Publications du Laboratoire SAF

           

 Liste par année de Publication

 



 
La majorité des publications 2016 sont sur HAL

Autres publications :

J.F. BOULIER, Long Term Savings Performances: The 40 year track record of Afer funds, paru dans Bankers, Markets & Investors n°146 (janvier-février 2017)

J.F. BOULIER, Les frontières seront-elles efficientes ? , paru dans Risques n°108 (décembre 2016)

J.F. BOULIER, Brexit et conséquences, paru dans Option Finance (Octobre 2016)

J.F. BOULIER, Fierté française, paru dans Le Revenu (Septembre 2016)
   
Decision thresholds and changes in risk for preventive treatment
Health Economics, DOI: 10.1002/hec.3127.
C. COURBAGE, B. REY

Phase-type aging modeling for health dependent costs
Insurance : Mathematics and Economics
M. GOVORUN, G. LATOUCHE, S. LOISEL

Un modèle de projection pour des contrats de retraite dans le cadre de l’ORSA
Bulletin Français d’Actuariat, vol. 14, n°28.
F. BONNIN, F. COMBES, F. PLACNHET, M. TAMMAR

M. Kacem, C. Lefèvre, S. Loisel. (2015). Convex extrema for nonincreasing discrete distributions: Effects of convexity constraints, Journal of Mathematical Analysis and Applications 423, 1774-1791.

J.Tomas and F.Planchet. (2015), Prospective mortality tables: taking heterogeneity into account, Insurance : Mathematics & Economics. 

On tail dependence coefficients of transformed multivariate Archimedean copulas, Fuzzy Sets and Systems, Available online 5 September 2015, ISSN 0165-0114,http://dx.doi.org/10.1016/j.fss.2015.08.030.
E. DI BERNARDINO, D. RULLIERE

On the estimation of Pareto fronts from the point of view of copula theory
Information Sciences, Volume 324, 10 December 2015, Pages 270-285, ISSN 0020-0255, http://dx.doi.org/10.1016/j.ins.2015.06.037.
M. BINOIS, D. RULLIERE, O. ROUSTANT
 
Estimation of multivariate critical layers: Applications to rainfall data (2015)
Journal SFDS, vol. 156, no.1, pp 11–50, ISSN 2102-6238.
E. DI BERNARDINO, D; RULLIERE

A paraitre

Index for predicting insurance claims from wind storms with an application in France, Risk Analysis
A.MORNET, T.OPITZ, M.LUZI, S.LOISEL (2015)

A. Boumezoued, N. El Karoui, S. Loisel, (2015). Measuring mortality heterogeneity with multi-state models and interval-censored data, Working paper Preprint sur Hal. 

E. Debonneuil, S. Loisel, F. Planchet, (2015). Do actuaries believe in longevity deceleration?, Working paper Preprint sur Hal.

P.O. Goffard, S. Loisel, D. Pommeret. Polynomial approximations for bivariate aggregate claims amount probability distributions, soumis.

P.O. Goffard, S. Loisel, D. Pommeret. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model, en révision dans Journal of Computational and Applied Mathematics.

V. Maume-Deschamps, D. Rullière, K. Saïd. On capital allocation by minimizing multivariate risk indicators. Soumis.

N.El Karoui, Y. Salhi, S. Loisel, Robust Detection of Unobservable Disorder Time in Poisson Rate, preprint 2015, soumis.

O. Lopez, X. Milhaud, P. Thérond. (2015), Consistency of tree-based estimators in censored regression with applications in insurance. Preprint

O. Lopez, X. Milhaud, P. Therond. Consistency of tree-based estimators in censored regression with applications in insurance

Discrete Schur-constant models
Journal of Multivariate Analysis
A. CASTANER, M.M, CLARAMUNT, C. LEFEVRE, S. LOISEL
 
F. Planchet, J. Tomas. [2014c] Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat, vol. 14, n°27.

Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin 

Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents - Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, 13(27), 5-28.Q. Guibert, M. Juillard, T-O. Nteukam, F. Planchet. (2014) Solvabilité Prospective en Assurance -Méthodes quantitatives pour l'ORSA, Paris : Economica.

F. Planchet, J. Tomas. (2014b) Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal, Volume 4, Issue 2, pp 247-279, doi: 10.1007/s13385-014-0095-y.

F. Planchet, J. Tomas. (2014a) Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal, doi: 10.1080/03461238.2014.925496.

F. Bonnin, M. Juillard, F. Planchet. (2014) Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z

Properties of a risk measure derived from the expected area in red
Insurance : Mathematics and Economics, Vol.55, 191-199
S. LOISEL, J. TRUFIN

Benchmark values for higher order coefficients of relative risk aversion,
Theory and Decision, Vol.76, 81-94.
M. DENUIT, B. REY

Some characteristics of an equity security next-year impairment,
Review of Quantitative Finance and Accounting, february, 1-25.
J.AZZAZ, S.LOISEL, P.THEROND

A survey of some recent results on Risk Theory,
ESAIM Proceedings, 44, 322-337.
F.AVRAM, R. BIARD, Ch. DUTANG, S. LOISEL, L. RABEHASAINA

A paraitre
Convex extrema for nonincreasing discrete distributions : effects of convexity constaints, JMAA.
M.KACEM, C.LEFEVRE, S.LOISEL (2014)

Risk indicators with several lines of business : comparison, asymptotic behavior and applications to optimal reserve allocation, annales de l’ISUP
P.CENAC, S.LOISEL, V.MAUME-DESCHAMPS, C.PRIEUR (2014)

Ruin problems with worsening risks or with infinite mean claims, Stochastic models.
D.KORTSCHAK, S.LOISEL, P.RIBEREAU (2014)

F. Bonnin, A. De Clermont-Tonnerre, F. Planchet, D. Sapone, M. Tammar. (2014) Valeur économique de dettes subordonnées pour des sociétés non-vie, Les cahiers de recherche de l’ISFA, n° 2014.15.

Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on Aalen Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance, Les cahiers de recherche de l’ISFA, n°2014.14.

Y. Laïdy, F. Planchet. (2014) Calibrating LMN Model to Compute Best Estimates in Life Insurance, Les cahiers de recherche de l’ISFA, n°2014.13.

T. O. Nteukam, F. Planchet, J. Ren. (2014) Internal Model in Life insurance: Application of Least Square Monte-Carlo in Risk Assessment, Les cahiers de recherche de l’ISFA, n°2014.12.

H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks : The Longevity Nominal Choosing Swaptions, en révision à IME.

Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on AalenJohansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance. Soumis Life Time Data Analysis. 
 
 
The « A+B/u » rule for discrete and continuous time risk models with dependence,
Insurance : Mathematics and Economics, 53, issue 3, 774-785.
Ch. DUTANG, C. LEFEVRE, S. LOISEL

On multiply monotone distributions, continuous or discrete, with applications,
Journal of Applied Probability, 50(3), 603-907.
C. LEFEVRE, S. LOISEL

Impact of climate change on heat wave risks,
Risks, 1(3), 176-191
R.BIARD, C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, S.LOISEL

On certain transformations of Archimedean copulas : Application to the non-parametric estimation of their generators,
Dependence Modeling, Vol.1, 1-36
E. DI BERNARDINO, D.RULLIERE

Another look at risk apportionment,
Journal of Mathematical Economics, 49, 335-343.
M. DENUIT, B. REY

On multivariate extensions of value-at-risk,
Journal of multivariate analysis, 119, 32-46.
A. COUSIN, E. DI BERNARDINO

On finite-time ruin probabilities with dependence between reinsurance cycles and the claim arrival process,
Scandinavian Actuarial Journal, Vol. 2013, Issue 3, 163-185.
M. BARGES, S. LOISEL & X. VENEL

The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCAILLET, D. DOROBANTU, D. RULLIERE

Solvency assessment within the ORSA framework : issues and quantitative methodologies,
Bulletin Français d’Actuariat, Vol.13, n°25, janvier-juin, 35-71.
L. DEVINEAU, J. VEDANI

An extension of Davis and Lo’s contagion model,
Quantitative Finance, vol.13, 3, 407-420, (DOI) 10.1080/14697688.2012.727015.
A. COUSIN, D. DOROBANTU, D. RULLIÈRE

The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCALLIET, D. DOROBANTU, D. RULLIÈRE

Exploring or reducing noise? A global optimization algorithm in the presence of noise,
Structural and Multidisciplinary Optimization, vol.47, 6, 921-936, (DOI) 10.1007/s00158-012-0874-5.
D. RULLIERE, A. FALEH, F. PLANCHET, W. YOUSSEF

Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory,
Insurance: Mathematics and Economics, Vol.53(1), 190-205.
E. DI BERNARDINO, D. RULLIERE

L’évaluation du travail dans les établissements de santé publics : déstabilisation des acteurs et remise en question des valeurs,
Entreprises et Humanisme, n°309, 16p.
S.BERTEZENE, B. DUBRION

Moderniser les pratiques d’évaluation du travail dans la fonction publique : analyse exploratoire du cas d’un hôpital public,
Formation Emploi, Vol.1, n°121, 83-105.
S.BERTEZENE, B. DUBRION

Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social,
Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE

Cost effectiveness of pegfilgrastrim versus filgrastim after high-dose chemotherapy and autologous stem cell transplantation in patients with lymphoma and myeloma (an economic evaluation of the PALM Trial),
Applied Health Economics and Health Policy, (DOI) 10.1007/s40258-013-0011-7.
L. PERRIER, A. LEFRANC, D. PROL, P. QUITTET, A. SCHMIDT-TANGUY, C. SIANI, C. DE PERETTI

Quadratic hedging : an actuarial view extended to solvency control,
European Actuarial Journal, (DOI) 10.1007/s13385-013-0066-8.
R. NORBERG

Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, Vol.17, 197-222, (DOI) 10.1008/s00780-012-0182-3.
R. NORBERG

Some new classes of stationary max-stable random fields,
Statistics and Probability Letters, 83, 1496-1503.
C. ROBERT

Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustements,
Bulletin Français d’Actuariat, Vol.13, n°25, 73-102.
J. TRUFIN, S. LOISEL

Competition among non-life insurers under solvency constraints : a game-theoretic approach,
European Journal of Operational Research, 31(3), 702-711.
C. DUTANG, H. ALBRECHER, S. LOISEL

A paraitre

The bottom-up top-down puzzle solved, CreditFlux.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)

Dynamic hedging of portfolio credit risk in a Markov copula model, forthcoming in Journal of Optimization Theory and Applications.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)

A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries, accepted for publication in Communiction in Statistics – Theory and methods.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)

Some mixing properties of conditionally mixing processes, accepted, to appear in Communication in Statistics : Theory and methods.
M. KACEM, S. LOISEL, V. MAUME-DESCHAMPS (2013)

Estimation of the parameters of a Markov-modulated loss process in insurance, accepted, to appear in Insurance : Mathematics and Economics.
A. GUILLOU, S. LOISEL, G. STUPFLER (2013)

Regards croisés sur les infections nosocomiales : de la responsabilité juridique à l’évaluation des coûts, Droit, Déontologie et Soins, à paraître.
S.BERTEZENE, D. RONDEAU (2013)

Prevention and Precaution, chapter of book, The Handbook of Insurance (édition révisée), Kluwer Academic Publishers, A paraître.
Ch. COURBAGE, B. REY, N. TREICH (2013)

Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social, Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE (2013)

Automatic declustering of rare events, to appear in Biometrika.
C. ROBERT (2013)

Estimating the efficient price from the order flow : a Brownian Cox process approach, to appear in Stocastic Processes and their Applications.
S. DELATTRE, C. ROBERT, M. ROSENBAUM (2013)

Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework, to appear in Insurance : Mathematics and Economics.
C. ROBERT (2013)

On multiply monotone distributions, continuous or discrete, with applications, accepted, to appear in Journal of Applied Probability.
C. LEFEVRE, S. LOISEL (2013)

Quels sont les effets des pédagogies actives dans l’apprentissage de l’entrepreunariat ? Etude des changements de perceptions des élèves ingénieurs et managers à l’issue de la formation M.I.M.E (Méthode d’Initiation au Métier d’Entrepreneur), La revue de l’Entrepreneuriat, A paraître.
M. SALGADO, O. TOUTAIN (2013)

Combining web and face-to-face in travel surveys : comparability, challenges,
Transportation, 1-25
C. BAYART, P. BONNEL

Delta-Hedging Correlation Risk ?
Review of Derivatives Research, 15(1), 25-56
A. COUSIN, S. CREPEY & Y. HANG KAN

Understanding, modelling and managing longevity risk : key issues and main challenges,
Scandinavian Actuarial Journal, Vol. 2012, n°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI

Iterative adjustment of survival functions by compositions of probability distortions,
The Geneva Risk and Insurance Review, 37, 156-179, (DOI) 10.1057/grir.2011.7.
A. BIENVENÜE, D. RULLIÈRE

The effect of derivative instrument use on capital market risk : evidence from banks in developed and emerging countries,
Frontiers in Finance and Economics, Vol.9, n°2, 85-121.
M.R. KEFFALA, C. DE PERETTI, C.Y. CHAN

Corporate Governance and Voluntary Recognition of ESOs Expenses,
The Empirical Economics Letters, Vol.11, n°5.
C.Y. CHAN, S.L. SU, C. DE PERETTI

La confiance, levier de l’engagement dans les PME en forte croissance,
Revue Française de Gestion, Vol.5, n°224, 65-84.
E. BELLIATO, C. CHAMPAGNE DE LABRIOLLE, I. PRIM-ALLAZ, M. SEVILLE

On relative and partial risk attitudes : theory and implications,
Economic Theory, 50, 151-167.
W.H. CHIU, L. EECKHOUDT, B. REY

Intérêt du modèle « Hurdle » pour la comparaison des comportements de mobilité déclarée dans un protocole d’enquête mixte,
Recherche Transports Sécurité, 28, 33-45.
C. BAYART, P. BONNEL

Optimal stopping for Markov processes and decreasing affine functions, Romanian
Journal of Pure and Applied Mathematics, 56, 4, 283-294.
D. DOROBANTU

Empirical Test of the Efficiency of the UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach,
Journal of Empirical Finance, Volume 19, Issue 1, January, 162-174. Impact Factor: 0.807. Social Science Research Network Working Paper Series 1546355.
C.Y. CHAN, C. DE PERETTI, Z. QIAO, W.K. WONG

Stochastic and Tychastic Approaches to Guaranteed ALM Problem,
Bulletin Français d’Actuariat, vol. 12, n°23.
J.P. AUBIN, L. CHEN, O. DORDAN, A. FALEH, G. LEZAN, F. PLANCHET

Pricing of Parisian options for a jumpdiffusion model with two-sided jumps,
Applied Mathematical Finance, 19(2), 97-129.
H. ALBRECHER, D. KORTSCHAK, X. ZHOU

On semiparametric estimation of ruin probabilities in the classical risk model,
Scandinavian Actuarial Journal, 1-26, iFirst article.
E. MASIELLO

Priority setting in health care and higher order degree change in risk,
Journal of Health Economics, 31, 484-489.
C. COURBAGE, B. REY

Optimal prevention and other risks in a two-period model,
Mathematical Social Sciences, 63, 213-217.
C. COURBAGE, B. REY

A quadratic hedging approach to comparison of catastrophe indices, International,
Journal of Theoretical and Applied Finance, Vol.15, Issue 4, (DOI) 10.1142/s0219024912500306.
R. NORBERG, O. SAVINA

Risk and insurability of storm damages to residential buildings in Austria,
The Geneva Papers on Risk and Insurance - Issues and Practice.
F. PRETTENTHLER, H. ALBRECHER, J. KOBERL, D. KORTSCHAK

Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, (DOI) 10.1007/s00780-012-0182-3.
R. NORBERG

Risk processes with dependence and premium adjusted to solvency targets.
European Actuarial Journal, Vol.2, Issue 1, 1-20 (DOI) 10.1007/s13385-012-0046-4.
C. CONSTANTINESCU, V. MAUME-DESCHAMPS, R. NORBERG

Some multivariate risk indicators ; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm,
Statistics and Risk Modeling, 29 (1), 47-71.
P. CENAC, C. PRIEUR, V. MAUME-DESCHAMPS

A paraitre

Présentation du marché de l'assurance vie en Afrique subsaharienne francophone, Assurances et gestion des risques, A paraître.
A. KAMEGA, F. PLANCHET (2012)

Quadratic Hedging by an Influent Informed Investor, à paraître dans Stochastics : An International Journal of Probability and Stochastic Processes.
A. EYRAUD-LOISEL (2012)

Are Fieller and bootstrap methods really equivalent for calculating confidence regions for ratios: an application to the MPIS data, Health; Decision and Management, à paraître.
C. SIANI, C. DE PERETTI (2012)

Understanding, modelling and managing longevity risk : key issues and main challenges, Scandinavian Actuarial Journal, Vol. 2012, N°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI (2012)

A bottom-up dynamic model of portfolio credit risk, Part I : Markov copula perspective, forthcoming in recent advances in financial engineering – World scientific.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)

A bottom-up dynamic model of portfolio credit risk, Part II : common-shock interpretation, calibration and hedging issues, forthcoming in recent advances in financial engineering – world scientific
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)

Subsampling weakly dependent times series and application to extremes,
Test, 20, 499-502.
P. DOUKHAN, S. PROHL & C. ROBERT

Risk models based on time series for count random variables
Insurance : Mathematics and Economics, 48, 19–28.
H. COSSETTE, E. MARCEAU, F. TOUREILLE

A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones.
Journal of Financial Econometrics, 9, 344-366.
C. ROBERT, M. ROSENBAUM (2011)

Comment mettre œuvre un ‘encadrement’ plus éthique des personnes âgées au sein des établissements médico-sociaux ?,
Forum, n°134, décembre, 14p.
S. BERTEZENE

Quality and non-quality in the health sector,
Sinergie, n°85/11, 16 p. pp. 15-31.
S. BERTEZENE, J. MARTIN

Note of caution when interpreting parameters of the distribution of excesses,
Water Resources, 34, 1215–1221.
P. RIBEREAU, P. NAVEAU, A. GUILLOU


Quelle structure de dépendance pour un générateur de scénarios économiques en assurance ?,
Bulletin Français d’Actuariat, vol. 11, n°22.
K. ARMEL, F. PLANCHET, A. KAMEGA

Is the consumption-income ratio stationary ? Evidence from a non-linear panel unit root test for OECD and non-OECD countries, Manchester School, forthcoming,
Impact Factor, 0.333.
C. STUWART, M. CERRATO, C. DE PERETTI

Polynomial structures in rank statistics distributions,
Journal of Statistical Planning and Inference, 141, 1380-1393.
C. LEFEVRE, P. PICARD

Option Hedging by an Influential Informed Investor,
Applied Stochastic Models in Business and Industry, 27, 707-722.
A. EYRAUD-LOISEL

Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, volume 11, Issue 12, 1773-1791.
A.COUSIN, J.P. LAURENT, J.D. FERMANIAN

Model risk and determination of economic capital in the Solvency 2 project,
International Review of Applied Financial Issues and Economics, Vol. 3, Issue 2. 
F. PLANCHET, P. THÉROND

Hétérogénéité : mesure du risque d'estimation dans le cas d’une modélisation intégrant des facteurs observables,
Bulletin Français d’Actuariat, vol. 11, n°21. 
A. KAMEGA, F. PLANCHET

Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee,
Insurance: Mathematics and Economics, Volume 48, Issue 2, pp. 161-175.
T.O. NTEUKAM, F. PLANCHET, P. THÉROND

Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Mangement,
European Actuarial Journal, Vol. 1, 131-157.
M. CHAUVIGNY, L. DEVINEAU, S. LOISEL, V. MAUME-DESCHAMPS

First passage time law for some Lévy processes with compound Poisson : Existence of a density,
Bernoulli 17(4), 1127-1135.
L. COUTIN, D. DOROBANTU

A propos de la tempérance,
Revue Economique, Vol. 62, 751-764.
D. CRAINICH, L. EECKHOUDT, B. REY

Risk vulnerability: a graphical interpretation,
Theory and Decision, 71, 227-234.
L. EECKHOUDT, B. REY

Transparency matters: Price formation in presence of order preferencing,
Journal of Financial Markets, 14, 227-258.
L. LESCOURRET, C. ROBERT

Surrender triggers in life insurance : classification and risk predictions,
Bulletin Français d’Actuariat, 11 (22), 5-48.
X. MILHAUD, S. LOISEL, V. MAUME-DESCHAMPS

Impacts of jumps and stochastic interest rates on the fair costs of guaranteed minimum death benefit contracts,
The Geneva Risk and Insurance Review, 36, 51-73.
F. QUITTARD-PINON, R. RANDRIANARIVONY

A new approach for the dynamics of ultra high frequency data : the model with uncertainty zones,
Journal of Financial Econometrics, 9(2), 344-366,
C. ROBERT, M. ROSENBAUM

Tous sur scène ! Comment le théâtre peut-il aider à former les cadres ?
Gestion, Volume 35/Numéro 4.
M. SALGADO

Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings,
Applied Stochastic Models in Business and Industry, 27, 503-518.
R. BIARD, C. LEFEVRE, S. LOISEL, H.N. NAGARAJA

Adjustment coefficient for risk processes in some dependent contexts,
Methodology and Computing in Applied Probability, 13 (4), 695-721.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS

A paraitre

From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital, to appear in European Journal of Operational Research.
S. LOISEL, X. MILHAUD (2011)

Second order tail asymptotics for the sum of dependent, tailindependent regularly varying risks, Accepted: Extremes.
D. KORTSCHAK (2011)

Explicit ruin formulas for models with dependence among risks, to appear in Insurance : Mathematics and Economics.
H. ALBRECHER, C. CONSTANTINESCU, S. LOISEL (2011)

Moments of a compound Poisson models with dependence based on the FGM copula and discounted claims, to appear in ASTIN Bulletin.
M. BARGES, H. COSSETTE, S. LOISEL, E. MARCEAU (2011)

Iterative adjustment of survival functions by compositions of probability distortions, to appear in Geneva Risk and Insurance Review.
A. BIENVENUE, D. RULLIERE (2011)

Ruin probabilities in models with a Markov chain dependence structure, Accepted: Scandinavian Actuarial Journal.
C. CONSTANTINESCU, D. KORTSCHAK, V. MAUME-DESCHAMPS (2011)

Plug-in estimation of level sets in a non compact setting with applications in multivariate risk theory. accepté pour publication à ESAIM P&S.
E. DI BERNARDINO, T. LALOE, V. MAUME-DESCHAMPS, C. PRIEUR (2011)
 
Exchange Option when One Underlying Can Jump,
Finance, vol 31, N°1/2010, 33-53.
F. QUITTARD-PINON, R. RANDRIANARIVONY

Protection of Life Insurance Companies in a Market-based Framework,
North American Actuarial Journal, vol 14, N° 1, 131-151.
F. QUITTARD-PINON, C. BERNARD, O. LE COURTOIS

Fair costs of guaranteed minimum death benefit contracts,
Mathematical and Statistical Methods for Actuarial Sciences and Finance, M. Corraza and C. Pizzi Eds, Springer Verlag, 283-293.
F. QUITTARD-PINON, R. RANDRIANARIVONY


Enquête déplacements web – face-à-face : quelle comparabilité ?,
Cahiers Scientifiques du Transport, 57, 141-167.
C. BAYART, P. BONNEL

Le potentiel du web pour les enquêtes de mobilité,
Courrier des Statistiques, 129, 6p.
C. BAYART, P. BONNEL

L’impact du mode d’enquête sur la mesure des comportements de mobilité,
Economie et Statistique, n° 437.
C. BAYART, P. BONNEL

Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes,
Journal of Mathematical Analysis and Applications, Vol. 367(2), 535-549.
R. BIARD, S. LOISEL, C. MACCI, N. VERAVERBEKE

Nonparametric statistical analysis of an upper bound of the ruin probability under large claims,
Extrêmes, Vol. 13, n° 4, 439-461.
P.L. CONTI, E. MASIELLO

Applications de techniques stochastiques pour l'analyse prospective de l'impact comptable du risque de taux,
Bulletin Français d’Actuariat, vol. 11, n°21. 
F. BONNIN, F. PLANCHET, M. JUILLARD

La mesure du prix de marché du risque : quels outils pour une utilisation dans les modèles en assurance ?
Assurances et gestion des risques, Vol.78 (3/4). 
A. CAJA, F. PLANCHET

Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité. Assurances et gestion des risques,
Insurance and Risk Management Journal, Montreal, Vol.78, 1-2.
A. FALEH, F. PLANCHET, D. RULLIERE

On the efficient evaluation of ruin probabilities for completely monotone claim size distributions,
Journal of Computational and Applied Mathematics, 233(10), 2724-2736.
H. ALBRECHER, F. AVRAM, D. KORTSCHAK

An asymptotic expansion for the tail of compound sums of Burr distributed random variables,
Statistics and Probability Letters, 80(78), 612-620.
D. KORTSCHAK, H. ALBRECHER

Quasi-Monte Carlo Techniques and Rare Event Sampling.Schweiz,
Aktuarver, Mitt., (1-2), 56-70.
J. HARTINGER, D. KORTSCHAK

Higher order expansions for compound distributions and ruin probabilities with subexponential claims,
Scandinavian Actuarial Journal, 110(2), 105-135.
H. ALBRECHER, C. HIPP, D. KORTSCHAK

Discrete-time risk models based on time series for count random variables,
Astin Bulletin, 40(1), 123-150.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS

On non-monetary measures in the face of risks and the sign of the derivatives,
Bulletin of Economic Research, 62, 295-304.
C. COURBAGE, B. REY

Some consequences of correlation aversion in decision science,
Annals of Operations Research, 176, 259-269.
M. DENUIT, L. EECKHOUDT, B. REY

Prudence, temperance, edginess and risk apportionment as decreasing sensitivity to detrimental changes,
Mathematical Social Sciences, Vol. 60, 137-143.
M. DENUIT, B. REY

L’horizon temporel dans Solvabilité 2,
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A. DERIEN

Testing the type of a semi-martingale: Ito against multifractal,
Electronic Journal of Statistics, 4, 1300-1323.
L. DUVERNET, C. ROBERT, M. ROSENBAUM

Graphical methods for investigating the finite-sample properties of confidence regions,
Computational Statistics and Data Analysis, 54, 262-271.
C. DE PERETTI, C. SIANI

Credit risk premia and quadratic BSDEs with a single jump,
International Journal of Theoretical and Applied Finance, 13, 1103-1129.
S. ANKIRCHNER, A. EYRAUD-LOISEL, M. ROYER-CARENZI

BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider,
Random Operators and Stochastic Equations, Volume 18, Issue 2, 141-163.
A. EYRAUD-LOISEL, M. ROYER-CARENZI

Hedging Default Risks of CDOs in Markovian Contagion Models,
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J-P. LAURENT, A. COUSIN, J-D. FERMANIAN

Stationary-excess operator and convex stochastic orders,
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Preserving preference rankings under non financial background risk,
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Les comportements de rachat en assurance vie en regime de croisière et en période de crise,
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Approximations comonotones pour le prix d’une option d’achat Européenne en présence de dividendes discrets,
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P.A. PATARD, J.C. AUGROS

On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring,
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On the microstructural hedging error. SIAM
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On the limiting spectral distribution of the covariance matrices of time-lagged processes,
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Asymptotic results for the sum of dependent non-identically distributed random variables,
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On ruin probability and aggregate claim representations for Pareto claim size distributions,
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On the efficiency of the Asmussen-Kroeseestimators and its application to stop-loss transforms Blatter DGVFM 30(2), 363-377.
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Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
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TVaR-based capital allocation with copulas,
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Mastering performance through quality and networking, Total Quality,
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Maîtriser la performance par la qualité et l'organisation réticulaire: l'exemple des établissements médico-sociaux,
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A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework,
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Regularity of the Euclid algorithm, application to the analysis of fast GCD algorithm,
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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,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 189-222.
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Optimal strategies in a risky debt context,
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Mesure des risques de marché et de souscription vie en situation d’information incomplète pour un portefeuille de prévoyance,
Bulletin Français d’Actuariat, Vol. 9, n° 18, 79-105.
J.P. FELIX, F. PLANCHET

Estimating Copula Densities through Wavelets,
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C. GENEST, E. MASIELLO, K. TRIBOULAY

A strong hysteretic model for Okun’s law: theory and preliminary investigation,
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Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
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C. LEFEVRE, S. LOISEL

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,
Insurance: Mathematics and Economics, Vol. 45, Issue 3, 374-381.
S. LOISEL, C. MAZZA, D. RULLIERE

Sensitivity analysis and density estimation for finite-time ruin probabilities,
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On cross risk vulnerability,
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Rentes en cours de service : un nouveau critère d'allocation d'actif,
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F. PLANCHET, P. THEROND

Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution,
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Inference for the limiting cluster size distribution of extreme values,
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A sliding blocks estimator for the extremal index,
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Tourism destination competitiveness: The french regions case,
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Les jeux d'entreprises : un outil de formation au management,
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Gestion stratégique d’un fonds de pension en temps continu,
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On finite-time ruin probabilities for classical risk models,
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C. LEFEVRE, S. LOISEL

Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationary assumptions are relaxed,
Insurance: Mathematics and Economics, 43, 412-421.
R. BIARD, C. LEFEVRE, S. LOISEL

Spectral risk measures and portfolio selection,
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Pricing derivatives with barriers in a stochastic interest rate environment,
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On the willingness to pay to reduce risks of small losses,
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Comparison results for exchangeable credit risk portfolios,
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Actuar : An R Package for Actuarial Science,
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Fair valuation of participating life insurance contracts with jumps risk,
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On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level,
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Mortality fluctuations modelling with a shared frailty approach,
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Exponential inequalities for VLMC empirical trees. ESAIM Prob. Stat., 12, 119-229.
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The optimal capital structure of the firm with stable Lévy asset returns,
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Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin,
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Perturbations extrêmes sur la dérive de mortalité anticipée,
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Valuing Options in Jump Diffusion Models using Generalized Fourier Analysis,
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Calibrage d’options pour trois modèles mixtes diffusions et sauts,
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How to price efficiently European options in some geometric Lévy processes models,
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Tails of random sums of a heavy-tailed number of light-tailed terms,
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C. ROBERT, J. SEGERS

Estimating the multivariate extremal index function,
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C. ROBERT

Le théâtre, un outil de formation au management,
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IFRS, solvabilité 2, embedded value : quel traitement du risque ?
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Contrôle interne, contrôle externe et qualité : le cas des services et établissements sociaux et médico-sociaux,
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Comment mesurer l’éthique dans les services et établissements sociaux et médico-sociaux ?
Droit Déontologie et Santé, septembre, 15 p.
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Beyond the Gaussian Copula: Stochastic and Local Correlation,
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Precautionary Saving in the Presence of Other Risks,
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Negative binomial version of the Lee-Carter model for mortality forecasting,
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A. DELWARDE, M. DENUIT, C. PARTRAT

A good sign for multivariate risk taking,
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Time to ruin, insolvency penalties and dividends in a Markov-modulated multirisk model with common shocks,
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S. LOISEL

Outils numériques pour la simulation Monte Carlo des produits dérivés complexes,
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P.A. PATARD

Construction de tables de mortalité prospectives : le cas des petites populations,
Bulletin Français d'Actuariat, Vol. 7, n° 14, 118-146.
F. PLANCHET, V. LELIEUR

L’utilisation des splines bi-dimensionnels pour l'estimation de lois de maintien en arrêt de travail,
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F. PLANCHET, P. WINTER

Stochastic stability of some state-dependent growth-collapse processes,
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C. ROBERT

Analysing the performance of bootstrap neural tests for conditional heteroskedascity in ARCH-M models,
Computational Statistics & Data Analysis, Vol. 51, Issue 5, February, 2442-2460.
C. SIANI, C. DE PERETTI

Provisions et capital de solvabilité d'une compagnie d'assurance : méthodologie d'utilisation de Value-at-Risk,
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A nonhomogeneous risk model for insurance,
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C. LEFEVRE, Ph. PICARD

Le point sur les options parisiennes et leurs applications,
Banque & Marchés n°82.
C. BERNARD, O. LE COURTOIS

Development and pricing of a new participating contract,
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C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON

Alternative Risk Measures for Alternative Investments,
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Prudence and optimal prevention for health risks,
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Ch. COURBAGE, B. REY

Decision-making with the incremental cost-effectiveness ratio under uncertainty, Health and System Science, SAS - 9/2006, Information decision patient, 111-145.
C. DE PERETTI, C. SIANI

Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model, Asia-Pacific 
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Extreme dependence of multivariate catastrophic losses,
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On the pricing of power and other polynomial options,
Journal of Derivatives, Vol. 13, n°4: 61-71. 
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On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns,
Applied Financial Economics, Vol. 16, n° 3, 271 – 289.
Y. MALEVERGNE, V. PISARENKO, D. SORNETTE

Exponential inequalities and functional estimations for weak dependent data; applications to dynamical systems,
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Exponential inequalities and estimation of conditional probabilities, Lect. notes in Stat.,
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Étude du risque systématique de mortalité,
Assurances et Gestion des Risques, Vol. 74 (3). 
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Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes,
Assurances et Gestion des Risques, Vol 75 (3). 
F. PLANCHET, M. JUILLARD

Backward stochastic differential equations with jumps and related non-linear expectations,
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Fieller's method performance in problematic cases for decision-making,
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