fr
en
Publications du Laboratoire SAF
Publications antérieures ou hors HAL :
2017
Boulier J.F., Brexit, an un, paru dans Option Finance, Mai 2017
Boulier J.F., Quelle nouvelle crise nous menace, et comment s'en prémunir ?, paru dans Gestion de Fortune, Juin 2017
Boulier J.F., M&M, paru dans Option Finance le 19 juin 2017
Boulier J.F., Chronique d'une très grande crise (couverture), aux éditions MA éditions - ESKA, Avril 2017
Boulier J.F., Long Term Savings Performances: The 40 year track record of Afer funds, paru dans Bankers, Markets & Investors n°146 (janvier-février 2017)
Viot C, Benraïss-Noailles L (2017), Qu’en est-il de l’attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur, Revue Française de Gestion, Numéro spécial Low cost, (accepté le 29 mai 2017), à paraître
2016
Boulier J.F., Les frontières seront-elles efficientes ? , paru dans Risques n°108 (décembre 2016)
Boulier J.F., Brexit et conséquences, paru dans Option Finance (Octobre 2016)
Boulier J.F., Fierté française, paru dans Le Revenu (Septembre 2016)
2015
Decision thresholds and changes in risk for preventive treatmentHealth 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
Viot C. (2015), Le dialogue marque-client : une réalité ? La revue des marques, n° 82, Octobre, 58-62.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, 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.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, 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.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
2013
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)
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb 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)
Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.
Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.
Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.
Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb 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)
Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.
Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.
Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.
Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
2011
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)
Viot C. (2011), Can brand identity predict brand extension’s success or failure? Journal of Product & Brand Management, 20, 3, 216-227.
2010
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,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 43-62.
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,
Quantitative Finance, 1-19.
J-P. LAURENT, A. COUSIN, J-D. FERMANIAN
Stationary-excess operator and convex stochastic orders,
Insurance : Mathematics and Economics, Vol. 47, 64-75.
C. LEFEVRE, S. LOISEL
Preserving preference rankings under non financial background risk,
Journal of the Operational Research Society, 61, 1302-1308.
Y. MALEVERGNE, B. REY
Les comportements de rachat en assurance vie en regime de croisière et en période de crise,
Risques, n° 83, Septembre.
X. MILHAUD, M.P. GONON, S. LOISEL
Approximations comonotones pour le prix d’une option d’achat Européenne en présence de dividendes discrets,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 5-42.
P.A. PATARD, J.C. AUGROS
On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring,
Statistics and Probability Letters, 80, 134-142.
C. ROBERT
On the microstructural hedging error. SIAM
Journal of Financial Mathematics, 1, 427-453.
C. ROBERT, M. ROSENBAUM
On the limiting spectral distribution of the covariance matrices of time-lagged processes,
Journal of Multivariate Analysis, 101, 2434-2451.
C. ROBERT, M. ROSENBAUM
A paraitre
Hedging of defaultable contingent claims using BSDE with uncertain time horizon, Bulletin Français d’Actuariat, à paraître.
C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, M. ROYER-CARENZI (2010)
2009
Asymptotic results for the sum of dependent non-identically distributed random variables,Methodology and Computing in Applied Probability, 11, 279-306.
D. KORTSCHAK, H. ALBRECHER
On ruin probability and aggregate claim representations for Pareto claim size distributions,
Insurance: Mathematics and Economics, 45(3): 362-373.
H. ALBRECHER, D. KORTSCHAK
On the efficiency of the Asmussen-Kroeseestimators and its application to stop-loss transforms Blatter DGVFM 30(2), 363-377.
J. HARTINGER, D. KORTSCHAK
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied Probability, 11, 425-441.
C. LEFEVRE, S. LOISEL
TVaR-based capital allocation with copulas,
Insurance : Mathematics and Economics, Vol. 45, 348-361.
M. BARGES, H. COSSETTE, E. MARCEAU
Mastering performance through quality and networking, Total Quality,
Management, Vol. 21, n°4, pp.413-428.
S. BERTEZENE, J. MARTIN
Maîtriser la performance par la qualité et l'organisation réticulaire: l'exemple des établissements médico-sociaux,
Revue Marocaine de Commerce et de Gestion.
S. BERTEZENE, J. MARTIN
A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework,
Journal of Derivatives, Vol. 16, n°4, 9-37.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT
Regularity of the Euclid algorithm, application to the analysis of fast GCD algorithm,
Journal of Symbolic Computation, 44, n°7, 726-767.
E. CESARATTO, J. CLEMENT, B. DAIREAUX, L. LHOTE, V. MAUME-DESCHAMPS, B. VALLEE
Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula ?
Bulletin Français d’Actuariat, Vol. 9, n° 18, 107-145.
L. DEVINEAU, S. 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, Vol. 9, n° 17, 189-222.
L. DEVINEAU, S. LOISEL
Optimal strategies in a risky debt context,
An International Journal of Probability and Stochastics Processes, Vol. 81, Nos. 3-4,269-277.
D. DOROBANTU, M. MANCINO, M. PONTIER
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,
Insurance: Mathematics and Economics, 44, 170-181.
C. GENEST, E. MASIELLO, K. TRIBOULAY
A strong hysteretic model for Okun’s law: theory and preliminary investigation,
International Review of Applied Economics, Vol. 3, Issue 4, July 2009, 445-462.
D. LANG, C. DE PERETTI
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied probability, Vol. 11, n° 3, 425-441.
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,
Journal of Computational and Applied Mathematics, Vol. 230, n° 1, 107-120.
S. LOISEL, N. PRIVAULT
On cross risk vulnerability,
Insurance: Mathematics and Economics, Vol. 45, 224-229.
Y. MALEVERGNE, B. REY
Rentes en cours de service : un nouveau critère d'allocation d'actif,
Bulletin Français d'Actuariat, Vol. 9, n° 17, 37-69.
F. PLANCHET, P. THEROND
Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution,
Journal of Statistical Planning and Inference, 139, 3288-3309.
C. ROBERT
Inference for the limiting cluster size distribution of extreme values,
The Annals of Statistics, 37, 271-310.
C. ROBERT
A sliding blocks estimator for the extremal index,
Electronic Journal of Statistics, 3, 993–1020.
C. ROBERT, J. SEGERS, C. FERRO
Tourism destination competitiveness: The french regions case,
European Journal of Tourism Research, Vol.2, No.2.
E. ROBINOT, L. BOTTI, N. PEYPOCH, B. SOLONANDRASANA
Les jeux d'entreprises : un outil de formation au management,
Revue Éducation Permanente, n° 178/2009-1, 143-150.
M. SALGADO
Gestion stratégique d’un fonds de pension en temps continu,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 110-153.
M. TALFI
2008
On finite-time ruin probabilities for classical risk models,Scandinavian Actuarial Journal 1, 41-60.
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,
Journal of Banking and Finance, Vol. 32, n°9, 1870-1882.
A. ADAM, M. HOUKARI, J-P. LAURENT
Pricing derivatives with barriers in a stochastic interest rate environment,
Journal of Economic Dynamics and Control, 32, 2903-2938.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON
On the willingness to pay to reduce risks of small losses,
Journal of Economics, 95, 75-82.
C. COURBAGE, B. REY
Comparison results for exchangeable credit risk portfolios,
Insurance: Mathematics and Economics, Vol. 42, n°3, 1118-1127.
A. COUSIN, J-P. LAURENT
Actuar : An R Package for Actuarial Science,
Journal of Statistical Software, Volume 25, Issue 7.
C. DUTANG, V. GOULET, M. PIGEON
Fair valuation of participating life insurance contracts with jumps risk,
The Geneva Review on Risk and Insurance Theory, Vol. 33, 106-136.
O. LE COURTOIS, F. QUITTARD-PINON
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level,
Bulletin Français d'Actuariat, No. 15, Vol. 9.
W. FISHER, S. LOISEL, S. WANG
Mortality fluctuations modelling with a shared frailty approach,
Life & Pensions, octobre, 39-44.
S. FULLA, J-P. LAURENT
Exponential inequalities for VLMC empirical trees. ESAIM Prob. Stat., 12, 119-229.
A. GALVES, V. MAUME-DESCHAMPS, B. SCHMITT
The optimal capital structure of the firm with stable Lévy asset returns,
Decisions in Economics and Finance, 31, 51-72.
O. LE COURTOIS, F. QUITTARD-PINON
Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin,
Insurance: Mathematics and Economics, Volume 42, Issue 2, April, 746-762.
S. LOISEL, C. MAZZA, D. RULLIERE
Perturbations extrêmes sur la dérive de mortalité anticipée,
Assurances et Gestion des Risques, Vol. 76(3)
F. PLANCHET, M. JUILLARD, P. THEROND
Valuing Options in Jump Diffusion Models using Generalized Fourier Analysis,
Banque & Marchés, n° 97, novembre-décembre.
F. QUITTARD-PINON, R. RANDRIANANIVONY
Calibrage d’options pour trois modèles mixtes diffusions et sauts,
Revue Finance, vol. 29, n° 2, 103-130.
F. QUITTARD-PINON, R. RANDRIANANIVONY
How to price efficiently European options in some geometric Lévy processes models,
International Journal of Business, vol. 13, n° 4, 301-314.
F. QUITTARD-PINON, R. RANDRIANANIVONY
Tails of random sums of a heavy-tailed number of light-tailed terms,
Insurance: Mathematics and Economics, 43, 85-92.
C. ROBERT, J. SEGERS
Estimating the multivariate extremal index function,
Bernoulli, 14, 1027-1064.
C. ROBERT
Le théâtre, un outil de formation au management,
Revue Française de Gestion, Vol. 34/181, 77-96.
M. SALGADO
IFRS, solvabilité 2, embedded value : quel traitement du risque ?
Bulletin Français d’Actuariat, vol. 8, n° 15, janvier-juin, 67-96.
P. THEROND
2007
Contrôle interne, contrôle externe et qualité : le cas des services et établissements sociaux et médico-sociaux,Economie et Management, juin, 8 p.
S. BERTEZENE
Comment mesurer l’éthique dans les services et établissements sociaux et médico-sociaux ?
Droit Déontologie et Santé, septembre, 15 p.
S. BERTEZENE, J.J. NILLES
Beyond the Gaussian Copula: Stochastic and Local Correlation,
Journal of Credit Risk, Vol. 3, n°1, 31-62.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT
Precautionary Saving in the Presence of Other Risks,
Economic Theory, 32: 414-424.
C. COURBAGE, B. REY
Negative binomial version of the Lee-Carter model for mortality forecasting,
Applied Stochastic Models in Business and Industry. Volume 23, Issue 5, 385-401.
A. DELWARDE, M. DENUIT, C. PARTRAT
A good sign for multivariate risk taking,
Management Science, 53: 117-124.
L. EECKHOUDT, B. REY, H. SCHLESINGER
Time to ruin, insolvency penalties and dividends in a Markov-modulated multirisk model with common shocks,
Bulletin Français d'Actuariat, No. 14, Vol. 8, 4-24.
S. LOISEL
Outils numériques pour la simulation Monte Carlo des produits dérivés complexes,
Bulletin Français d’Actuariat, vol. 8, n° 14, 74-117.
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,
Bulletin Français d’Actuariat, Vol. 7, n° 13.
F. PLANCHET, P. WINTER
Stochastic stability of some state-dependent growth-collapse processes,
Advances in Applied Probability, 39, 1-32.
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,
Assurances et Gestion des Risques, Vol. 74 (4).
P. THEROND, F. PLANCHET
2006
A nonhomogeneous risk model for insurance,Computers and Mathematics with Applications, 51, 325-334.
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,
North American Actuarial Journal, 10(4), 179-195.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON
Alternative Risk Measures for Alternative Investments,
Journal of Risk, Vol. 8, n°4, 1-32.
A. CHABAANE, J-P. LAURENT, Y. MALEVERGNE, F. TURPIN
Prudence and optimal prevention for health risks,
Health Economics, Vol 15, n°12, 1323-1327.
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
Financial Markets, 13, 11- 39.
O. LE COURTOIS, F. QUITTARD-PINON
Extreme dependence of multivariate catastrophic losses,
Scandinavian Actuarial Journal, 2006-4, 203-225.
L. LESCOURRET, C. ROBERT
On the pricing of power and other polynomial options,
Journal of Derivatives, Vol. 13, n°4: 61-71.
S. MACOVSCHI, F. QUITTARD-PINON
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,
Stochastics and Dynamics, 6, no. 4, 535-560.
V. MAUME-DESCHAMPS
Exponential inequalities and estimation of conditional probabilities, Lect. notes in Stat.,
Springer, Vol. 187, 123-140.
V. MAUME-DESCHAMPS
Étude du risque systématique de mortalité,
Assurances et Gestion des Risques, Vol. 74 (3).
F. PLANCHET, L. FAUCILLON, M. JUILLARD
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,
Stochastic Processes and Their Applications, Vol. 116, n°10, 1358-1376.
M. ROYER
Fieller's method performance in problematic cases for decision-making,
Health and System Science, SAS - 9/2006, Information decision patient, 205-226.
C. SIANI, C. DE PERETTI
Flux RSS HAL
- [hal-02089617] L'effet du capital marque employeur sur l'attractivité organisationnelle : Le rôle modérateur de la familiarité4 avril 2019Cet article a pour double objectif de tester la pertinence empirique de la notion de capital marque appliquée à l’employeur et d’étudier sa relation avec l’attractivité organisationnelle. Elle s’appuie sur une étude auprès d’un échantillon de futurs diplômés. Les résultats montrent que les dimensions du capital marque employeur sont liées de manière différenciée avec l’attractivité organisationnelle. Ils montrent également que l’effet modérateur de la familiarité à l’égard de l’entreprise sur la relation entre le capital marque employeur et l’attractivité n’est pas celui qui était attendu.
- [hal-00634326] Almost sure rates of mixing for i.i.d. unimodal maps.20 octobre 2011It has been known since the pioneering work of Jakobson and subsequent work by Benedicks and Carleson and others that a positive measure set of quadratic maps admit an absolutely continuous invariant measure. Young and Keller-Nowicki proved exponential decay of its correlation functions. Benedicks and Young, and Baladi and Viana studied stability of the density and exponential rate of decay of the Markov chain associated to i.i.d. small perturbations. The almost sure statistical properties of the sample stationary measures of i.i.d. itineraries are more difficult to estimate than the "averaged statistics". Adapting to random systems, on the one hand partitions associated to hyperbolic times due to Alves, and on the other a probabilistic coupling method introduced by Young to study rates of mixing, we prove stretched exponential upper bounds for the almost sure rates of mixing.
- [hal-04986564] Towards more reliable public transportation Wi-Fi Origin-Destination matrices: Modeling errors using synthetic noise and optical counts12 mars 2025To continuously monitor mobility flows aboard public transportation, low-cost data collection methods based on the passive detection of Wi-Fi signals are promising technological solutions, but they yield uncertain results. We assess the accuracy of these results in light of a three-month experimentation conducted aboard buses equipped with Wi-Fi sensors in a sizable French conurbation. We put forward a method to quantify the error between the stop-to-stop origin-destination (O-D) matrix produced by Wi-Fi data and the ground truth, when the (estimated and real) volumes per boarding and alighting are known. To do so, the error in the estimated matrix is modeled by random noise. Neither additive, nor multiplicative noise replicate the experimental results. Noise models that concentrate on the short O-D trips and/or the central stops better reflect the structure of the error. But only by introducing distinct uncertainties between the boarding stop and the alighting stop can we recover the asymmetry between the alighting and boarding errors, as well as the correct ratios between these aggregate errors and the O-D error. Thus, our findings give insight into the main sources of error in the Wi-Fi based reconstruction of O-D matrices. They also provide analysts with an automatic and reproducible way to control the quality of O-D matrices produced by Wi-Fi data, using (readily available) count data.
- [hal-05417123] Creation of chaos for interacting Brownian particles15 décembre 2025<div><p>We consider a system of N Brownian particles, with or without inertia, interacting in the mean-field regime via a weak, smooth, long-range potential, and starting initially from an arbitrary exchangeable N -particle distribution. In this model framework, we establish a fine version of the so-called creation-of-chaos phenomenon: in weak norms, the mean-field approximation for a typical particle is shown to hold with an accuracy O(N -1 ) up to an error due solely to initial pair correlations, which is damped exponentially over time. Corresponding higher-order results are also derived in the form of higher-order correlation estimates. The approach is new and easily adaptable: we start from suboptimal correlation estimates obtained from an elementary use of Itô's calculus on moments of the empirical measure, together with ergodic properties of the mean-field dynamics, and these bounds are then made optimal after combination with PDE estimates on the BBGKY hierarchy.</p></div>
- [hal-04875628] Neural Tests for Conditional Heteroskedasticity in ARCH-M Models16 décembre 2025This paper deals with tests for detecting conditional heteroskedasticity in ARCH-M models using three kinds of methods: neural networks techniques, bootstrap methods and both combined.As regards the ARCH models, Péguin-Feissolle (2000) developed tests based on the modelling techniques with neural network. However, as regards the ARCH-M models, a nuisance parameter is not identified and the tests are not applicable. To solve this problem, we propose to adapt these neural tests to Davies procedure (1987) leading to new tests. The performance of these latter tests are compared with those of Bera and Ra test (1995).However, Bera and Ra test has not really satisfactory performance and suffer from serious size distortion. Our neural test will have the same problem. To solve this second problem, without loss of power, we apply parametric and nonparametric bootstrap methods on the underlying test statistics.Lastly, to examine the size and the power properties of the tests in small samples, Monte Carlo simulations are carried out with various standard and non-standard models for conditional heteroskedasticity as to illustrate a variety of situations. In addition, the graphical presentation of Davidson and MacKinnon (1998a) is used to show the "true" power of the tests and not only the (nominal) power, as it is often the case, that can be meaningless.
- [hal-04875474] On the Measurement and Extent of Banks’ Political Connection in the Middle East and North Africa Region8 janvier 2025In this article, we attempt to create a new measure of political connections specific to the Middle East and North Africa (MENA) region to examine the extent to which political patronage affects banks’ leverage and risk in this region. Principal component analysis and panel regressions are performed for a sample of banks operating in the MENA region between 2003 and 2017. The new measure incorporates different forms of political links and aspects. A comparison between two political connections variables provides evidence that our measure may outperform the use of a binary variable. Also, our results regarding the MENA region are different from previous ones, which may be explained by the failure of binary variables to capture the real impact of political connection.
- [hal-04875470] Political patronage and banks’ leverage in the Middle Eastern and North African region: A new neural panel regression analysis9 juillet 2025This research examines the effect of political patronage on financing decisions for a sample of 67 commercial banks from the Middle Eastern and North African region for the period 2003–2017. For this purpose, a fixed-effects neural panel model was developed to investigate this relationship, which has not been done in previous research. In contrast to classical panel regression, our model allows for the detection of all possible combinations among the variables. Although scant evidence on a direct impact of the political connection exists, the results reveal that the effect of political patronage on leverage is non-linear through its interaction with bank profitability and efficiency. The non-linear effect is also related to the political and institutional environments.
- [hal-04875524] Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries8 janvier 2025This study examines the association between political patronage and bank financing decisions in a sample of 34 commercial banks operating in the Middle East and North Africa for the period 2003–2014. We collected information manually about the profiles and biographies of individuals on the boards of banks to identify which banks had political connections, which is the novel contribution of the study. Linear and nonlinear panel data analysis was used to investigate this relationship. The results reveal that politically backed banks tend to be more leveraged. The indirect effect of political patronage on leverage was not found to be large, but was significant through its interaction with profitability; that is, politically backed banks with higher profitability are positively associated with leverage. Our findings imply that the privileges resulting from political ties make banks more profitable, and that this also leads to higher leverage. In line with the related literature, we found that a strong political presence on the boards of banks can be considered an important intangible asset, and one of the factors driving bank financing decisions.
- [hal-01343702] Information uncertainty related to marked random times and optimal investment1 mars 2017We study an optimal investment problem under default risk where related information such as loss or recovery at default is considered as an exogenous random mark added at default time. Two types of agents who have different levels of information are considered. We first make precise the insider's information flow by using the theory of enlargement of filtrations and then obtain explicit logarithmic utility maximization results to compare optimal wealth for the insider and the ordinary agent. MSC: 60G20, 91G40, 93E20
- [hal-05411273] L’assureur automobile peut opposer la nullité de son contrat à quelqu’un !11 décembre 2025[...]
- [hal-05411270] Garanties invalidité et clauses abusives : une nouvelle ombre au tableau11 décembre 2025[...]
- [hal-03861242] Impact of in Situ Simulated Climate Change on Communities and Non-Indigenous Species: Two Climates, Two Responses3 avril 2023Climate change constitutes a major challenge for marine urban ecosystems and ocean warming will likely strongly affect local communities. Non-Indigenous Species (NIS) have been shown to often have higher heat resistance than natives, but studies investigating how forthcoming global warming might affect them in marine urban environments remain scarce, especially in situ studies. Here we used an in situ warming experiment in a NW Mediterranean (warm temperate) and a NE Atlantic (cold temperate) marina to see how global warming might affect recruited communities in the near future. In both marinas, warming resulted in significantly different community structure, lower biomass, and more empty space compared to control. However, while in the warm temperate marina, NIS showed an increased surface cover, it was reduced in the cold temperate one. Metabolomic analyses on Bugula neritina in the Atlantic marina revealed potential heat stress experienced by this introduced bryozoan and a potential link between heat stress and the expression of a halogenated alkaloid, Caelestine A. The present results might indicate that the effects of global warming on the prevalence of NIS may differ between geographical provinces, which could be investigated by larger scale studies.
- [hal-01803653] The Link Between Benevolence and Well-Being in the Context of Human-Resource Marketing30 mai 2018Although interest in the subject of human-resource marketing is growing among researchers and practitioners, there have been remarkably few studies on the effects on employees of how benevolent their organization is. This article looks at the link between the presumption of organizational benevolence and the well-being of employees at work. The results of an empirical study of 595 employees show that the presumption of organizational benevolence is positively linked to employee well-being. The effect is indirect, as it is mediated by the perceived level of organizational support. The existence of a link between employee well-being and intention to quit the company is also confirmed. Keywords Human-resource marketing, presumption of organizational benevolence, well-being at work, perceived organizational support, intention to leave the job. List of abbreviations WB Well-being POB Presumption of organizational benevolence POS Perceived organizational support
- [hal-01803664] Employeurs démarquez-vous ! La marque employeur, un gisement de valeur inexploité ?31 mai 2018Cet article propose une revue de la littérature consacrée à la marque employeur. Le concept et sa mesure font tout d’abord l’objet d’une présentation et d’une discussion. Une définition est proposée avant que les antécédents de la marque employeur ne soient exposés. Les effets de la marque employeur sur les employés actuels et potentiels sont ensuite discutés. Enfin, notre état de l’art débouche sur un modèle intégrateur des effets internes et externes de la marque employeur. A la suite de ce modèle, un programme de recherche, destiné à combler les zones peu ou pas explorées à ce jour, est proposé.
- [hal-01803635] L' attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur31 mai 2018Cette recherche s’intéresse aux effets du capital-marque employeur (CME) sur l’attractivité organisationnelle (AO). Le CME reflète la valeur de la marque employeur en tant qu’actif intangible. La valeur perceptuelle du CME est multidimensionnelle (valeur intérêt, sociale, économique, etc.). La question centrale est de savoir si les leviers de l’AO diffèrent selon la propension à accepter un emploi dans une entreprise dite low-cost. Une étude montre que cette propension dépend des attributs recherchés chez un employeur. Pour ceux qui sont prêts à accepter un tel emploi, l’AO résulte de la valeur intérêt, alors que ceux qui rejettent cette possibilité recherchent la valeur sociale et la valeur économique.
- [hal-01803862] Les médias sociaux dans les stratégies de recrutement. Quelle compatibilité avec la vie privée ?31 mai 2018Cet article s’interroge sur les conséquences en matière de respect de la vie privée de l’utilisation des réseaux sociaux (RS) dans le processus de recrutement. Les résultats de deux études – l’une conduite auprès de jeunes diplômés de la génération Y et l’autre auprès de recruteurs issus de la génération X - soulignent des divergences quant à ce que les gens pensent connaître du web 2.0. Ces différences entrainent des pratiques distinctes en matière d’utilisation des RS dans le contexte spécifique du recrutement mais également en ce qui concerne les préoccupations à l’égard de la vie privée.
- [hal-01550312] Counterparty Credit Risk in OTC Derivatives under Basel III29 juin 2017Recent financial crises were the root of many changes in regulatory implementations in the banking sector. Basel previously covered the default capital charge for counterparty exposures however, the crisis showed that more than two third of the losses related to this risk emerged from the exposure to the movement of the counterparty's credit quality and not its actual default therefore, Basel III divided the required counterparty risk capital into two categories: The traditional default capital charge and an additional counter-party credit valuation adjustment (CVA) capital charge. In this article, we explain the new methodologies to compute these capital charges on the OTC market: The standardized approach for default capital charge (SA-CCR) and the basic approach for CVA (BA-CVA). Based on historical calibration and future estimations, we built internal models in order to compare them with the amended standardized approach. Up till June 2015, interest rate and FX derivatives constituted more than 90% of the traded total OTC notional amount; we constructed our application on such portfolios containing and computed their total counterparty capital charge. The analysis reflected different impacts of the netting and collateral agreements on the regulatory capital depending on the instruments' typologies. Moreover, results showed an important increase in the capital charge due to the CVA addition doubling it in some cases.
- [hal-01217928] Analyzing and Comparing Basel's III Sensitivity Based Approach for the interest rate risk in the trading book23 octobre 2015A bank's capital charge computation is a widely discussed topic with new approaches emerging continuously. Each bank is computing this figure using internal methodologies in order to reflect its capital adequacy; however, a more homogeneous model is recommended by the Basel committee to enable judging the situation of these financial institutions and comparing different banks among each other. In this paper, we compare different numerical and econometric models to the sensitivity based approach (SBA) implemented by BCBS under Basel III in its February 2015 publication in order to compute the capital charge, we study the influence of having several currencies and maturities within the portfolio and try to define the time horizon and confidence level implied by Basel s III approach through an application on bonds portfolios. By implementing several approaches, we are able to find equivalent VaRs to the one computed by the SBA on a pre-defined confidence level (97.5 %). However, the time horizon differs according to the chosen methodology and ranges from 1 month up to 1 year.
- [hal-04936065] Creation of a Spatiotemporal Algorithm and Application to COVID-19 Data8 février 2025This study offers an in-depth analysis of the COVID-19 pandemic's trajectory in several member countries of the European Union (EU) in order to assess similarities in their crisis experiences. We also examine data from the United States to facilitate a larger comparison across continents. We introduce our new approach, which uses a spatiotemporal algorithm to identify five distinct and recurring phases that each country underwent at different times during the COVID-19 pandemic. These stages include: Comfort Period, characterized by minimal COVID-19 activity and limited impacts; Preventive Situation, demonstrating the implementation of proactive measures, with relatively low numbers of cases, deaths, and Intensive Care Unit (ICU) admissions; Worrying Situation, is defined by high levels of concern and preparation as deaths and cases begin to rise and reach substantial levels; Panic Situation, marked by a high number of deaths relative to the number of cases and a rise in ICU admissions, denoting a critical and alarming period of the pandemic; and finally, Epidemic Control Situation, distinguished by limited numbers of COVID-19 deaths despite a high number of new cases. By examining these phases, we identify the various waves of the pandemic, indicating periods where the health crisis had a significant impact. This comparative analysis highlights the time lags between countries as they transitioned through these different critical stages and navigated the waves of the COVID-19 pandemic.
- [hal-04596120] Impacts of Climate Change on Mortality: An extrapolation of temperature effects based on time series data in France28 juillet 2025Most contemporary mortality models rely on extrapolating trends or past events. However, population dynamics will be significantly impacted by climate change, notably the influence of temperatures on mortality. In this paper, we introduce a novel approach to incorporate temperature effects on projected mortality using a multi-population mortality model. This method combines a stochastic mortality model with a climate epidemiology model, predicting mortality variations due to daily temperature fluctuations, be it excesses or insufficiencies. The significance of this approach lies in its ability to disrupt mortality projections by utilizing temperature forecasts from climate models and to assess the impact of this unaccounted risk factor in conventional mortality models. We illustrate this proposed mortality model using French data stratified by gender, focusing on past temperatures and mortality. Utilizing climate model predictions across various IPCC scenarios, we investigate gains and loss in life expectancy linked to temperatures and the additional mortality induced by extreme heatwaves, and quantify them by assessing this new risk factor in prediction intervals. Furthermore, we analyze the geographical differences across the Metropolitan France.
- [hal-01955227] Contribution of alcohol use disorders to the burden of dementia in France 2008–13: a nationwide retrospective cohort study14 décembre 2018BACKGROUND: Dementia is a prevalent condition, affecting 5-7% of people aged 60 years and older, and a leading cause of disability in people aged 60 years and older globally. We aimed to examine the association between alcohol use disorders and dementia risk, with an emphasis on early-onset dementia (<65 years). METHODS: We analysed a nationwide retrospective cohort of all adult (≥20 years) patients admitted to hospital in metropolitan France between 2008 and 2013. The primary exposure was alcohol use disorders and the main outcome was dementia, both defined by International Classification of Diseases, tenth revision discharge diagnosis codes. Characteristics of early-onset dementia were studied among prevalent cases in 2008-13. Associations of alcohol use disorders and other risk factors with dementia onset were analysed in multivariate Cox models among patients admitted to hospital in 2011-13 with no record of dementia in 2008-10. FINDINGS: Of 31 624 156 adults discharged from French hospitals between 2008 and 2013, 1 109 343 were diagnosed with dementia and were included in the analyses. Of the 57 353 (5·2%) cases of early-onset dementia, most were either alcohol-related by definition (22 338 [38·9%]) or had an additional diagnosis of alcohol use disorders (10 115 [17·6%]). Alcohol use disorders were the strongest modifiable risk factor for dementia onset, with an adjusted hazard ratio of 3·34 (95% CI 3·28-3·41) for women and 3·36 (3·31-3·41) for men. Alcohol use disorders remained associated with dementia onset for both sexes (adjusted hazard ratios >1·7) in sensitivity analyses on dementia case definition (including Alzheimer's disease) or older study populations. Also, alcohol use disorders were significantly associated with all other risk factors for dementia onset (all p<0·0001). INTERPRETATION: Alcohol use disorders were a major risk factor for onset of all types of dementia, and especially early-onset dementia. Thus, screening for heavy drinking should be part of regular medical care, with intervention or treatment being offered when necessary. Additionally, other alcohol policies should be considered to reduce heavy drinking in the general population. FUNDING: None.
- [halshs-01784310] [Methods for the analysis and treatment of cost data by micro- and gross-costing approaches]3 mai 2018This work addresses the analysis of individual cost data in the setting of interventional or observational studies using statistical analysis software once the costs per patient have been estimated. It is in fact necessary to be able to present and describe data in an appropriate manner in each of the studied health strategies and to test whether the difference in costs observed between treatment groups is due to chance or not. Furthermore, cost analysis differs from conventional statistical analysis in that cost data have a certain number of specific properties, including their use by health decision-makers. This work also addresses the difficulties that generally arise in regard to the distribution of cost; it explains why the mathematical average constitutes the only relevant measure for economists; and it outlines which analyses are required for inter-strategy cost comparisons. It also covers the issue of missing or censored data, features that are inherent to information collected regarding costs and to sensitivity analyses.
- [halshs-00566853] Le potentiel du web pour les enquêtes de mobilité21 février 2011Les taux de réponse des enquêtes ménages déplacements tendent à décroître dans le temps, et il semble peu probable que cette tendance s'inverse à l'avenir. Ces dernières années, les méthodes utilisées pour recueillir les données de mobilité ont évolué afin de prendre en compte deux paramètres : la nécessité d'obtenir des informations fiables et suffisamment précises pour nourrir des modèles de plus en plus complexes et l'intégration des nouvelles technologies dans les protocoles d'enquête (web, GPS...). La combinaison de différents médias s'est imposée comme un moyen d'améliorer la qualité des données produites à moindre coût, en permettant une augmentation du taux de réponse global. Mais la question de la comparabilité des données dans le temps et entre les différents modes reste entière. Cet article propose une analyse comparative des comportements de mobilité des individus qui ont répondu à une enquête web, avec ceux soumis à un questionnaire en face-à-face. Les données sont issues de l'enquête ménages déplacements menée en 2006 dans l'agglomération lyonnaise. L'analyse montre que les internautes sont moins mobiles que les individus qui répondent en face-à-face (3.00 vs. 3.63 déplacements quotidiens), avec des différences plus ou moins marquées selon les modes et les motifs. Si les différences socioéconomiques des répondants peuvent expliquer en partie cet écart (les internautes ont un profil particulier), l'hypothèse d'une sous-déclaration imputable au média web n'est pas à exclure.
- [hal-02006628] CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION4 février 2019[...]
- [halshs-04659938] Workshop synthesis: Data Fusion - Generating More Than a Sum of Parts23 juillet 2024This report summarizes the insights from a workshop conducted during the 12th International Conference on Transport Survey Methods focusing on data fusion. The workshop discussion and the presentations illustrated that data fusion comes in many ways utilizing various data and methodologies. While much of the academic literature and practical applications of data fusion in transport apply to travel demand modelling, fusion in the context of travel survey data production is still in its infancy. Despite data fusion's acknowledged potential, a reason for this hesitancy is a lack of quality standards. The report recommends future research to improve knowledge about the suitability of data and methodologies for fusion and the development of respective standards. This will be necessary to convince stakeholders that the quality of fused data is not inferior to any single data source, be it travel survey data or, e.g. mobile phone data.
- [hal-04998447] Risk assessment for synthetic GICs: a quantitative framework for asset–liability management26 mai 2025Abstract This study addresses a research gap in quantitative modeling framework and scenario analysis for the risk management of stable value fund wraps, a crucial segment of the U.S. financial market with over USD $400 billion in assets. In this paper, we present an asset–liability model that encompasses an innovative approach to modeling the assets of fixed-income funds coupled with a liability model backed by empirical analysis on a unique data set covering 80% of the stand-alone plan sponsor market, contrasting with models based solely on regular deterministic cash flows and interest rate differences. Our model identifies and analyzes two critical risk scenarios from the insurer’s perspective: inflationary and yield spike. Our approach demonstrates that the tail risk of wraps, used as an economic capital measure, is sensitive to characteristic parameters of the fund, such as the duration, portfolio composition and credit quality of assets. This finding significantly differs from U.S. regulatory approaches like the NAIC’s, which often result in a zero capital requirement. These findings reveal limitations in current actuarial risk and profitability metrics for U.S. insurers and argue that a more sophisticated risk model reproducing the two critical scenarios is necessary.
- [hal-04875619] Cost Effectiveness of Pegfilgrastim Versus Filgrastim After High-Dose Chemotherapy and Autologous Stem Cell Transplantation in Patients with Lymphoma and Myeloma9 janvier 2025Background Use of the recombinant human granulocyte colony-stimulating factor (rhG-CSF) filgrastim accelerates neutrophil recovery following myelosuppressive chemotherapy. Since filgrastim requires multiple daily administrations, forms of rhG-CSF with a longer half life, including pegfilgrastim, have been developed. Pegfilgrastim is safe and effective in supporting neutrophil recovery and reducing febrile neutropenia after conventional chemotherapy. Pegfilgrastim has also been successfully used to support patients undergoing peripheral blood stem cell (PBSC) transplantation for haematological malignancies. To our knowledge, no cost-effectiveness analysis (CEA) of pegfilgrastim in this setting has been published yet. Objective We undertook a CEA to compare a single injection of pegfilgrastim versus repeated administrations of filgrastim in patients who had undergone PBSC transplantation for lymphoma or myeloma. The CEA was set in France and covered a period of 100 ± 10 days from transplant. Methods The CEA was designed as part of an open-label, multicentre, randomized phase II trial. Costs were assessed from the hospital’s point of view and are expressed in 2009 euros. Costs computation focused on inpatient, outpatient, and home care. Costs in the two arms of the study were compared using the Mann–Whitney test. When differences were statistically significant, multiple regression analyses were performed in order to identify cost drivers. Incremental cost-effectiveness ratios (ICER) were calculated for the major endpoints of the trial; i.e., duration of febrile neutropenia (absolute neutrophil count [ANC] <0.5 × 109/L and temperature ≥38 °C), duration of neutropenia (ANC <1.0 × 109/L and ANC <0.5 × 109/L), duration of thrombopenia (platelets <50 × 109/L and <20 × 109/L), and days with a temperature ≥38 °C). Uncertainty around the ICER was captured by a probabilistic analysis using a non-parametric bootstrap method. Results 151 patients were enrolled at ten French centres from October 2008 to September 2009. The mean total cost in the pegfilgrastim arm of the study (n = 74) was €25,024 (SD 9,945). That in the filgrastim arm (n = 76) was €28,700 (SD 20,597). Pegfilgrastim strictly dominated filgrastim for days of febrile neutropenia avoided, days of neutropenia (ANC <1.0 × 109/L) avoided, days of thrombopenia (platelets <20 × 109/L) avoided, and days with temperature ≥38 °C) avoided. Pegfilgrastim was less costly and less effective than filgrastim for the number of days with ANC <0.5 × 109/L avoided and the number of days with platelets <50.0 × 109/L avoided. Taking uncertainty into account, the probabilities that pegfilgrastim strictly dominated filgrastim were 67 % for febrile neutropenia, 86 % for neutropenia (ANC <1.0 × 109/L), 59 % for thrombopenia (platelets <20 × 109/L), 86 % for temperature ≥38 °C, 32 % for neutropenia (ANC <0.5 × 109/L), and 43 % for thrombopenia (platelets <50 × 109/L). Conversely, the probability that filgrastim strictly dominated pegfilgrastim for neutropenia (ANC <0.5 × 109/L) is 5 %. Conclusion This study found no evidence that the use of pegfilgrastim is associated with greater cost in lymphoma and myeloma patients after high-dose chemotherapy and PBSC transplantation.
- [hal-01769390] Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models18 avril 2018Initially overlooked by investors, the sovereign credit risk has been reassessed upwards since the 2000's which has contributed to awaken the interest of speculators in sovereign CDS. The growing need of accurate forecasting models has led us to fill the gap in the literature by studying the predictability of sovereign CDS volatility, using both linear and non-linear GARCH-class models. This paper uses data from 38 worldwide countries, ranging from January 2006 to March 2017. Results show that the CDS markets are subject to periods of volatility clustering, nonlinearity, asym-metric leverage effects and long-memory behavior. Using 7 heteroskedastic and no heteroskedastic-robust statistic criteria, results show that the fractionally-integrated models outperform the basic GARCH-class models in terms of forecasting ability and that allowing flexibility regarding the persistence degree of variance shocks significantly improves the model's suitability to data. Despite the divergence in the economic status and geographical positions of the countries composing our sample, the FIGARCH and FIEGARCH models are mainly found to be the most accurate models in predicting credit market volatility.
- [hal-04109485] Can misfortune lead to dishonesty?30 mai 2023This article focuses on why people may become dishonest when they are unfortunate. Studies have shown that dishonesty increases in unfortunate or unfair situations, suggesting that misfortune could be used as a self-serving justification. I investigate this effect by analyzing the effect of luck on participant dishonesty in a laboratory experiment. I also control for participants’ belief about others’ honesty in fortunate and unfortunate situations. Participants were more dishonest when they were unfortunate and expected other participants to be more dishonest in similarly unfortunate situations. The similarity of the effects of fortune on expected and actual behaviors suggests that this norm can facilitate self-serving justification. The frequency of dishonest behavior was associated with higher individuals’ beliefs in others’ dishonesty. This effect was particularly important for participants who believed that others would have been dishonest even in fortunate situations. It therefore appears that the justification depends both on being unfortunate and the fact that some people assume others do not behave honestly even when they are fortunate.
- [hal-03448339] On a Markovian game model for competitive insurance pricing25 novembre 2021In this paper, we extend the non-cooperative one-period game of Dutang et al. (2013) to model a non-life insurance market over several periods by considering the repeated (one-period) game. Using Markov chain methodology, we derive general properties of insurer portfolio sizes given a price vector. In the case of a regulated market (identical premium), we are able to obtain convergence measures of long run market shares. We also investigate the consequences of the deviation of one player from this regulated market. Finally, we provide some insights of long-term patterns of the repeated game as well as numerical illustrations of leadership and ruin probabilities.
- [hal-04979167] L'auto-protection influence-t-elle les choix d'assurance des individus ? Une étude expérimentale6 mars 2025À l’aide d’une expérimentation en laboratoire, cette étude compare les choix individuels en matière d’assurance, en fonction de la présence, ou non, d’une option d’autoprotection permettant de diminuer la probabilité de perte. Les résultats montrent que la possibilité d’engager un effort d’autoprotection, a posteriori, encourage les assurés à choisir des niveaux de couverture plus faibles, révélant ainsi leur préférence pour l’autoprotection par rapport à l’assurance. Cependant, les résultats indiquent également une incohérence dans les choix des individus puisque cet attrait pour l’option d’autoprotection ne se traduit finalement pas par davantage d’efforts d’autoprotection.
- [hal-02006632] New efficient estimators in rare event simulation with heavy tails4 février 2019[...]
- [hal-03883673] Predicted Impacts of Booster, Immunity Decline, Vaccination Strategies, and Non-Pharmaceutical Interventions on COVID-19 Outcomes in France6 décembre 2022The major economic and health consequences of COVID-19 called for various protective measures and mass vaccination campaigns. A previsional model was used to predict the future impacts of various measure combinations on COVID-19 mortality over a 400-day period in France. Calibrated on previous national hospitalization and mortality data, an agent-based epidemiological model was used to predict individual and combined effects of booster doses, vaccination of refractory adults, and vaccination of children, according to infection severity, immunity waning, and graded non-pharmaceutical interventions (NPIs). Assuming a 1.5 hospitalization hazard ratio and rapid immunity waning, booster doses would reduce COVID-19-related deaths by 50–70% with intensive NPIs and 93% with moderate NPIs. Vaccination of initially-refractory adults or children ≥5 years would half the number of deaths whatever the infection severity or degree of immunity waning. Assuming a 1.5 hospitalization hazard ratio, rapid immunity waning, moderate NPIs and booster doses, vaccinating children ≥12 years, ≥5 years, and ≥6 months would result in 6212, 3084, and 3018 deaths, respectively (vs. 87,552, 64,002, and 48,954 deaths without booster, respectively). In the same conditions, deaths would be 2696 if all adults and children ≥12 years were vaccinated and 2606 if all adults and children ≥6 months were vaccinated (vs. 11,404 and 3624 without booster, respectively). The model dealt successfully with single measures or complex combinations. It can help choosing them according to future epidemic features, vaccination extensions, and population immune status.
- [hal-03482342] Expected Evolution of COVID-19 Epidemic in France for Several Combinations of Vaccination Strategies and Barrier Measures6 décembre 2022The outbreak of the SARS-CoV-2 virus, enhanced by rapid spreads of variants, has caused a major international health crisis, with serious public health and economic consequences. An agent-based model was designed to simulate the evolution of the epidemic in France over 2021 and the first six months of 2022. The study compares the efficiencies of four theoretical vaccination campaigns (over 6, 9, 12, and 18 months), combined with various non-pharmaceutical interventions. In France, with the emergence of the Alpha variant, without vaccination and despite strict barrier measures, more than 600,000 deaths would be observed. An efficient vaccination campaign (i.e., total coverage of the French population) over six months would divide the death toll by 10. A vaccination campaign of 12, instead of 6, months would slightly increase the disease-related mortality (+6%) but require a 77% increase in ICU bed–days. A campaign over 18 months would increase the disease-related mortality by 17% and require a 244% increase in ICU bed–days. Thus, it seems mandatory to vaccinate the highest possible percentage of the population within 12, or better yet, 9 months. The race against the epidemic and virus variants is really a matter of vaccination strategy.
- [hal-01275397] Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling18 février 2016We introduce a class of interest rate models, called the α-CIR model, which gives a natural extension of the standard CIR model by adopting the α-stable Lévy process and preserving the branching property. This model allows to describe in a unified and parsimonious way several recent observations on the sovereign bond market such as the persistency of low interest rate together with the presence of large jumps at local extent. We emphasize on a general integral representation of the model by using random fields, with which we establish the link to the CBI processes and the affine models. Finally we analyze the jump behaviors and in particular the large jumps, and we provide numerical illustrations.
- [hal-03016411] Disparate exposure to physically demanding working conditions in France21 novembre 2022[...]
- [hal-03159498] First passage time density of an Ornstein-Uhlenbeck process with broken drift4 mars 2021We consider an Ornstein-Uhlenbeck process with different drift rates below and above zero. We derive an analytic expression for the density of the first time, where the process hits a given level. The passage time density is linked to the joint law of the process and its running supremum, and we also provide an analytic formula of the joint density / distribution function. Results from a numerical experiment reveal that our formulas allow to numerically evaluate the joint law and the density of the first passage time faster than a simulation based method.
- [hal-01887402] The De Vylder-Goovaerts conjecture holds true within the diffusion limit4 octobre 2018The De Vylder and Goovaerts conjecture is an open problem in risk theory, stating that the finite time ruin probability in a standard risk model is greater or equal to the corresponding ruin probability evaluated in an associated model with equalized claim amounts. Equalized means here that the jump sizes of the associated model are equal to the average jump in the initial model between 0 and a terminal time T. In this paper, we consider the diffusion approximations of both the standard risk model and its associated risk model. We prove that the associated model, when conveniently renor-malized, converges in distribution to a Gaussian process satisfying a simple SDE. We then compute the probability that this diffusion hits the level 0 before time T and compare it with the same probability for the diffusion approximation for the standard risk model. We conclude that the De Vylder and Goovaerts conjecture holds true for the diffusion limits.
- [hal-02405853] Gambling for resurrection and the heat equation on a triangle11 décembre 2019We consider the problem of controlling the diffusion coefficient of a diffusion with constant negative drift rate such that the probability of hitting a given lower barrier up to some finite time horizon is minimized. We assume that the diffusion rate can be chosen in a progressively measurable way with values in the interval [0, 1]. We prove that the value function is regular, concave in the space variable, and that it solves the associated HJB equation. To do so, we show that the heat equation on a right triangle, with a boundary condition that is discontinuous in the corner, possesses a smooth solution.
- [hal-00735298] Optimal liquidation with additional information11 janvier 2016We consider the problem of how to optimally close a large assetposition in a market with a linear temporary price impact. We take the perspectiveof an agent who obtains a signal about the future price evolvement.By means of classical stochastic control we derive explicit formulas for the closingstrategy that minimizes the expected execution costs. We compare agentsobserving the signal with agents who do not see it. We compute explicitly theexpected additional gain due to the signal, and perform a comparative staticsanalysis.