAL
45. Monitoring actuarial assumptions in life insurance
    Post-Print, HAL
    Also in Post-Print, HAL (2017)
46. Mouvements des régiments sur le front durant toute la période de guerre: cartographie et choix stratégiques du haut commandement
    Post-Print, HAL
47. Obfuscation and Honesty Experimental Evidence on Insurance Demand with Multiple Distribution Channels
    Working Papers, HAL
48. On discrete Schur-constant vectors, with applications
    Post-Print, HAL
49. On the reevaluation of the Solvency Capital Requirement after a large shock
    Post-Print, HAL
    Also in Post-Print, HAL (2018)
50. Recent longevity transfer solutions
    Post-Print, HAL
51. Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views
    Post-Print, HAL
    Also in Post-Print, HAL (2017) View citations (5)
    Post-Print, HAL (2015)
    Post-Print, HAL (2014)
    Post-Print, HAL (2018)
    Débats économiques et financiers, Banque de France (2017) View citations (5)
    Post-Print, HAL (2017) View citations (4)
    Post-Print, HAL (2017) View citations (4)
    LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2017) View citations (6)
    EIOPA Financial Stability Report - Thematic Articles, EIOPA, Risks and Financial Stability Department (2017) View citations (3)
52. Solutions to biometric, mortality and longevity risk
    Post-Print, HAL

2017

53. Basis risk modelling: a co-integration based approach
    Post-Print, HAL View citations (5)
54. Data analytics and innovations in insurance
    Post-Print, HAL
55. Discrete Schur-Constant Models in Insurance
    Post-Print, HAL
56. La captive, un outil d'Enterprise Risk Management toujours efficient sous Solvabilité II?
    Post-Print, HAL
57. Le risque de longévité est-il assurable ?
    Post-Print, HAL
    See also Journal Article Le risque de longévité est-il assurable ?, Revue d'économie financière, Association d'économie financière (2017) (2017)
58. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    Post-Print, HAL View citations (18)
59. Monitoring actuarial assumptions in insurance
    Post-Print, HAL
60. On finite exchangeable sequences and their dependence
    Post-Print, HAL View citations (1)
61. Quickest detection of change in actuarial assumptions
    Post-Print, HAL
62. Short course on ERM
    Post-Print, HAL
63. Strategies optimales de détection rapide de rupture pour une classe de processus ponctuels
    Post-Print, HAL

2016

64. ERM for insurance companies
    Post-Print, HAL
65. Ex-ante Model Validation and Back-Testing
    Post-Print, HAL View citations (1)
66. Models and Behaviour of Stakeholders
    Post-Print, HAL
67. Old-Age Provision: Past, Present, Future
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    Also in Post-Print, HAL (2016) View citations (1)
68. Online monitoring of actuarial assumptions
    Post-Print, HAL
    Also in Post-Print, HAL (2016)
69. Online monitoring of longevity and actuarial assumptions
    Post-Print, HAL
    Also in Post-Print, HAL (2016)
70. Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions
    Post-Print, HAL
    See also Journal Article Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions, Insurance: Mathematics and Economics, Elsevier (2016) (2016)
71. Quickest detection of some changes in longevity patterns
    Post-Print, HAL
    Also in Post-Print, HAL (2014)
72. Quickest detection strategy for changes in longevity patterns and longevity risk management
    Post-Print, HAL
73. Several problems in ruin theory
    Post-Print, HAL
74. Some mixing properties of conditionally independent processes
    Post-Print, HAL
    See also Journal Article Some mixing properties of conditionally independent processes, Communications in Statistics - Theory and Methods, Taylor & Francis Journals (2016) (2016)
75. Vision conditionnelle du monde dans les stress tests et révision des hypothèses actuarielles
    Post-Print, HAL
76. Wind Storm Risk Management
    Working Papers, HAL View citations (2)

2015

77. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
    Post-Print, HAL View citations (1)
78. Discrete Schur-constant models
    Post-Print, HAL View citations (7)
    See also Journal Article Discrete Schur-constant models, Journal of Multivariate Analysis, Elsevier (2015) View citations (11) (2015)
79. Do actuaries believe in longevity deceleration?
    Working Papers, HAL View citations (3)
    See also Journal Article Do actuaries believe in longevity deceleration?, Insurance: Mathematics and Economics, Elsevier (2018) View citations (2) (2018)
80. ERM and Solvency II
    Post-Print, HAL
81. Index for predicting insurance claims from wind storms with an application in France
    Post-Print, HAL View citations (1)
82. Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobile
    Post-Print, HAL
83. Measuring mortality heterogeneity with multi-state models and interval-censored data
    Working Papers, HAL
    See also Journal Article Measuring mortality heterogeneity with multi-state models and interval-censored data, Insurance: Mathematics and Economics, Elsevier (2017) (2017)
84. Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate
    Working Papers, HAL
85. On a quickest detection problem for longevity risk with two populations
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
86. On some longevity modelling and monitoring issues
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
    Post-Print, HAL (2015)
    Post-Print, HAL (2015)
87. On some robustness and some uncertainty issues in ruin theory
    Post-Print, HAL
    Also in Post-Print, HAL (2015)
88. Phase-type aging modeling for health dependent costs
    Post-Print, HAL View citations (1)
    See also Journal Article Phase-type aging modeling for health dependent costs, Insurance: Mathematics and Economics, Elsevier (2015) View citations (2) (2015)
89. Some characteristics of an equity security next-year impairment
    Post-Print, HAL View citations (5)
    See also Journal Article Some characteristics of an equity security next-year impairment, Review of Quantitative Finance and Accounting, Springer (2015) View citations (5) (2015)

2014

90. A game-theoretic approach to non-life insurance markets
    Post-Print, HAL
    Also in Post-Print, HAL (2012)
91. A survey of some recent results on Risk Theory
    Post-Print, HAL
92. Fast Change Detection on Proportional Two-Population Hazard Rates
    Post-Print, HAL
    Also in Post-Print, HAL (2014)
    Post-Print, HAL (2014)
    Post-Print, HAL (2014)
93. Impairments of financial securities & News from LoLitA
    Post-Print, HAL
94. Key Risk Indicators and quickest detection problems
    Post-Print, HAL
95. Mesures de risque et theorie de la ruine
    Post-Print, HAL
96. On Schur-constant models
    Post-Print, HAL
97. Properties of a risk measure derived from the expected area in red
    Post-Print, HAL View citations (8)
    See also Journal Article Properties of a risk measure derived from the expected area in red, Insurance: Mathematics and Economics, Elsevier (2014) View citations (8) (2014)
98. Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation
    Post-Print, HAL View citations (9)
99. Ruin problems with worsening risks or with infinite mean claims
    Post-Print, HAL
100. Ruin theory with correlated risks, or with worsening claims Bonus: Longevity meets ruin theory
     Post-Print, HAL
     Also in Post-Print, HAL (2014)
101. Solvabilité
     Post-Print, HAL
102. Théorie de la ruine
     Post-Print, HAL
103. Théorie de la ruine multivariée
     Post-Print, HAL
     Also in Post-Print, HAL (2010)
104. Understanding, modeling and managing longevity risk
     Post-Print, HAL

2013

105. Competition among non-life insurers under solvency constraints: A game-theoretic approach
     Post-Print, HAL View citations (19)
     Also in Post-Print, HAL (2013) View citations (16)
     See also Journal Article Competition among non-life insurers under solvency constraints: A game-theoretic approach, European Journal of Operational Research, Elsevier (2013) View citations (16) (2013)
106. Convex extrema for nonincreasing discrete distributions: effects of convexity constraints
     Working Papers, HAL
107. Impact of Climate Change on HeatWave Risk
     Post-Print, HAL
     See also Journal Article Impact of Climate Change on Heat Wave Risk, Risks, MDPI (2013) View citations (1) (2013)
108. On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
     Post-Print, HAL View citations (5)
     Also in Post-Print, HAL (2013) View citations (5)
     See also Journal Article On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing, Insurance: Mathematics and Economics, Elsevier (2013) View citations (5) (2013)
109. On multiply monotone distributions, continuous or discrete, with applications
     Post-Print, HAL View citations (14)
110. Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments
     Post-Print, HAL View citations (5)

2012

111. Acceleration techniques of nested simulations in insurance
     Post-Print, HAL
112. Dependence models in risk theory
     Post-Print, HAL
113. From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
     Post-Print, HAL
     Also in Post-Print, HAL (2011) View citations (22)
     See also Journal Article From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital, European Journal of Operational Research, Elsevier (2011) View citations (23) (2011)
114. 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
115. ORSA et mesures de risque multi-périodiques
     Post-Print, HAL
116. ORSA in Europe and in North America
     Post-Print, HAL
117. On ruin for worsening claims
     Post-Print, HAL
118. On ruin models with correlated risks
     Post-Print, HAL
119. On ruin models with dependence
     Post-Print, HAL
120. On ruin models with dependent risks
     Post-Print, HAL
     Also in Post-Print, HAL (2011) View citations (1)
121. On some practical correlation issues in Enterprise Risk Management
     Post-Print, HAL
122. On the domain of validity of the DeVylder-Goovaerts conjecture
     Post-Print, HAL
123. Problématiques de théorie de la ruine en univers multivarié
     Post-Print, HAL
124. Quelques problématiques de mathématiques appliquées à l'actuariat
     Post-Print, HAL
125. Risques corrélés en théorie du risque
     Post-Print, HAL
126. Ruin probabilities with correlated claims
     Post-Print, HAL
127. Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean
     Post-Print, HAL
128. Ruin theory with dependent risks
     Post-Print, HAL
129. Théorie de la ruine et risques corrélés
     Post-Print, HAL
130. Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges
     Post-Print, HAL View citations (45)
     Also in Post-Print, HAL (2010) View citations (2)
131. Why ruin theory should be of interest for insurance practitioners and risk managers nowadays
     Post-Print, HAL View citations (8)

2011

132. 7 lectures on Enterprise Risk Management
     Post-Print, HAL
133. Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings
     Post-Print, HAL View citations (3)
     See also Journal Article Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings, Applied Stochastic Models in Business and Industry, John Wiley & Sons (2011) (2011)
134. Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis
     Post-Print, HAL
135. Cours Bachelier sur le risque de longévité
     Post-Print, HAL
136. Explicit ruin formulas for dependent risks
     Post-Print, HAL View citations (4)
137. Explicit ruin formulas for models with dependence among risks
     Post-Print, HAL View citations (56)
     See also Journal Article Explicit ruin formulas for models with dependence among risks, Insurance: Mathematics and Economics, Elsevier (2011) View citations (56) (2011)
138. Explicit ruin probabilities with dependent risks
     Post-Print, HAL View citations (2)
139. Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management
     Post-Print, HAL View citations (5)
140. Méthodes d'accélération de la méthode des simulations dans les simulations
     Post-Print, HAL
141. On finite-time ruin probabilities with reinsurance cycles influenced by large claims
     Post-Print, HAL View citations (2)
142. On some risk models with dependence
     Post-Print, HAL
143. On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula
     Post-Print, HAL View citations (15)
     See also Journal Article On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula, ASTIN Bulletin, Cambridge University Press (2011) View citations (15) (2011)
144. Surrender risk and correlation crises
     Post-Print, HAL View citations (21)
145. Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?
     Post-Print, HAL View citations (12)
146. Théorie de la ruine en présence de risques corrélés
     Post-Print, HAL
147. Understanding and managing longevity risk
     Post-Print, HAL View citations (1)
148. Variable annuities and surrender risk
     Post-Print, HAL

2010

149. Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
     Post-Print, HAL View citations (8)
150. Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA
     Working Papers, HAL View citations (3)
151. Dépendance stochastique en théorie du risque
     Post-Print, HAL
152. Joint modeling of portfolio experienced and national mortality: A co-integration based approach
     Post-Print, HAL View citations (2)
153. Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise
     Post-Print, HAL View citations (5)
154. Solvabilité des compagnies d'assurance
     Post-Print, HAL
155. Stationary-excess operator and convex stochastic orders
     Post-Print, HAL View citations (7)
     See also Journal Article Stationary-excess operator and convex stochastic orders, Insurance: Mathematics and Economics, Elsevier (2010) View citations (7) (2010)

2009

156. A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins
     Working Papers, HAL View citations (1)
157. Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings
     Post-Print, HAL
158. 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 View citations (6)
159. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
     Post-Print, HAL View citations (4)
     Also in Post-Print, HAL (2007) View citations (1)
     See also Journal Article Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes, Insurance: Mathematics and Economics, Elsevier (2009) View citations (3) (2009)
160. Correlation crises in risk theory, Solvency II and ERM
     Post-Print, HAL
161. Correlation crises, model risk and ERM
     Post-Print, HAL
162. Correlation crises, ruin probabilities and related issues in ERM and Solvency II
     Post-Print, HAL
163. Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities
     Post-Print, HAL View citations (16)
164. Fonctions de pénalité en théorie du risque
     Post-Print, HAL
165. Les risques et leur agrégation dans Solvabilité II et en ERM
     Post-Print, HAL
166. On some path-dependent correlation models in risk theory
     Post-Print, HAL
167. Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?
     Post-Print, HAL View citations (16)
168. Risk aggregation in Solvency II: bridging the gap between standard formula and internal risk models
     Post-Print, HAL
169. Ruin probabilities with Bühlmann credibility adjusted premiums
     Post-Print, HAL
170. Sensitivity analysis and density estimation for finite-time ruin probabilities
     Post-Print, HAL View citations (4)
171. Solvency II: description, timeline, and update on current discussions
     Post-Print, HAL
172. Understanding, modeling and managing longevity risk: some new challenges
     Post-Print, HAL

2008

173. Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts
     Post-Print, HAL
174. Bootstrapped Finite-Time Ruin Probabilities with Partly Shifted Risk Processes
     Post-Print, HAL
175. From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM
     Post-Print, HAL View citations (2)
176. From Solvency II to ERM: tools, practical issues and research perspectives
     Post-Print, HAL
177. Impact of correlation crises in risk theory
     Post-Print, HAL View citations (9)
178. In the Core of Longevity Risk: Dependence in Stochastic Mortality Models and Cut-offs in Prices of Longevity Swaps
     Post-Print, HAL
179. In the core of longevity risk: hidden dependence in stochastic mortality models and cut‐offs in prices of longevity swaps
     Post-Print, HAL
     Also in Post-Print, HAL (2007) View citations (5)
     Working Papers, HAL (2007) View citations (5)
180. Inter-age correlation in stochastic mortality models
     Post-Print, HAL View citations (1)
181. On Finite-Time Ruin Probabilities for Classical Risk Models
     Post-Print, HAL View citations (23)
182. On a class of non-Gerber-Shiu, non-discounted penalty functions
     Post-Print, HAL
183. On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level
     Post-Print, HAL View citations (1)
184. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
     Post-Print, HAL View citations (8)
     See also Journal Article Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin, Insurance: Mathematics and Economics, Elsevier (2008) View citations (8) (2008)
185. Théorie de la ruine: introduction et exemples
     Post-Print, HAL
186. Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle
     Post-Print, HAL

2007

187. Analyse de la robustesse de la probabilité de ruine en temps fini, et marge de solvabilité pour risque d'estimation
     Post-Print, HAL
188. Dépendance stochastique et mesures de risque
     Post-Print, HAL
189. Repositioning Enterprise Risk Management
     Post-Print, HAL
190. Ruin Theory with K Lines of Business
     Post-Print, HAL View citations (2)
     Also in Post-Print, HAL (2004) View citations (1)
191. Sensitivity analysis and optimal reserve allocation in risk theory
     Post-Print, HAL
     Also in Post-Print, HAL (2006)
192. Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks
     Post-Print, HAL View citations (3)

2006

193. Differentiation of some functionals of risk processes and optimal reserve allocation
     Post-Print, HAL
     Also in Post-Print, HAL (2006)
     Post-Print, HAL (2005) View citations (20)
     Post-Print, HAL (2006)
194. Problems and numerical methods in insurance and finance
     Post-Print, HAL
195. Titrisation du risque de longévité
     Post-Print, HAL

2005

196. Differentiation of functionals of risk processes and optimal reserve allocation
     Post-Print, HAL View citations (18)
     Also in Post-Print, HAL (2005) View citations (19)
197. Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation
     Post-Print, HAL View citations (11)
198. Differentiation of some functionals of risk processes
     Post-Print, HAL View citations (23)
199. Différentiation de fonctionnelles de processus de risque et allocation de réserve optimale
     Post-Print, HAL
200. On Solvency issues for French and Vietnamese insurers
     Post-Print, HAL
201. On the sensitivity analysis of some risk measures
     Post-Print, HAL
202. Problèmes liés à la prise en compte de l'effet de diversification dans le cadre de Solvabilité II
     Post-Print, HAL
203. Ruine, dividendes et allocation de réserve optimale
     Post-Print, HAL
204. Sensitivity analysis of the finite-time ruin probability and of some other risk measures
     Post-Print, HAL
205. The win-first probability under interest force
     Post-Print, HAL View citations (3)
     See also Journal Article The win-first probability under interest force, Insurance: Mathematics and Economics, Elsevier (2005) View citations (2) (2005)
206. Win-first probabilities and dividends with hazard rates
     Post-Print, HAL

2004

207. Another look at the Picard-Lefèvre formula for finite-time ruin probabilities
     Post-Print, HAL View citations (9)
     See also Journal Article Another look at the Picard-Lefevre formula for finite-time ruin probabilities, Insurance: Mathematics and Economics, Elsevier (2004) View citations (23) (2004)

Journal Articles

2020

1. Optimal prevention strategies in the classical risk model
   Insurance: Mathematics and Economics, 2020, 91, (C), 202-208 View citations (1)
   See also Working Paper Optimal prevention strategies in the classical risk model, Post-Print (2020) View citations (1) (2020)
2. Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect
   Risks, 2020, 9, (1), 1-18

2019

3. Le prix du risque de longévité
   Revue d'économie financière, 2019, N° 133, (1), 129-145
   See also Working Paper Le prix du risque de longévité, Post-Print (2019) (2019)
4. Partially Schur-constant models
   Journal of Multivariate Analysis, 2019, 172, (C), 47-58 View citations (2)
   See also Working Paper Partially Schur-constant models, Post-Print (2019) View citations (2) (2019)

2018

5. A Quantum-Type Approach to Non-Life Insurance Risk Modelling
   Risks, 2018, 6, (3), 1-17 View citations (3)
   See also Working Paper A Quantum-Type Approach to Non-Life Insurance Risk Modelling, Post-Print (2018) View citations (2) (2018)
6. Do actuaries believe in longevity deceleration?
   Insurance: Mathematics and Economics, 2018, 78, (C), 325-338 View citations (2)
   See also Working Paper Do actuaries believe in longevity deceleration?, Working Papers (2015) View citations (3) (2015)
7. Longevity risk and capital markets: The 2015–16 update
   Insurance: Mathematics and Economics, 2018, 78, (C), 157-173 View citations (2)
   See also Working Paper Longevity risk and capital markets: The 2015–16 update, Post-Print (2018) View citations (2) (2018)
8. Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry
   The Geneva Papers on Risk and Insurance - Issues and Practice, 2018, 43, (3), 420-455 View citations (4)
   See also Working Paper Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry, Post-Print (2018) View citations (1) (2018)

2017

9. Le risque de longévité est-il assurable ?
   Revue d'économie financière, 2017, N° 126, (2), 107-122
   See also Working Paper Le risque de longévité est-il assurable ?, Post-Print (2017) (2017)
10. Measuring mortality heterogeneity with multi-state models and interval-censored data
    Insurance: Mathematics and Economics, 2017, 72, (C), 67-82
    See also Working Paper Measuring mortality heterogeneity with multi-state models and interval-censored data, Working Papers (2015) (2015)

2016

11. Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions
    Insurance: Mathematics and Economics, 2016, 68, (C), 61-72
    See also Working Paper Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions, Post-Print (2016) (2016)
12. Some mixing properties of conditionally independent processes
    Communications in Statistics - Theory and Methods, 2016, 45, (5), 1241-1259
    See also Working Paper Some mixing properties of conditionally independent processes, Post-Print (2016) (2016)

2015

13. Discrete Schur-constant models
    Journal of Multivariate Analysis, 2015, 140, (C), 343-362 View citations (11)
    See also Working Paper Discrete Schur-constant models, Post-Print (2015) View citations (7) (2015)
14. Phase-type aging modeling for health dependent costs
    Insurance: Mathematics and Economics, 2015, 62, (C), 173-183 View citations (2)
    See also Working Paper Phase-type aging modeling for health dependent costs, Post-Print (2015) View citations (1) (2015)
15. Some characteristics of an equity security next-year impairment
    Review of Quantitative Finance and Accounting, 2015, 45, (1), 111-135 View citations (5)
    See also Working Paper Some characteristics of an equity security next-year impairment, Post-Print (2015) View citations (5) (2015)

2014

16. Properties of a risk measure derived from the expected area in red
    Insurance: Mathematics and Economics, 2014, 55, (C), 191-199 View citations (8)
    See also Working Paper Properties of a risk measure derived from the expected area in red, Post-Print (2014) View citations (8) (2014)

2013

17. Competition among non-life insurers under solvency constraints: A game-theoretic approach
    European Journal of Operational Research, 2013, 231, (3), 702-711 View citations (16)
    See also Working Paper Competition among non-life insurers under solvency constraints: A game-theoretic approach, Post-Print (2013) View citations (19) (2013)
18. Estimation of the parameters of a Markov-modulated loss process in insurance
    Insurance: Mathematics and Economics, 2013, 53, (2), 388-404 View citations (8)
19. Impact of Climate Change on Heat Wave Risk
    Risks, 2013, 1, (3), 1-16 View citations (1)
    See also Working Paper Impact of Climate Change on HeatWave Risk, Post-Print (2013) (2013)
20. On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
    Insurance: Mathematics and Economics, 2013, 53, (3), 774-785 View citations (5)
    See also Working Paper On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing, Post-Print (2013) View citations (5) (2013)

2011

21. Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings
    Applied Stochastic Models in Business and Industry, 2011, 27, (5), 503-518
    See also Working Paper Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings, Post-Print (2011) View citations (3) (2011)
22. Explicit ruin formulas for models with dependence among risks
    Insurance: Mathematics and Economics, 2011, 48, (2), 265-270 View citations (56)
    See also Working Paper Explicit ruin formulas for models with dependence among risks, Post-Print (2011) View citations (56) (2011)
23. From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital
    European Journal of Operational Research, 2011, 214, (2), 348-357 View citations (23)
    See also Working Paper From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital, Post-Print (2012) (2012)
24. On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula
    ASTIN Bulletin, 2011, 41, (1), 215-238 View citations (15)
    See also Working Paper On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula, Post-Print (2011) View citations (15) (2011)

2010

25. Stationary-excess operator and convex stochastic orders
    Insurance: Mathematics and Economics, 2010, 47, (1), 64-75 View citations (7)
    See also Working Paper Stationary-excess operator and convex stochastic orders, Post-Print (2010) View citations (7) (2010)

2009

26. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes
    Insurance: Mathematics and Economics, 2009, 45, (3), 374-381 View citations (3)
    See also Working Paper Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes, Post-Print (2009) View citations (4) (2009)

2008

27. 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, 2008, 43, (3), 412-421 View citations (11)
28. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin
    Insurance: Mathematics and Economics, 2008, 42, (2), 746-762 View citations (8)
    See also Working Paper Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin, Post-Print (2008) View citations (8) (2008)

2005

29. The win-first probability under interest force
    Insurance: Mathematics and Economics, 2005, 37, (3), 421-442 View citations (2)
    See also Working Paper The win-first probability under interest force, Post-Print (2005) View citations (3) (2005)

2004

30. Another look at the Picard-Lefevre formula for finite-time ruin probabilities
    Insurance: Mathematics and Economics, 2004, 35, (2), 187-203 View citations (23)
    See also Working Paper Another look at the Picard-Lefèvre formula for finite-time ruin probabilities, Post-Print (2004) View citations (9) (2004)