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 treatment
Health Economics, DOI: 10.1002/hec.3127.
C. COURBAGE, B. REY

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

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

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

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

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

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

A paraitre

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

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

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

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

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

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

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

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

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

Discrete Schur-constant models
Journal of Multivariate Analysis
A. CASTANER, M.M, CLARAMUNT, C. LEFEVRE, S. LOISEL

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.


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.



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-01803724] Subjective knowledge, product attributes and consideration set : the wine case
    31 mai 2018
    Purpose - The purpose of this article is to show that consumers’ expertise of a product influences the number of attributes considered as important, the importance given to the attributes as well as the size and the content of the consideration set (CS). Methodology - A quantitative empirical study was carried out with 287 French wine consumers. Findings - The results show that the attributes which were considered as important by the novices differ from those considered important by the experts and that the number of important attributes given by the novices (2) is lower than those given by the experts (7). Furthermore, the results show that the size of the CS itself is also influenced by subjective knowledge. On the other hand, this is not the case for the content of the CS. Research limitations and implications - The empirical study only focuses on one product category. The data were collected on the basis of statements rather than observations, which is liable to distort the results. This study shows that the visual attributes such as the design and the packaging are not sufficient to sell wine to French consumers, even if they are novices in this field. Originality - While most research devoted to the effects of the CS focus on a single dimension of it, the empirical study tests simultaneously the effects on the size and on the variety of the CS, which is analyzed according to both a qualitative and quantitative approach.
  • [hal-01803728] Wine brands or branded wines? The specificity of the French market in terms of the brand
    31 mai 2018
    Purpose – The purpose of this paper is to show that the branded wine concept refers to a very heterogeneous category as regards wine made in France, but this sort of wine can appeal to certain types of consumers. Design/methodology/approach – An initial qualitative study was carried out to explore consumer representation as regards branded wine. A second, quantitative, study enabled us, through a cluster analysis, to identify brand-sensitive consumer segments in the wine field. Findings – There is a divergence in consumer representation between novices and experts. The former considers A.O.C.s (Appellation d'Origine Contrôlée, a French official label of protected geographical indication) and regions as brands while the latter have a narrower vision of what a branded wine means. The ''discoverers'', the youngest consumers (18-29 years old), who are interested in wine and have little knowledge of it are most liable to be influenced by wine brands. The novices and routine consumers are also brand sensitive but to a lesser degree. The experts, on the other hand, are not influenced by brands. Research limitations/implications – The influence of the brand derives from the declarative. A more indirect measure which mixes the brand with other wine attributes would be preferable. The use of a sample of convenience means results can only be generalized with caution. Practical implications – There indeed exists a place for branded wines on the French market but an association is needed with other attributes such as the origin and/or the grape variety. Originality/value – Little research has been devoted to the French consumer's acceptance of branded wines.
  • [hal-03833822] Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos
    28 octobre 2022
    Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends" and changes her opinion to bearish (bullish) if (1) at least mρ hb (mρ bh) among the m agents inspected are bearish (bullish) or (2) at least mρ hh > mρ hb (mρ bb > mρ bh) among the m agents inspected are bullish (bearish). The condition (1) (resp. (2)) corresponds to imitative (resp. antagonistic) behavior. In the limit where the number N of agents is infinite, the dynamics of the fraction of bullish agents is deterministic and exhibits chaotic behavior in a significant domain of the parameter space {ρ hb , ρ bh , ρ hh , ρ bb , m}. A typical chaotic trajectory is characterized by intermittent phases of chaos, quasi-periodic behavior and super-exponentially growing bubbles followed by crashes. A typical bubble starts initially by growing at an exponential rate and then crosses over to a nonlinear power law growth rate leading to a finitetime singularity. The reinjection mechanism provided by the contrarian behavior introduces a finite-size effect, rounding off these singularities and leads to chaos. We document the main stylized facts of this model in the symmetric and asymmetric cases. This model is one of the rare agent-based models that give rise to interesting non-periodic complex dynamics in the "thermodynamic" limit (of an infinite number N of agents). We also discuss the case of a finite number of agents, which introduces an endogenous source of noise superimposed on the chaotic dynamics. "Human behavior is a main factor in how markets act. Indeed, sometimes markets act quickly, violently with little warning. [.. .] Ultimately, history tells us that there will be a correction of some significant dimension. I have no doubt that, human nature being what it is, that it is going to happen again and again." Alan Greenspan, Chairman of the Federal Reserve of the USA, before the Committee on Banking and Financial Services, U.S. House of Representatives, July 24, 1998.
  • [hal-03229956] Les détaillants face au défi du commerce connecté : Une étude multisectorielle
    19 mai 2021
    Les détaillants ne sont pas épargnés par la transformation digitale. Ils doivent aujourd'hui relever le défi du commerce connecté, qui tend vers une intégration des canaux. En mobilisant le cadre théorique de l'ambidextrie organisationnelle, la stratégie de digitalisation de six détaillants français et canadiens, appartenant à trois secteurs a été étudiée selon la méthode des cas. Quatre types de changements sont mis au jour : des changements organisationnels, de proposition de valeur, logistiques et relatifs au partage de la valeur et aux KPI utilisés.
  • [hal-01803664] Employeurs démarquez-vous ! La marque employeur, un gisement de valeur inexploité ?
    31 mai 2018
    Cet 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.
  • [halshs-00678228] Approximating payoffs and pricing formulas
    12 mars 2012
    We use the ideas developed by Madan and Milne (1994. Mathematical Finance 3, 223-245), Lacoste (1996. Mathematical Finance 6, 197-213) to explore the optimality of polynomial approximations in pricing securities. In particular, we look at the approximations for security payoffs as well as the associated pricing formula in a L2 framework. We apply these ideas to two examples, one where the state variable follows an Ornstein-Uhlenbeck process and one based on Brownian motion with reflecting barriers, to illustrate the strengths and weaknesses of the approach.
  • [hal-00759677] Exploring or reducing noise? A global optimization algorithm in the presence of noise
    2 décembre 2012
    We consider the problem of the global minimization of a function observed with noise. This problem occurs for example when the objective function is estimated through stochastic simulations. We propose an original method for iteratively partitioning the search domain when this area is a nite union of simplexes. On each subdomain of the partition, we compute an indicator measuring if the subdomain is likely or not to contain a global minimizer. Next areas to be explored are chosen in accordance with this indicator. Con dence sets for minimizers are given. Numerical applications show empirical convergence results, and illustrate the compromise to be made between the global exploration of the search domain and the focalization around potential minimizers of the problem.
  • [hal-00372525] Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation
    24 septembre 2009
    In the renewal risk model, we study the asymptotic behavior of the expected time-integrated negative part of the process. This risk measure has been introduced by Loisel (2005). Both heavy-tailed and light-tailed claim amount distributions are investigated. The time horizon may be finite or infinite. We apply the results to an optimal allocation problem with two lines of business of an insurance company. The asymptotic behavior of the two optimal initial reserves are computed.
  • [hal-01259711] Successive enlargement of filtrations and application to insider information *
    20 janvier 2016
    We model in a dynamic way an insider's private information flow which is successively augmented by a family of initial enlargement of filtrations. According to the a priori available information, we propose several density hypotheses which are presented in hierarchical order from the weakest one to the stronger ones. We compare these hypotheses, in particular, with the Jacod's one, and deduce conditional expectations under each of them by providing consistent expressions with respect to the common reference filtration. Finally, this framework is applied to a default model with insider information on the default threshold and some numerical illustrations are performed.
  • [hal-01343702] Information uncertainty related to marked random times and optimal investment
    1 mars 2017
    We 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-01141228] Tree-based censored regression with applications in insurance
    12 septembre 2016
    We propose a regression tree procedure to estimate the conditional distribution of a variable which is not directly observed due to censoring. The model that we consider is motivated by applications in insurance , including the analysis of guarantees that involve durations, and claim reserving. We derive consistency results for our procedure, and for the selection of an optimal subtree using a pruning strategy. These theoretical results are supported by a simulation study, and two applications involving insurance datasets. The first concerns income protection insurance, while the second deals with reserving in third-party liability insurance.
  • [hal-01150444] Therapeutic activity of two xanthones in a xenograft murine model of human chronic lymphocytic leukemia.
    11 mai 2015
    We previously reported that allanxanthone C and macluraxanthone, two xanthones purified from Guttiferae trees, display in vitro antiproliferative and proapoptotic activities in leukemic cells from chronic lymphocytic leukemia (CLL) and leukemia B cell lines. Here, we investigated the in vivo therapeutic effects of the two xanthones in a xenograft murine model of human CLL, developed by engrafting CD5-transfected chronic leukemia B cells into SCID mice. Treatment of the animals with five daily injections of either allanxanthone C or macluraxanthone resulted in a significant prolongation of their survival as compared to control animals injected with the solvent alone (p = 0.0006 and p = 0.0141, respectively). The same treatment of mice which were not xenografted induced no mortality. These data show for the first time the in vivo antileukemic activities of two plant-derived xanthones, and confirm their potential interest for CLL therapy.
  • [hal-01935756] Joint Law of an Ornstein-Uhlenbeck Process and its Supremum
    27 novembre 2018
    We propose an expression for the joint density / distribution function for the endpoint of an Ornstein-Uhlenbeck process and its supremum. This law is expressed as an expansion involving parabolic cylinder functions. We obtain this law faster than with a Monte Carol's method. Numerical applications illustrate the interest of this result.
  • [hal-01615196] Risk assessment using suprema data
    15 octobre 2018
    This paper proposes a stochastic approach to model temperature dynamic and study related risk measures. The dynamic of temperatures can be modelled by a mean-reverting process such as an Ornstein-Uhlenbeck one. In this study, we estimate the parameters of this process thanks to daily observed suprema of temperatures, which are the only data gathered by some weather stations. The expression of the cumulative distribution function of the supremum is obtained thanks to the law of the hitting time. The parameters are estimated by a least square method quantiles based on this function. Theoretical results, including mixing property and consistency of model parameters estimation, are provided. The parameters estimation is assessed on simulated data and performed on real ones. Numerical illustrations are given for both data. This estimation will allow us to estimate risk measures, such as the probability of heat wave and the mean duration of an heat wave.
  • [hal-00735298] Optimal liquidation with additional information
    11 janvier 2016
    We 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.
  • [hal-02405853] Gambling for resurrection and the heat equation on a triangle
    11 décembre 2019
    We 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-00925685] Risk processes with dependence and premium adjusted to solvency targets.
    8 janvier 2014
    This paper considers risk processes with various forms of dependence between waiting times and claim amounts. The standing assumption is that the increments of the claims process possess exponential moments so that variations of the Lundberg upper bound for the probability of ruin are in reach. The traditional point of view in ruin theory is reversed: rather than studying the probability of ruin as a function of the initial reserve under fixed premium, the problem is to adjust the premium dynamically so as to obtain a given ruin probability (solvency requirement) for a fixed initial reserve (the financial capacity of the insurer). This programme is carried through in various models for the claims process, ranging from Cox processes with i.i.d. claim amounts, to conditional renewal (Sparre Andersen) processes.
  • [hal-01205753] Dynamics of multivariate default system in random environment
    16 novembre 2016
    We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. In the particular case where no environmental information is concerned, we pay a special attention to the phenomenon of system weakened by failures as in the classical reliability system.
  • [hal-01300673] Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    12 avril 2016
    The DownSide Risk (DSR) model for portfolio optimisation allows to overcome the drawbacks of the classical Mean-Variance model concerning the asymmetry of returns and the risk perception of investors. This model optimization deals with a positive definite matrix that is endogenous with respect to portfolio weights. This aspect makes the problem far more difficult to handle. For this purpose, Athayde (2001) developed a new recursive minimization procedure that ensures the convergence to the solution. However, when a finite number of observations is available, the portfolio frontier presents some discontinuity and is not very smooth. In order to overcome that, Athayde (2003) proposed a Mean Kernel estimation of the returns, so as to create a smoother portfolio frontier. This technique provides an effect similar to the case in which continuous observations are available. In this paper, Athayde model is reformulated and clarified. Then, taking advantage on the robustness of the median, another nonparametric approach based on Median Kernel returns estimation is proposed in order to construct a portfolio frontier. A new version of Athayde's algorithm will be exhibited. Finally, the properties of this improved portfolio frontier are studied and analysed on the French Stock Market. Keywords DownSide Risk · Kernel Method · Mean Nonparametric Estimation · Median Nonparametric Estimation · Portefolio Efficient Frontier · Semi-Variance.
  • [hal-01258645] A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives
    19 janvier 2016
    In this paper, we study the pricing of life insurance portfolios in the presence of dependent lives. We assume that an insurer with an initial exposure to n mortality-contingent contracts wanted to acquire a second portfolio constituted of m individuals. The policyhold-ers' lifetimes in these portfolios are correlated with a Farlie-Gumbel-Morgenstern (FGM) copula, which induces a dependency between the two portfolios. In this setting, we compute the indifference price charged by the insurer endowed with an exponential utility. The optimal price is characterized as a solution to a backward differential equation (BSDE). The latter can be decomposed into (n − 1)n! auxiliary BSDEs. In this general case, the derivation of the indifference price is computationally infeasible. Therefore, while focusing on the example of death benefit contracts, we develop a model point based approach in order to ease the computation of the price. It consists on replacing each portfolio with a single policyholder that replicates some risk metrics of interest. Also, the two representative agents should adequately reproduce the observed dependency between the initial portfolios.
  • [hal-01275397] Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling
    18 février 2016
    We 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-01107525] Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon
    20 janvier 2015
    This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it has been usually the case in the previous literature of BSDE with random terminal time. The main motivation of this work is a financial or actuarial problem of hedging of defaultable contingent claims or life insurance contracts, for which the terminal time is a default time or a death time, which are not stopping times. We have to use progressive enlargement of the Brownian filtration, and to solve the obtained BSDE under this enlarged filtration. This work gives a solution to the mathematical problem and proves the existence and uniqueness of solutions of such BSDE under certain general conditions. This approach is applied to the financial problem of hedging of defaultable contingent claims, and an expression of the hedging strategy is given for a defaultable contingent claim or a life insurance contract.
  • [hal-00341431] Hedging of Defaultable Contingent Claims using BSDE with uncertain time horizon.
    3 septembre 2009
    This article focuses on the mathematical problem of existence and uniqueness of BSDE with a random terminal time which is a general random variable but not a stopping time, as it has been usually the case in the previous literature of BSDE with random terminal time. The main motivation of this work is a financial or actuarial problem of hedging of defaultable contingent claims or life insurance contracts, for which the terminal time is a default time or a death time, which are not stopping times. We have to use progressive enlargement of the Brownian filtration, and to solve the obtained BSDE under this enlarged filtration. This work gives a solution to the mathematical problem and proves the existence and uniqueness of solutions of such BSDE under certain general conditions. This approach is applied to the financial problem of hedging of defaultable contingent claims, and an expression of the hedging strategy is given for a defaultable contingent claim or a life insurance contract.
  • [hal-00937071] Impact of Climate Change on HeatWave Risk
    27 janvier 2014
    We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of climate change on heat wave risk. Numerical illustrations are given.
  • [hal-00800847] Sensitivity indices for multivariate outputs
    17 avril 2013
    We define and study a generalization of Sobol sensitivity indices for the case of a vector output.
  • [hal-00816894] Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation
    23 avril 2013
    In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative. Explicit formulas in the case of two branches are obtained for several models independent exponential, correlated Pareto). The asymptotic behavior (as the initial capital goes to infinity) is studied. For higher dimension and several periods, no explicit expression is available. Using a stochastic algorithm, we get estimations of the allocation, compare the different allocations and study the impact of dependence.
  • [hal-01158141] Modelling sovereign risks: from a hybrid model to the generalized density approach
    29 mai 2015
    Motivated by the European sovereign debt crisis, we study the sovereign risk by analyzing the solvency and the sovereign bond yield and propose a hybrid model which takes into account the movement of the sovereign solvency and the impact of critical political events. This model combines the structural and the reduced-form approaches in the credit risk modelling and the sovereign default time can be decomposed into an accessible part with predictable components and a totally inaccessible part. As a consequence, the probability of default at a critical political event date is nonzero and the probability law admits atoms. We study this model in a generalized density framework to deduce the compensator process of default and show that the intensity process does not necessarily exist. We also apply the model to the valuation of sovereign bond and explain the significant jumps in the long-term government bond yield during the sovereign crisis.
  • [hal-01887402] The De Vylder-Goovaerts conjecture holds true within the diffusion limit
    4 octobre 2018
    The 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-00768526] Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions
    21 décembre 2012
    In this paper, we introduce a new structured financial product: the so-called Life Nominal Chooser Swaption (LNCS). Thanks to such a contract, insurers could keep pure longevity risk and transfer a great part of interest rate risk underlying annuity portfolios to financial markets. Before the issuance of the contract, the insurer determines a confidence band of survival curves for her portfolio. An interest rate hedge is set up, based on swaption mechanisms. The bank uses this band as well as an interest rate model to price the product. At the end of the first period (e.g. 8 to 10 years), the insurer has the right to enter into an interest rate swap with the bank, where the nominal is adjusted to her (re-forecasted) needs. She chooses (inside the band) the survival curve that better fits her anticipation of future mortality of her portfolio (during 15 to 20 more years, say) given the information available at that time. We use a population dynamics longevity model and a classical two-factor interest rate model %two-factor Heath-Jarrow-Morton (HJM) model for interest rates to price this product. Numerical results show that the option offered to the insurer (in terms of choice of nominal) is not too expensive in many real-world cases. We also discuss the pros and the cons of the product and of our methodology. This structure enables insurers and financial institutions to remain in their initial field of expertise.
  • [hal-00965279] Estimating the parameters of a seasonal Markov-modulated Poisson process
    24 février 2017
    Motivated by seasonality and regime-switching features of some insurance claim counting processes, we study the statistical analysis of a Markov-modulated Poisson process featuring seasonality. We prove the strong consistency and the asymptotic normality of a maximum split-time likelihood estimator of the parameters of this model, and present an algorithm to compute it in practice. The method is illustrated on a small simulation study and a real data analysis.
  • [hal-00746245] Competition among non-life insurers under solvency constraints: A game-theoretic approach
    28 octobre 2012
    In this paper, we formulate a noncooperative game to model a non-life insurance market. The aim is to analyze the e ects of competition between insurers through di erent indicators: the market premium, the solvency level, the market share and the underwriting results. Resulting premium Nash equilibria are discussed and numerically illustrated.
  • [hal-00746251] On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing
    30 août 2013
    The purpose of this paper is to point out that an asymptotic rule "A+B/u" for the ultimate ruin probability applies to a wide class of dependent risk models, in discrete and continuous time. Dependence is incorporated through a mixing approach among claim amounts or claim inter-arrival times, leading to a systemic risk behavior. Ruin corresponds here either to classical ruin, or to stopping the activity after realizing that it is not pro table at all, when one has little possibility to increase premium income rate. Several special cases for which closed formulas are derived, are also investigated in some detail.
  • [hal-01242023] Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions
    11 décembre 2015
    The Solvency II directive has introduced a specific so-called risk-neutral framework to valuate economic accounting quantities throughout European life insurance companies. The adaptation of this theoretical notion for regulatory purposes requires the addition of a specific criterion, namely the market-consistency, in order to objectify the choice of the valuation probability measure. This paper aims at pointing out and fixing some of the major risk sources embedded in the current regulatory life insurance valuation scheme. We compare actuarial and financial valuation schemes. We then address first operational issues and potential market manipulation sources in life insurance, induced by both theoretical and regulatory pitfalls. For example, we show that calibrating the interest rate model in October 2014 instead of December 31 st 2014 generates a 140%-increase in the economic own funds of a representative French life insurance company. We propose various adaptations of the current implementations, including product-specific valuation scheme, to limit the impact of these market-inconsistencies.
  • [hal-01399093] Spatial Expectile Predictions for Elliptical Random Fields
    29 décembre 2016
    In this work, we consider an elliptical random field. We propose some spatial expectile predictions at one site given observations of the field at some other locations. To this aim, we first give exact expressions for conditional expectiles, and discuss problems that occur for computing these values. A first affine expectile regression predictor is detailed, an explicit iterative algorithm is obtained, and its distribution is given. Direct simple expressions are derived for some particular elliptical random fields. The performance of this expectile regression is shown to be very poor for extremal expectile levels, so that a second predictor is proposed. We prove that this new extremal prediction is asymptotically equivalent to the true conditional expectile. We also provide some numerical illustrations, and conclude that Expectile Regression may perform poorly when one leaves the Gaussian random field setting.
  • [hal-01292949] Polynomial approximations for bivariate aggregate claims amount probability distributions
    24 mars 2016
    A numerical method to compute bivariate probability distributions from their Laplace transforms is presented. The method consists in an orthogonal projection of the probability density function with respect to a probability measure that belongs to a Natural Exponential Family with Quadratic Variance Function (NEF-QVF). A particular link to Lancaster probabilities is highlighted. The procedure allows a quick and accurate calculation of probabilities of interest and does not require strong coding skills. Numerical illustrations and comparisons with other methods are provided. This work is motivated by actuarial applications. We aim at recovering the joint distribution of two aggregate claims amounts associated with two insurance policy portfolios that are closely related, and at computing survival functions for reinsurance losses in presence of two non-proportional reinsurance treaties.
  • [hal-00853680] A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
    10 novembre 2014
    A numerical method to approximate ruin probabilities is proposed within the frame of a compound Poisson ruin model. The defective density function associated to the ruin probability is projected in an orthogonal polynomial system. These polynomials are orthogonal with respect to a probability measure that belongs to Natural Exponential Family with Quadratic Variance Function (NEF-QVF). The method is convenient in at least four ways. Firstly, it leads to a simple analytical expression of the ultimate ruin probability. Secondly, the implementation does not require strong computer skills. Thirdly, our approximation method does not necessitate any preliminary discretisation step of the claim sizes distribution. Finally, the coefficients of our formula do not depend on initial reserves.
  • [hal-01020597] HIGH LEVEL QUANTILE APPROXIMATIONS OF SUMS OF RISKS
    17 juin 2015
    The approximation of a high level quantile or of the expectation over a high quantile (Value at Risk (VaR) or Tail Value at Risk (TVaR) in risk management) is crucial for the insurance industry. We propose a new method to estimate high level quantiles of sums of risks. It is based on the estimation of the ratio between the VaR (or TVaR) of the sum and the VaR (or TVaR) of the maximum of the risks. We use results on consistently varying functions. We compare the efficiency of our method with classical ones, on several models. Our method gives good results when approximating the VaR or TVaR in high levels on strongly dependent risks where at least one of the risks is heavy tailed.
  • [hal-03847613] A pseudo-likelihood estimator of the Ornstein-Uhlenbeck parameters from suprema observations
    26 février 2024
    In this paper we propose an estimator for the Ornstein-Uhlenbeck parameters based on observations of its supremum. We derive an analytic expression for the density of the supremum. Making use of the pseudo-likelihood method based on the supremum density, our estimator is constructed as the maximal argument of this function. Using weak-dependency results, we prove some statistical properties on the estimator such as consistency and asymptotic normality. Finally, we apply these statistical tools to simulated and real data.
  • [hal-01082559] On a capital allocation by minimizing multivariate risk indicators
    13 novembre 2014
    The issue of capital allocation in a multivariate context arises from the presence of dependence between the various risky activities which may generate a diversification effect. Several allocation methods in the literature are based on a choice of a univariate risk measure and an allocation principle, others on optimizing a multivariate ruin probability or some multivariate risk indicators. In this paper, we focus on the latter technique. Using an axiomatic approach, we study its coherence properties. We give some explicit results in mono periodic cases. Finally we analyze the impact of the dependence structure on the optimal allocation.
  • [hal-00670649] Some mixing properties of conditionally independent processes
    15 février 2012
    In this paper we consider conditionally independent processes with respect to some dynamic factor. We derive some mixing properties for random processes when conditioning is given with respect to unbounded memory of the factor. Our work is motivated by some real examples related to risk theory.
  • [hal-01263358] The generalized density approach in progressive enlargement of filtrations
    27 janvier 2016
    Motivated by credit risk modelling, we consider a type of default times whose probability law can have atoms, where standard intensity and density hypotheses in the enlargement of filtrations are not satisfied. We propose a generalized density approach in order to treat such random times in the framework of progressive enlargement of filtrations. We determine the compensator process of the random time and study the martingale and semimartingale processes in the enlarged filtration which are important for the change of probability measures and the evaluation of credit derivatives. The generalized density approach can also be applied to model simultaneous default events in the multi-default setting.
  • [hal-01367308] A Class of Random Field Memory Models for Mortality Forecasting
    15 septembre 2016
    This article proposes a parsimonious alternative approach for modeling the stochastic dynamics of mortality rates. Instead of the commonly used factor-based decomposition framework , we consider modeling mortality improvements using a random field specification with a given causal structure. Such a class of models introduces dependencies among adjacent cohorts aiming at capturing, among others, the cohort effects and cross generations correlations. It also describes the conditional heteroskedasticity of mortality. The proposed model is a generalization of the now widely used AR-ARCH models for random processes. For such class of models, we propose an estimation procedure for the parameters. Formally, we use the quasi-maximum likelihood estimator (QMLE) and show its statistical consistency and the asymptotic normality of the estimated parameters. The framework being general, we investigate and illustrate a simple variant, called the three-level memory model, in order to fully understand and assess the effectiveness of the approach for modeling mortality dynamics.
  • [hal-00484233] Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm
    5 décembre 2011
    We consider some risk indicators of vectorial risk processes. These indicators take into account the dependencies between business lines as well as some temporal dependencies. By using stochastic algorithms, we may estimate the minimum of these risk indicators, under a fixed total capital constraint. This minimization may apply to optimal reserve allocation.