Nombre de documents

150

CV de Stéphane Loisel


Pré-publication, Document de travail19 documents

  • Alexandre Mornet, Thomas Opitz, Michel Luzi, Stéphane Loisel. Wind Storm Risk Management : Sensitivity of Return Period Calculations and Spread on the Territory. 2016. <hal-01299692>
  • Alexandre Boumezoued, Nicole El Karoui, Stéphane Loisel. Measuring mortality heterogeneity with multi-state models and interval-censored data. 2015. <hal-01215350>
  • Nicole El Karoui, Stéphane Loisel, Jean-Luc Prigent, Julien Vedani. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions. 2015. <hal-01242023>
  • Nicole El Karoui, Stéphane Loisel, Yahia Salhi. Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate. 2015. <hal-01149749>
  • Edouard Debonneuil, Frédéric Planchet, Stéphane Loisel. Do actuaries believe in longevity deceleration?. 2015. <hal-01219270>
  • Fabrice Borel-Mathurin, Pierre-Emmanuel Darpeix, Quentin Guibert, Stéphane Loisel. Main Determinants of Profit Sharing Policy in the French Life Insurance Industry. PSE Working Papers n°2015-16. 2015. <halshs-01165475>
  • Maria Govorun, Guy Latouche, Stéphane Loisel. Phase-type aging modeling for health dependent costs. 2014. <hal-01084274>
  • Armelle Guillou, Stéphane Loisel, Gilles Stupfler. Estimating the parameters of a seasonal Markov-modulated Poisson process. 2014. <hal-00965279v1>
  • Anna Castañer, Maria Mercè Claramunt, Claude Lefèvre, Stéphane Loisel. Discrete Schur-constant models. 2014. <hal-01081756>
  • Pierre-Olivier Goffard, Stéphane Loisel, Denys Pommeret. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. 2014. <hal-00853680v2>
  • Alexandre Mornet, Thomas Opitz, Michel Luzi, Stéphane Loisel. Construction of an Index that links Wind Speeds and Strong Claim Rate of Insurers after a Storm in France. 2014. <hal-01081758>
  • Alexandre Mornet, Patrick Leveillard, Stéphane Loisel. Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobile. 2014. <hal-01081759>
  • Manel Kacem, Claude Lefèvre, Stéphane Loisel. Convex extrema for nonincreasing discrete distributions: effects of convexity constraints. 15. 2013. <hal-00912942>
  • Yahia Salhi, Stéphane Loisel. Basis risk modelling: a co-integration based approach. 2012. <hal-00746859>
  • Harry Bensusan, Nicole El Karoui, Stéphane Loisel, Yahia Salhi. Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions. 2012. <hal-00768526>
  • Armelle Guillou, Stéphane Loisel, Gilles Stupfler. Estimation of the parameters of a Markov-modulated loss process in insurance. 2011. <hal-00589696>
  • Stéphane Loisel, Pierre Arnal, Romain Durand. Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA. 2010. <hal-00502848>
  • Stéphane Loisel. A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins: Testing Gaussian copula hypothesis for all pairs of assets is not the same as testing higher-dimensional Gaussian copula hypothesis for the whole portfolio. 2009. <hal-00375715>
  • Stéphane Loisel, Daniel Serant. In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps. Cahier de Recherche de l'ISFA WP2044 (2007). 2007. <hal-00201393>

Communication dans un congrès89 documents

  • Stéphane Loisel. Ruin probabilities with correlated claims. Latin America Operations Research Conference, Mar 2012, La Havane, Cuba. <hal-00723921>
  • Stéphane Loisel. Introduction à quelques problèmes de théorie du risque. Séminaire de probabilités et statistiques, Jun 2012, Besançon, France. <hal-00723926>
  • Stéphane Loisel. Théorie de la ruine et risques corrélés. Séminaire de statistique du CREST, Jun 2012, Paris, France. <hal-00723928>
  • Stéphane Loisel. On ruin models with dependence. Actuarial and Financial Mathematics Conference, Feb 2012, Bruxelles, Belgium. <hal-00723918>
  • Stéphane Loisel. Dependence models in risk theory. Risk and Stochastics Conference, Mar 2012, Londres, United Kingdom. <hal-00723919>
  • Stéphane Loisel. ORSA in Europe and in North America. ERM Symposium, Apr 2012, Washington, United States. <hal-00723922>
  • Stéphane Loisel. Quelques problématiques de mathématiques appliquées à l'actuariat.. Séminaire de mathématiques actuarielles et financières Le Mans-Lyon, May 2012, Le Mans, France. <hal-00723924>
  • Stéphane Loisel. Risques corrélés en théorie du risque. Séminaire de mathématiques de Toulouse School of Economics, Jun 2012, Toulouse, France. <hal-00723927>
  • Stéphane Loisel. On the domain of validity of the DeVylder-Goovaerts conjecture. IME Conference, Jun 2012, Hong Kong, China. <hal-00723930>
  • Stéphane Loisel. ORSA et mesures de risque multi-périodiques. Université d'été de l'Institut des Actuaires, Jul 2012, Brest, France. <hal-00723931>
  • Stéphane Loisel. On ruin models with dependent risks. Bachelier Colloquium, Jan 2012, Métabief, France. <hal-00723920>
  • Stéphane Loisel, Hans-U. Gerber. Why ruin theory should be of interest for insurance practitioners and risk managers nowadays. Actuarial and Financial Mathematics, Feb 2012, Bruxelles, Belgium. pp.17-21, 2012. <hal-00746231>
  • Stéphane Loisel. Ruin probability for some particular correlated claims, for worsening risks, or risks with infinite mean. Interplay between Probability and Actuarial Sciences, Oct 2012, Bruxelles, Belgium. <hal-00746257>
  • Stéphane Loisel. Acceleration techniques of nested simulations in insurance. Sequential Monte Carlo methods and Efficient simulation in Finance, Oct 2012, Palaiseau, France. <hal-00746258>
  • Stéphane Loisel. On ruin for worsening claims. Conference on Extremes and Risk Management, Sep 2012, Cergy-Pontoise, France. <hal-00746261>
  • Stéphane Loisel. On some practical correlation issues in Enterprise Risk Management. Swiss Actuarial Association General Assembly, Sep 2012, Martigny, Switzerland. <hal-00746262>
  • Stéphane Loisel. Problématiques de théorie de la ruine en univers multivarié. Journées MAS de la SMAI, Aug 2012, Clermont-Ferrand, France. <hal-00746265>
  • Stéphane Loisel. A game-theoretic approach to non-life insurance markets. ASTIN Colloquium, Oct 2012, Mexico, Mexico. <hal-00746267>
  • Stéphane Loisel. From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital. Conference of the LIFE Section of the International Actuarial Association, Oct 2012, Mexico, Mexico. <hal-00746268>
  • Stéphane Loisel. Théorie de la ruine en présence de facteurs de corrélation. Rencontres de statistiques Avignon-Marseille, Jun 2012, Marseille, France. <hal-00723929>
  • Stéphane Loisel. On ruin models with correlated risks. Bachelier colloquium, Jan 2012, Métabief, France. <hal-00671921>
  • Stéphane Loisel. Ruin theory with dependent risks. Actuarial and Financial Mathematics Conference, Feb 2012, Bruxelles, Belgium. <hal-00671922>
  • Stéphane Loisel. Cours Bachelier sur le risque de longévité. Cours Bachelier, Jan 2011, Paris, France. <hal-00566486>
  • Stéphane Loisel. On risk theory with dependent risks. Séminaire de statistique de Luminy, Jan 2011, Marseille, France. <hal-00566494>
  • Stéphane Loisel. Explicit ruin formulas for dependent risks. Applied Stochastic Models and Data Analysis, Jun 2011, Rome, Italy. <hal-00600093>
  • Stéphane Loisel. An introduction to risk theory with emphasis on dependent risks. Séminaire de mathématiques du CMM, Université du Chili, Apr 2011, Santiago du Chili, Chile. <hal-00589694>
  • Stéphane Loisel. Understanding and managing longevity risk. DFVGM Scientific Day, Apr 2011, Berlin, Germany. <hal-00589695>
  • Stéphane Loisel. Théorie de la ruine en présence de risques corrélés. Journée SMAI-SFDS Fiabilité et Actuariat, Nov 2011, Toulouse, France. <hal-00671918>
  • Stéphane Loisel. On ruin models with dependent risks. Séminaire de mathématiques actuarielles et financières de Montréal (à l'UQAM), Nov 2011, Montréal, Canada. <hal-00671926>
  • Stéphane Loisel. Explicit ruin probabilities with dependent risks. Insurance: Mathematics and Economics Conference, Jun 2011, Trieste, Italy. <hal-00671923>
  • Stéphane Loisel. 7 lectures on Enterprise Risk Management. Summer School of the Institute of Actuaries of Belgium, Sep 2011, Leuven, Belgium. <hal-00671924>
  • Stéphane Loisel. Comprendre, modéliser et gérer le risque de longévité: enjeux importants et principaux défis. Séminaire du laboratoire de modélisation et quantification des risques en actuariat de l'Université Laval, Nov 2011, Québec, Canada. <hal-00671925>
  • Stéphane Loisel. Surrender risk and correlation crises. Conférence de remise des prix Lloyd's Science of Risk, Nov 2011, Londres, United Kingdom. <hal-00671919>
  • Stéphane Loisel. Méthodes d'accélération de la méthode des simulations dans les simulations.. Conférence 2011 de la chaire de recherche Management de la Modélisation, Dec 2011, Lyon, France. <hal-00671920>
  • Stéphane Loisel. On some risk models with dependence. UNSW Actuarial Science Seminar, Mar 2011, Sydney, Australia. <hal-00586457>
  • Stéphane Loisel. Variable annuities and surrender risk. International Financial Risks Forum, Feb 2011, Paris, France. <hal-00586456>
  • Stéphane Loisel. Risk theory with dependent risks. Séminaire de statistique de l'IRMA, Apr 2011, Strasbourg, France. <hal-00586458>
  • Stéphane Loisel. Ruin probabilities for some mixture models. Queuing networks and related fields III, May 2011, Bedlewo, Poland. <hal-00598180>
  • Stéphane Loisel. Joint modeling of portfolio experienced and national mortality: A co-integration based approach. International Workshop on Applied Probability, Jul 2010, Madrid, Spain. <hal-00502852>
  • Xavier Milhaud, Stéphane Loisel, Véronique Maume-Deschamps. Facteurs explicatifs du rachat en Assurance-Vie : classification et prévisions du risque de rachat. 42èmes Journées de Statistique, 2010, Marseille, France, France. 2010. <inria-00494798>
  • Stéphane Loisel. Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges. Longevity 6, Sep 2010, Sydney, Australia. <hal-00517902>
  • Stéphane Loisel. Dépendance stochastique en théorie du risque. Groupe de travail Probabilités Numériques et Finance, Univ. Paris 6 et Paris 7, Apr 2010, Paris, France. <hal-00469612>
  • Stéphane Loisel. Solvabilité des compagnies d'assurance. Journées d'Etude en Statistique: approche statistique du risque, Nov 2010, Luminy, Marseille, France. <hal-00540618>
  • Stéphane Loisel. Théorie de la ruine multivariée. Journées d'Etude en Statistique: approche statistique du risque, Nov 2010, Luminy, Marseille, France. <hal-00540619>
  • Stéphane Loisel. Ruin probabilities with Bühlmann credibility adjusted premiums. Séminaire de Statistiques de l'IRMA, Nov 2009, Strasbourg, France. <hal-00431263>
  • Stéphane Loisel. Risk aggregation in Solvency II : bridging the gap between standard formula and internal risk models. 2do Simposio en Actuaria, Sep 2009, Bogota, Colombia. <hal-00416216>
  • Stéphane Loisel. Solvency II: description, timeline, and update on current discussions. 2do Simposio en Actuaria, Sep 2009, Bogota, Colombia. <hal-00416215>
  • Stéphane Loisel. Understanding, modeling and managing longevity risk: some new challenges. Journées d'Economie et d'économétrie de l'assurance, Oct 2009, Rennes, France. <hal-00426505>
  • Stéphane Loisel. Correlation crises, model risk and ERM. Australasian Actuarial Education and Research Symposium, Dec 2009, Sydney, Australia. <hal-00441300>
  • Stéphane Loisel. Correlation crises in risk theory, Solvency II and ERM. Actuarial Seminar, UCL, Jul 2009, Louvain la Neuve, Belgium. <hal-00403675>
  • Stéphane Loisel. Correlation crises, ruin probabilities and related issues in ERM and Solvency II. ERM Symposium, Apr 2009, Chicago, United States. <hal-00397125>
  • Stéphane Loisel. Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings. 13th International Congress on Insurance: Mathematics and Economics (IME2009), May 2009, Istanbul, Turkey. <hal-00397241>
  • Stéphane Loisel. On some path-dependent correlation models in risk theory. Workshop in honour of Hans Gerber (2bornot2b Conference), Jun 2009, Lausanne, Switzerland. <hal-00397242>
  • Stéphane Loisel. Les risques et leur agrégation dans Solvabilité II et en ERM. Risk Management dans l'assurance: au delà des outils, quel rôle de la gouvernance ?, Jun 2009, Paris, France. <hal-00397256>
  • Stéphane Loisel. Fonctions de pénalité en théorie du risque. 2èmes journées du projet AST&Risk, Jan 2009, Nanterre, France. <hal-00397252>
  • Stéphane Loisel. In the core of longevity risk: hidden dependence in stochastic mortality models and cut‐offs in prices of longevity swaps. 12th Conference in Insurance: Mathematics & Economics (IME 2008), Jul 2008, Dalian, China. <hal-00397260>
  • Stéphane Loisel. Inter-age correlation in stochastic mortality models. Workshop on prospective mortality tables, longevity and mortality linked securities, Feb 2008, Paris, France. <hal-00397267>
  • Stéphane Loisel. On a class of non-Gerber-Shiu, non-discounted penalty functions. 2nd International Workshop on Gerber-Shiu Functions, Aug 2008, Linz, Austria. <hal-00397239>
  • Stéphane Loisel. Bootstrapped Finite-Time Ruin Probabilities with Partly Shifted Risk Processes. International Workshop on Applied Probability (IWAP 2008), Jul 2008, Compiègne, France. <hal-00397261>
  • Stéphane Loisel. In the Core of Longevity Risk: Dependence in Stochastic Mortality Models and Cut-offs in Prices of Longevity Swaps. Congrès conjoint de la Société Statistique du Canada et de la Société Française de Statistique, May 2008, Ottawa, Canada. <hal-00397265>
  • Stéphane Loisel. Asymptotics of finite-time ruin probabilities with stochastic correlation between heavy-tailed claim amounts. WORKSHOP : EVALUATING AND COVERING EXTREME RISKS, Jun 2008, Paris, France. <hal-00397264>
  • Stéphane Loisel. Théorie de la ruine: introduction et exemples. 1ères journées du projet AST&Risk, Sep 2008, Lyon, France. <hal-00397250>
  • Stéphane Loisel. From Solvency II to ERM: tools, practical issues and research perspectives. Summer School of the Groupe Consultatif Actuariel Européen, Jul 2008, Lyon, France. <hal-00397259>
  • Stéphane Loisel. Titrisation des risques d'Assurances, méthodes d'évaluation stratégie de couverture partielle. PRMIA Paris Chapter Meetings: Risque assurance, vers une nouvelle classe d'actifs?, Jan 2008, Paris, France. <hal-00397268>
  • Stéphane Loisel. Repositioning Enterprise Risk Management. Adventures in risk (Biennial convention of Australian Actuaries), Sep 2007, Christchurch, New Zealand. <hal-00397266>
  • Stéphane Loisel. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. 11th International Congress on Insurance: Mathematics and Economics (IME 2007), Jul 2007, Le Pirée, Greece. <hal-00397269>
  • Stéphane Loisel. Ruin Theory with K Lines of Business. 37th ASTIN Congress, Jun 2007, Orlando, United States. <hal-00397270>
  • Stéphane Loisel. Dépendance stochastique et mesures de risque. Séminaires Professionnels de l'Institut des Actuaires, Jun 2007, Paris, France. <hal-00397273>
  • Stéphane Loisel. Analyse de la robustesse de la probabilité de ruine en temps fini, et marge de solvabilité pour risque d'estimation. Séminaire Bachelier, Mar 2007, Paris, France. <hal-00397275>
  • Stéphane Loisel. In the core of longevity risk: hidden dependence in stochastic mortality models and cut-offs in prices of longevity swaps. Conférence ASMDA (Applied Stochastic Models and Data Analysis), May 2007, Chania, Greece. <hal-00397274>
  • Stéphane Loisel. Sensitivity analysis and optimal reserve allocation in risk theory. Risk and stochastics seminar, LSE, May 2007, Londres, United Kingdom. <hal-00397277>
  • Stéphane Loisel. Sensitivity analysis and optimal reserve allocation in risk theory. International Workshop in Applied Probability, May 2006, University of Connecticut, United States. <hal-00397276>
  • Stéphane Loisel. Differentiation of some functionals of risk processes and optimal reserve allocation. Groupe de Travail Méthodes Stochastiques et Finance ENPC-INRIA-UMLV, May 2006, Marne-la-Vallée, France. <hal-00397278>
  • Stéphane Loisel. Titrisation du risque de longévité. Séminaire du CERDALM sur le risque de longévité, Jan 2006, Paris, France. <hal-00397282>
  • Stéphane Loisel. Problems and numerical methods in insurance and finance. Séminaire d'analyse numérique de l'Université de Genève, 25 janvier 2006., Jan 2006, Genève, Suisse. <hal-00397281>
  • Stéphane Loisel. Differentiation of some functionals of risk processes and optimal reserve allocation. Séminaire de mathématiques appliquées, UPPA, Mar 2006, Pau, France. <hal-00397279>
  • Stéphane Loisel. Differentiation of some functionals of risk processes and optimal reserve allocation. Hong-Kong University Stats & Actuarial Science Seminar, Feb 2006, Hong-Kong, China. <hal-00397280>
  • Stéphane Loisel. On the sensitivity analysis of some risk measures. Worshop on risk theory in honour of Hans Bühlmann, Oct 2005, Florence, Italy. <hal-00397285>
  • Stéphane Loisel. Differentiation of some functionals of risk processes and optimal reserve allocation. General applied maths seminar, METU, May 2005, Ankara, Turkey. <hal-00397289>
  • Stéphane Loisel. Differentiation of functionals of risk processes and optimal reserve allocation. Ecole d'été de probabilités de Saint-Flour, Jul 2005, Saint-Flour, France. <hal-00397288>
  • Stéphane Loisel. Win-first probabilities and dividends with hazard rates. Séminaire Lyon-Lausanne, Jan 2005, Lausanne, Suisse. <hal-00397297>
  • Stéphane Loisel. Sensitivity analysis of the finite-time ruin probability and of some other risk measures. PARC Conference, Dec 2005, Louvain-la-Neuve, Belgium. <hal-00397284>
  • Stéphane Loisel. Problèmes liés à la prise en compte de l'effet de diversification dans le cadre de Solvabilité II. Congrès Réavie, Oct 2005, Cannes, France. <hal-00397286>
  • Stéphane Loisel. Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation. Congrès ASTIN-AFIR 2005, Sep 2005, Zurich, Switzerland. <hal-00397287>
  • Stéphane Loisel. Differentiation of functionals of risk processes and optimal reserve allocation. Séminaire de modèles stochatiques, CMAP, école Polytechnique, 21 mars 2005., Mar 2005, Palaiseau, France. <hal-00397290>
  • Stéphane Loisel. Ruine, dividendes et allocation de réserve optimale. Groupe de travail en Mathématiques Financières, Evry, Mar 2005, Evry, France. <hal-00397291>
  • Stéphane Loisel. On Solvency issues for French and Vietnamese insurers. Seminar of Insurance and Financial Risk Management, Feb 2005, Hanoï, Vietnam. <hal-00397293>
  • Stéphane Loisel. Différentiation de fonctionnelles de processus de risque et allocation de réserve optimale. Séminaire du Laboratoire de Mathématiques Raphaël Salem, Feb 2005, Rouen, France. <hal-00397295>
  • Stéphane Loisel. Ruin theory with K lines of business. Royal Flemish Academy of Belgium for Science and Arts. 3rd Actuarial and Financial Day, Feb 2004, Belgium. pp.61-68, 2005. <hal-00379417>

Article dans une revue38 documents

  • Pierre-Olivier Goffard, Stéphane Loisel, Denys Pommeret. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. Journal of Computational and Applied Mathematics, Elsevier, 2016, <10.1016/j.cam.2015.06.003>. <hal-01292948>
  • Manel Kacem, Stéphane Loisel, Véronique Maume-Deschamps. Some mixing properties of conditionally independent processes. Communications in Statistics - Theory and Methods, 2016, 45 (5), pp.1241-1259. <hal-00670649>
  • Pierre-Olivier Goffard, Stéphane Loisel, Denys Pommeret. Polynomial approximations for bivariate aggregate claims amount probability distributions. Methodology and Computing in Applied Probability, Springer Verlag, 2016. <hal-01292949>
  • Clémentine Renneville, Arnaud Le Rouzic, Michel Baylac, Alexis Millot, Stéphane Loisel, et al.. Morphological drivers of trophic cascades. Oikos, Nordic Ecological Society, 2015, 125 (8), pp.1193-1202 <10.1111/oik.02877>. <hal-01261837>
  • Armelle Guillou, Stéphane Loisel, Gilles Stupfler. Estimating the parameters of a seasonal Markov-modulated Poisson process. Statistical Methodology, Elsevier, 2015, 26, pp.103--123. <10.1016/j.stamet.2015.04.003>. <hal-01456131>
  • Julien Azzaz, Stéphane Loisel, Pierre-Emmanuel Thérond. Some characteristics of an equity security next-year impairment. Review of Quantitative Finance and Accounting, Springer Verlag, 2015, 45 (1), pp.111-135. <http://link.springer.com/article/10.1007/s11156-014-0432-x#>. <10.1007/s11156-014-0432-x>. <hal-00820929v2>
  • Dominik Kortschak, Stéphane Loisel, Pierre Ribereau. Ruin problems with worsening risks or with infinite mean claims. Stochastic Models, INFORMS (Institute for Operations Research and Management Sciences), 2014, pp.xxx-xxx. <hal-00735843>
  • Stéphane Loisel, Julien Trufin. Properties of a risk measure derived from the expected area in red. Insurance: Mathematics and Economics, Elsevier, 2014, 55, pp.191-199. <hal-00870224>
  • Peggy Cénac, Stéphane Loisel, Véronique Maume-Deschamps, Clémentine Prieur. Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation. Annales de l'ISUP, 2014, 58 (3). <hal-00816894>
  • Claude Lefèvre, Stéphane Loisel. On multiply monotone distributions, continuous or discrete, with applications. Journal of Applied Probability, Applied Probability Trust, 2013, 50 (3), pp.603-907. <hal-00750562v2>
  • Julien Trufin, Stéphane Loisel. Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments. Bulletin Français d'Actuariat, Institut des Actuaires, 2013, pp.xxx-xxx. <hal-00426790>
  • Christophe Dutang, Hansjoerg Albrecher, Stéphane Loisel. Competition among non-life insurers under solvency constraints: A game-theoretic approach. European Journal of Operational Research, Elsevier, 2013, 231 (3), pp.702-711. <hal-00746245>
  • Christophe Dutang, Claude Lefèvre, Stéphane Loisel. On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing. Insurance: Mathematics and Economics, Elsevier, 2013, 53 (3), pp.774-785. <hal-00746251v2>
  • Romain Biard, Christophette Blanchet-Scalliet, Anne Eyraud-Loisel, Stéphane Loisel. Impact of Climate Change on HeatWave Risk. Risks, 2013, 1, pp.176-191. <10.3390/risks1030176>. <hal-00937071>
  • Pauline Barrieu, Harry Bensusan, Nicole El Karoui, Caroline Hillairet, Stéphane Loisel, et al.. Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges. Scandinavian Actuarial Journal, Taylor & Francis (Routledge), 2012, 2012 (3), pp.203-231. <hal-00417800v2>
  • Xavier Milhaud, Stéphane Loisel, Véronique Maume-Deschamps. Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?. Bulletin Français d'Actuariat, Institut des Actuaires, 2011, 11 (22), pp.5-48. <hal-00450003>
  • Matthieu Chauvigny, Laurent Devineau, Stéphane Loisel, Véronique Maume-Deschamps. Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management. European Actuarial Journal, 2011, 1 (1), pp.131-157. <hal-00517766v2>
  • Romain Biard, Claude Lefèvre, Stéphane Loisel, Haikady Nagaraja. 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, Wiley, 2011, 27 (5), pp.503-518. <10.1002/asmb.857>. <hal-00409418>
  • Stéphane Loisel, Xavier Milhaud. From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital. European Journal of Operational Research, Elsevier, 2011, 214 (2), pp.348-357. <10.1016/j.ejor.2011.04.038>. <hal-00502847>
  • Mathieu Bargès, Hélène Cossette, Stéphane Loisel, Etienne Marceau. On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula. ASTIN Bulletin, Cambridge University Press (CUP), 2011, 41 (1), pp.215-238. <hal-00426502>
  • Hansjoerg Albrecher, Corina Constantinescu, Stéphane Loisel. Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics and Economics, Elsevier, 2011, 48 (2), pp.265-270. <hal-00540621>
  • Mathieu Bargès, Stéphane Loisel, Xavier Venel. On finite-time ruin probabilities with reinsurance cycles influenced by large claims. Scandinavian Actuarial Journal, Taylor & Francis (Routledge), 2011, pp.xxx-xxx. <hal-00430178v2>
  • Xavier Milhaud, Marie-Pierre Gonon, Stéphane Loisel. Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise. Risques, Société d'édition et de diffusion des documents informatifs et techniques de l'assurance, 2010, 83, pp.76-81. <hal-00502851>
  • Romain Biard, Stéphane Loisel, Claudio Macci, Noel Veraverbeke. Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation. Journal of Mathematical Analysis and applications, Elsevier, 2010, 367 (2), pp.535-549. <hal-00372525v2>
  • Claude Lefèvre, Stéphane Loisel. Stationary-excess operator and convex stochastic orders. Insurance Mathematics and Economics, 2010, 47, pp.64-75. <hal-00442047v2>
  • Laurent Devineau, Stéphane Loisel. Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?. Bulletin Français d'Actuariat, Institut des Actuaires, 2009, 9 (18), pp.107-145. <hal-00403662v2>
  • Stéphane Loisel, Christian Mazza, Didier Rullière. Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes.. Insurance Mathematics and Economics, 2009, 45 (3), pp.374-381. <10.1016/j.insmatheco.2009.08.003>. <hal-00168716>
  • Stéphane Loisel, Nicolas Privault. Sensitivity analysis and density estimation for finite-time ruin probabilities. Journal of Computational and Applied Mathematics, Elsevier, 2009, 230 (1), pp.107-120. <10.1016/j.cam.2008.10.066>. <hal-00201347v3>
  • Laurent Devineau, Stéphane Loisel. Construction d'un algorithme d'accélération de la méthode des «simulations dans les simulations» pour le calcul du capital économique Solvabilité II. Bulletin Français d'Actuariat, Institut des Actuaires, 2009, 10 (17), pp.188-221. <hal-00365363v2>
  • Stéphane Loisel, Claude Lefèvre. Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities. Methodology and Computing in Applied Probability, Springer Verlag, 2009, 11 (3), pp.425-441. <10.1007/s11009-009-9123-9>. <hal-00201377>
  • Wayne Fisher, Stéphane Loisel, Shaun Wang. On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level. Bulletin Français d'Actuariat, Institut des Actuaires, 2008, 15 (9), pp.32-37. <hal-00268841>
  • Romain Biard, Claude Lefèvre, Stéphane Loisel. 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), pp.412-421. <hal-00308782>
  • Stéphane Loisel, Christian Mazza, Didier Rullière. Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.. Insurance Mathematics and Economics, 2008, 42 (2), pp.746-762. <10.1016/j.insmatheco.2007.08.007>. <hal-00168714>
  • Claude Lefèvre, Stéphane Loisel. On Finite-Time Ruin Probabilities for Classical Risk Models. Scandinavian Actuarial Journal, Taylor & Francis (Routledge), 2008, 2008 (1), pp.41-60. <10.1080/03461230701766882>. <hal-00168958>
  • Stéphane Loisel. Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks. Bulletin Français d'Actuariat, Institut des Actuaires, 2007, 7 (14), pp.4-24. <hal-00165776>
  • Didier Rullière, Stéphane Loisel. The win-first probability under interest force. Insurance Mathematics and Economics, 2005, 37 (3), pp.421-442. <10.1016/j.insmatheco.2005.06.004>. <hal-00165791>
  • Stéphane Loisel. Differentiation of some functionals of risk processes.: Applications to ruin theory and to determination of optimal reserve allocation for multidimensional risk processes.. Journal of Applied Probability, Applied Probability Trust, 2005, 42 (2), pp.379-392. <10.1239/jap/1118777177>. <hal-00157739v2>
  • Didier Rullière, Stéphane Loisel. Another look at the Picard-Lefèvre formula for finite-time ruin probabilities. Insurance Mathematics and Economics, 2004, 35 (2), pp.187-203. <hal-00379412>

Chapitre d'ouvrage2 documents

  • Stéphane Loisel. La capacité de réaction et les actions de gestion des dirigeants: nécessité et difficulté de les prendre en compte dans l'ORSA.. Risk Metrics for Decision Making and ORSA, SOA, CAS and CIA, pp.52-54, 2012. <hal-00671825>
  • Stéphane Loisel. From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM. Risk Management: The Current Financial Crisis, Lessons Learned and Future Implications, SOA, CAS and CIA, pp.75-77, 2008. <hal-00379422>

Document associé à des manifestations scientifiques1 document

  • Xavier Milhaud, Stéphane Loisel, Véronique Maume-Deschamps. Surrender triggers in Life Insurance : classification and risk predictions. Journées MAS et Journée en l'honneur de Jacques Neveu, Aug 2010, Talence, France. <inria-00509874>

HDR1 document

  • Stéphane Loisel. Contribution à la gestion quantitative des risques en assurance. Mathématiques [math]. Université Claude Bernard - Lyon I, 2010. <tel-00540617>