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
- [halshs-01354704] Les PME axées sur la durabilité et à forte croissance : une approche par les paradoxes28 janvier 2020Cet article vise à explorer les tensions paradoxales présentes dans les PME axées sur la durabilité et à forte croissance, ainsi que les pratiques mises en œuvre pour faire face à ces tensions. La recherche repose sur l’étude d’un cas unique, une PME française pionnière du secteur bio. L’analyse de ce cas permet d’identifier quatre tensions paradoxales majeures, qui s’intensifient de manière progressive durant les phases de forte croissance : identité normative et utilitariste, croissance interne et externe, exploration et exploitation, désorganisation et structuration. Elle permet de plus de repérer un ensemble de clés stratégiques, qui ont permis aux situations paradoxales de trouver leur équilibre dans des logiques de dialogue et de différenciation.
- [halshs-01879116] Small firms in the sustainable transformation of food industry: entangling entrepreneurship and activism in grassroots innovation processes22 septembre 2018The literature in Social Movement Theory, Organization Studies and Entrepreneurship emphasizes on the linkages between social movement action and economic organization. Indeed, social entrepreneurship and social movement studies tend to be more and more linked: activists and social entrepreneurs do not represent separate and distinct actors with different logics of action, but tend to transfer their tactics, such as framing, mobilization, protest and negation. This paper explores how activism and entrepreneurship can be combined in an innovative way by small firms in order to contribute to an industry's transformation towards sustainable development. We specially investigate the field of food industry and Alternative Food Networks. In a context of growing interest and sensitivity towards more sustainable food models, how do small firms combine activism and entrepreneurship to frame grassroots innovation processes and translate this frame into organizational model?
- [hal-01443955] Comment articuler projets individuel, collectif et de territoire ? Le cas d’un collectif de transformation et commercialisation en circuits courts23 janvier 2017De nombreuses initiatives collectives impliquant des producteurs en circuits courts se développent : magasins et marchés de producteurs, plateformes d'approvisionnement de la restauration collective, ateliers collectifs de transformation, etc. Cependant, force est de constater que beaucoup de projets de ce type ne parviennent pas à émerger ou à se pérenniser. Mieux comprendre comment ces collectifs résolvent les différents paradoxes et difficultés auxquels ils sont confrontés constitue donc une attente forte. Nous proposons une analyse de la trajectoire d'un collectif de transformation et de commercialisation en circuits courts, en montrant que la pérennité du système repose sur une articulation singulière et dynamique entre trois dimensions : le projet individuel, collectif et celui du territoire. A chacune des étapes de la vie du collectif, les acteurs mobilisent ces différents niveaux d'action afin de construire ou rétablir une cohérence et une dynamique.
- [hal-02429429] What business models for food justice?28 janvier 2020The Food Justice Movement is a grassroots initiative now reaching public, political and academic spheres. Our purpose in this article is to explore how do these organizations manage to solve the coexistence of food justice imperatives and economical ones in their business models. Thanks to a qualitative study, we propose and discuss a typology of business models for the food justice.
- [hal-01339520] Spatial Quantile Predictions for Elliptical Random Fields10 janvier 2017In this work, we consider elliptical random fields. We propose some spatial quantile predictions at one site given observations at some other locations. To this aim, we first give exact expressions for conditional quantiles, and discuss problems that occur for computing these values. A first affine regression quantile predictor is detailed, an explicit formula is obtained, and its distribution is given. Direct simple expressions are derived for some particular elliptical random fields. The performance of this regression quantile is shown to be very poor for extremal quantile levels, so that a second predictor is proposed. We prove that this new extremal prediction is asymptotically equivalent to the true conditional quantile. Through numerical illustrations, the study shows that Quantile Regression may perform poorly when one leaves the usual Gaussian random field setting, justifying the use of proposed extremal quantile predictions.
- [hal-01081756] Discrete Schur-constant models10 novembre 2014This paper introduces a class of Schur-constant survival models, of dimension n, for arithmetic non-negative random variables. Such a model is defined through a univariate survival function that is shown to be n-monotone. Two general representations are obtained, by conditioning on the sum of the n variables or through a doubly mixed multinomial distribution. Several other properties including correlation measures are derived. Three processes in insurance theory are discussed for which the claim interarrival periods form a Schur-constant model.
- [hal-00475386] Estimating Bivariate Tail: a copula based approach25 mai 2011This paper deals with the problem of estimating the tail of a bivariate distribution function. To this end we develop a general extension of the POT (Peaks-Over-Threshold) method, mainly based on a two-dimensional version of the Pickands-Balkema-de Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence and we provide a way to estimate it. We construct a two-dimensional tail estimator and study its asymptotic properties. We also present real data examples which illustrate our theoretical results.
- [hal-00168716] Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes.30 août 2007The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities. So-called partly shifted risk processes are introduced, and used to derive an explicit expression of the asymptotic variance of the considered estimator. This provides a clear representation of the influence function associated with finite time ruin probabilities, giving a useful tool to quantify estimation risk according to new regulations.
- [hal-00168714] Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin.30 août 2007We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions. We also prove the weak convergence of a sequence of empirical finite-time ruin probabilities starting from zero initial reserve toward a Gaussian random variable. We define the concepts of reliable finite-time ruin probability as a Value-at-Risk of the estimator of the finite-time ruin probability. To control this robust risk measure, an additional initial reserve is needed and called Estimation Risk Solvency Margin (ERSM). We apply our results to show how portfolio experience could be rewarded by cut-offs in solvency capital requirements. An application to catastrophe contamination and numerical examples are also developed.
- [hal-00412977] A link between wave governed random motions and ruin processes2 septembre 2009This article establishes a link between hitting times associated with the risk process (time of ruin) and wave governed random motions, which are widely used in physics. Concerning risk theory, another link holds between processes corresponding to models called positive and negative risk sums. Some classical results appear to be strongly interconnected. An original algorithm is proposed for computing finite-time ruin probabilities in renewal non-Poissonian risk model with exponential claims. Concerning wave-governed random motions, we analyze the distribution of the maxima of the processes. New bounds are directly derived from risk theory and appear to be more accurate than the ones proposed recently in the probabilistic literature. Finally, we propose applications of these notions in finance.
- [hal-01582574] Adaptive Robust Control Under Model Uncertainty6 septembre 2017In this paper we propose a new methodology for solving an uncertain stochastic Marko-vian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under consideration can be solved in terms of associated adaptive robust Bellman equation. The success of our approach is to the great extend owed to the recursive methodology for construction of relevant confidence regions. We illustrate our methodology by considering an optimal portfolio allocation problem, and we compare results obtained using the adaptive robust control method with some other existing methods.
- [emse-00744904] A Bootstrap approach to the price uncertainty of weather derivatives24 octobre 2012This paper investigates price uncertainties in weather derivatives contracts through a bootstrap approach. Futures prices are computed under a periodic ARMA model in an actuarial framework for two different locations, Paris and Chicago. We show that statistical errors may lead to substantial uncertainties on futures prices with confidence intervals up to 10% of the assessed prices.
- [emse-00699607] Model risk in the pricing of weather derivatives14 février 2024Temperature modelling is a major issue for valuation of weather derivatives. Goodness of fit is usually assessed from historical data. However, estimation errors can result in large price uncertainty that may be problematic for practical applications. In this paper, we consider a temperature ARMA model and quantify the price uncertainties for weather Futures and weather options. Each price is seen as a random variable (which is a function of the parameters estimator), and we assess price uncertainty by giving confidence intervals. In addition, we look for sources of uncertainty, and point out the major defects of the model.
- [hal-04283660] Le recours au travail indépendant en début de carrière14 novembre 2023Le pourcentage de jeunes ayant eu au moins un épisode de travail indépendant au cours des sept premières années post-scolarité a doublé en 12 ans. Un recours plus tardif au travail indépendant dans les trajectoires professionnelles des jeunes est néanmoins observé, mais au profit d’une plus grande pérennité de leur première activité entrepreneuriale. Ces évolutions peuvent être attribuées à des changements de structure de la population des sortants du système éducatif (niveau d’études, PCS des parents, autonomie résidentielle, etc.) et à des modifications du comportement des jeunes.
- [halshs-01278291] Serious games in favour of knowledge management and double-loop learning ?24 février 2016How can universities develop a knowledge management dynamic in order to train knowledge workers who are effective in an organizational learning process? Can games, and more specifically serious games, contribute to reaching this goal? To answer this question, we hypothesize that play can serve as a lever for knowledge management and double-loop learning. The purpose of this article is to show that serious games contribute to training knowledge workers in an organizational learning process. From this perspective, we attempt to understand how serious games promote the acquisition of knowledge and we explain the research method used in the field (participant observation, investigation using questionnaires). The final part analyses the main results: a community of practice and organization learning, internalization through Learning by Doing and better understanding of the environment’s complexity, towards double-loop learning and student satisfaction with the serious game.
- [hal-03350517] Why do Gender Differences in Daily Mobility Behaviours persist among workers?13 février 2023Gender is commonly identified as a key explanatory factor for travel behaviour. Since women’s role in societal structure has changed in the past few decades, the question arises as to whether the “gender” factor still plays a decisive role in differences in mobility within the working population. The aim of this paper is to extend the research on gendered differences in mobility by providing an in-depth analysis of how the main determinants of daily mobility affect male and female workers differently. Unlike previous research, our econometric models included terms that express the interactions between the explanatory variables (socioeconomic variables and transport mode access) and a dichotomous gender variable, to accurately identify the marginal impact of gender on mobility indicators. Based on the Rhône-Alpes regional household travel survey (2012–2015), which includes France’s second largest urban area, the results show that even if gender differences in employment status and access to the private car are eliminated, differences in travel patterns between men and women would still be observed because the two genders do not have identical factor sensitivities. From a policy perspective, these results suggest that authorities have to adopt a gender perspective to ensure that in the future urban mobility policies provide gender equity in the context of the sustainable development of transport networks.
- [halshs-00957305] Serious games : leverage for knowledge management10 mars 2014The purpose of this paper is investigate if the use of 'serious games' with students can improve their knowledge acquisition and their academic performance . The research is an exploratory investigation resorting to the use of a serious game to evaluate the evolution of the students' competencies in project management, through questionnaires processed using a structural 'learning model'.(...)
- [halshs-00806646] Moderniser" les pratiques d'évaluation du travail dans la fonction publique : analyse exploratoire du cas d'un hôpital public2 avril 2013Cet article s'appuie sur une étude exploratoire menée dans un hôpital public. Il étudie la mise en place d'outils d'évaluation du travail classiquement utilisés dans les grandes organisations privées qui visent une plus grande prise en compte de la contribution individuelle des agents. Dans une démarche compréhensive, et à la lumière des travaux de James March, il apparaît que ces " outils de gestion " conduisent les acteurs, surtout les cadres de soins, à modifier leur façon d'être et de concevoir leur activité. Leur représentation du " bon travail " semble alors être mise en tension.
- [halshs-00801911] L'évaluation du travail dans les établissements de santé publics : déstabilisation des acteurs et remise en question des valeurs18 mars 2013Depuis le début des années 2000, la fonction publique française est engagée dans un vaste mouvement de rationalisation qui impacte notamment les pratiques de gestion des ressources humaines. A partir d'une étude menée dans un établissement pour personne âgées dépendante (EHPAD) public intégré à un hôpital local, l'objet de cet article est d'analyser en quoi la mise en place de référentiels d'évaluation centrés sur la mesure de la contribution individuelle peut déstabiliser les acteurs censés appliquer ce type d'outils. (...)
- [halshs-04659959] Mixed-mode household travel surveys: synthesis from three experiments in France23 juillet 2024Faced with the difficulty of collecting reliable and representative behavioural data for an acceptable cost, complex survey protocols associating several modes have been developed. Combining different media improve data quality, as it increases the overall response rate, but the question of data comparability remains unresolved. By comparing the results of endogenous selection models estimated using three French mixed-mode travel surveys (two in Lyon in 2006 and 2012-2015 and one in Paris in 2018), we show that it is possible to isolate the impact due to socio-economic differences from that induced by the survey mode.
- [hal-04476446] The impact of parental benefits on disadvantaged households24 février 2024Over the past 25 years, the Government of Quebec (Canada) has introduced a number of relatively novel policies aimed at fighting poverty such as the Universal Child Care Program (UCCP) in 1997 and the Quebec Parental Insurance Program (QPIP) in 2006. Since its inception, the QPIP has provided a means‐tested supplementary benefits scheme for disadvantaged households. The scheme yields a well‐defined kink in the benefits schedule with respect to two entirely exogenous criteria. Using the QPIP administrative data files from 2006 to 2017, we estimate the causal impact of the supplemental benefits on leave duration and participation of poor households within a sharp Regression Kink Design (RKD) approach. Our results indicate that single mothers are relatively responsive to additional benefits. Conversely, partnered mothers are not found to respond to the supplemental benefits, irrespective of fathers’ own participation in the parental leave. The Canadian government is currently considering introducing a similar parental leave program. Our results may prove useful for the design of the program.
- [halshs-03978273] Analyzing the Difficulties of Continuing Physical Activity during the COVID-19 Crisis in France8 février 2023Physical activity (PA) and limiting sedentary behavior have been recognized as healthpromoting behaviors for many years. Since the COVID-19 pandemic, changes in lifestyle habits have occurred, causing disparities in PA practice. This article aimed to examine the characteristics of French adults who self-reported having difficulties in continuing their exercise practices during the pandemic. Multivariate logistic regressions were used to test whether certain demographic, morphologic, behavioral (sleep, sedentary lifestyle, extent of household chores), and exercise-related variables were significant predictors of experiencing such difficulties, based on data from an online survey of insurance company members. Difficulties in PA practice were found in 57% of the population surveyed. Several factors were identified as predictors of experiencing difficulties, including a high BMI, the type and number of physical activities usually practiced before lockdown, as well as the number of times per week dedicated to PA. For the employed population, specific factors were additionally decisive: sex, time spent in front of screens, and sleeping. Our results will allow public health policy makers and stakeholders in PA and prevention to better target populations in difficulty during periods of disruption, such as that of the pandemic; thus, allowing them to propose structural or organizational solutions for the continuity of PA practice.
- [halshs-03166260] L’impact de l’accessibilité et de la forme urbaine sur le choix modal des jeunes adultes : le cas de l’agglomération lyonnaise (1995-2006)11 mars 2021L’objectif de cet article consiste à estimer les facteurs qui déterminent le non usage de la voiture particulière chez les jeunes adultes et de mesurer les effets spécifiques de l’accessibilité et de la forme urbaine du lieu de résidence et du lieu de travail ou d’étude. L’analyse repose sur les données des deux enquêtes ménages déplacements, de 1995 et 2006, de l’agglomération lyonnaise en France, enrichies par des indicateurs de contexte spatial extraits de bases de données géographiques. Trois modes fréquemment utilisés lors des déplacements domicile-travail/étude sont considérés : la voiture particulière, le transport en commun et les modes actifs (marché à pied, vélo). Les résultats des modèles logit multinomiaux montrent que les facteurs socioéconomiques ont un impact significatif sur le choix modal pour les déplacements domicile-travail/étude. Cependant, les caractéristiques des zones de résidence et d’activité ont un pouvoir explicatif encore très important sur le fait de ne pas utiliser la voiture chez les jeunes adultes. L’influence de la structure urbaine, via la densité de population/emploi, les activités de proximité et l’accessibilité au transport en commun, est plus prononcée en 2006 par rapport à 1995. La probabilité de ne pas conduire chez les jeunes adultes dépend encore plus de l’accessibilité et de la forme urbaine du lieu de travail ou d’étude que de celles du lieu de résidence.
- [hal-01909405] Mixed-modes survey media and data comparability issues: a French case study31 octobre 2018The propensity for non-responses is tending to reduce confidence that survey results are representative of the studied population. A way to increase response rate is to combine different survey media. An Internet survey of non-respondents to the 2012-2015 Rhone-Alps phone travel survey has been conducted. If web respondent declared fewer trips than phone respondents (3.00 vs. 3.82 trips per day), covered distance was on average longer (24.38 vs. 20.47 km per day) and time budget was similar. These gaps could be explained by a double effect: a higher immobility of the web respondents (18.6%, vs. 10.1%) and a lower statement of their daily trips (3.69 vs. 4.24 daily trips for mobiles). Individuals who respond by phone might be different than those who respond on web. But when sociodemographic differences are corrected by weighting procedure (margin calibration), some gaps have increased. Responses might be not comparable, because the presence of respondents in web or phone sample might be determined by external factors that may also affect their mobility. It is therefore necessary to implement an endogenous selection model, allowing taking into account selection bias. The aim is to estimate the number of trips and the distance and time budgets thanks to specific models, which eliminate the selection bias.
- [hal-01849520] Daily (im)mobility behaviours in France: An application of hurdle models26 juillet 2018Our approach consists in improving the characterisation of the determinants of reported mobility without eliminating individuals who made no trip during the reference period. Sociodemographic factors that influence the decision to be mobile (vs. not making a trip) are not necessarily the same as those that influence the intensity of mobility among mobile individuals. This paper contains an assessment of hurdle models in comparison to simpler regression models. For two-part decision econometric models (hurdle and type II models), we focus on the factors influencing, firstly, the decision to travel, and secondly, the level of mobility. We consider the number of trips and the daily distance budget stated by respondents to the household travel survey which was conducted by phone in the Rhône-Alpes region between 2012 and 2015. The aim is to improve our understanding of the determinants of immobility and to estimate a function that links daily mobility level to socioeconomic characteristics given that a significant proportion of the survey population (9%) reported making no trip.
- [hal-02456502] Young people and the private car: A love-hate relationship21 juillet 2022Urban mobility is one of the main concerns of the public authorities in developed countries. In France, household travel surveys are conducted every ten years in major cities to gather weekday mobility data. They enable decision-makers to better understand travel patterns, their change and their determinants, in order to adapt transport infrastructures to the population′s needs. While the automobile has allowed the level of mobility to increase since 1950, an unexpected finding has emerged from recent surveys in most developed countries, namely that there has been a marked decline in car use. Analyses show that this trend is mainly because young adults (18–34 years old) are less likely to acquire a driver′s license. This paper tries to better understand the decrease in the rate of driver′s license holding among young adults in the Lyon conurbation and to quantify the impact of the main explanatory factors in a temporal perspective. It also aims to analyze the consequences of this trend on private car use as a driver for daily trips. It quantifies the influence of economic, socio-demographic and spatial factors on driver ′ s license holding and car use by considering the responses to the last three household travels surveys conducted in the Lyon conurbation area (1995, 2006 and 2015). The temporal dimension allows us to highlight a change in the relationship between young adults and the private car in the French context.
- [hal-02440063] La mobilité domicile-travail des actifs de l’aire urbaine lyonnaise : une approche temporelle (1995-2015)14 janvier 2020Ces dernières années, les grandes villes françaises ont connu un double phénomène de métropolisation et d’expansion spatiale. Dans ce contexte, la mobilité quotidienne des individus, et tout particulièrement celle liée au travail, constitue un enjeu central pour le développement des infrastructures. En s’appuyant sur les trois dernières Enquêtes ménages déplacements, cet article propose d’étudier l’évolution de la mobilité domicile-travail des actifs lyonnais depuis vingt ans (distance domicile-travail parcourue et usage de la voiture pour aller au travail). L’objectif est de déterminer si l’évolution des indicateurs de mobilité est davantage imputable à une modification de comportements des actifs ou à un changement structurel des caractéristiques de ces derniers, en intégrant une dimension temporelle dans les modèles économétriques. Si certaines différences de comportements de mobilité persistent, notamment selon le type d’emploi, l’utilisation de la voiture pour se rendre au travail a fortement évolué, mettant en évidence un effet de rattrapage chez les femmes et les professions et catégories socioprofessionnelles les moins élevées.
- [halshs-01053167] L'impact du mode d'enquête sur la mesure des comportements de mobilité20 février 2018Les enquêtes de mobilité sont indispensables, tant à la compréhension, à l'analyse et à la modélisation des comportements de déplacement, que pour contribuer à définir et à évaluer les politiques de transport mises en œuvre. Pourtant, les taux de réponse aux Enquêtes Ménages Déplacements (EMD) décroissent au fil du temps. Ces dernières années, les méthodes utilisées pour recueillir les données de mobilité ont évolué, afin d'une part de nourrir des modèles de plus en plus complexes et d'autre part d'intégrer les apports des nouvelles technologies dans les protocoles d'enquête (web, GPS, etc.). En particulier, la combinaison de différents médias s'impose comme un moyen d'améliorer la qualité des données produites à moindre coût, en permettant une augmentation du taux de réponse global. Si le fait de proposer des médias différents permet d'augmenter le taux de réponse global, la comparabilité des données reste un exercice difficile. Les caractéristiques socioéconomiques des répondants varient selon le mode d'enquête, et ces différences peuvent être à l'origine de comportements spécifiques. Nous montrons dans cet article qu'il est possible de distinguer l'effet dû au mode d'enquête de celui lié aux différences socioéconomiques observées entre les échantillons de répondants, et de quantifier l'impact du mode d'enquête sur la mesure de la mobilité déclarée. Le modèle économétrique envisagé pour cette analyse est emprunté au domaine des variables qualitatives. Plus précisément, il s'agit d'un modèle de sélection de l'échantillon, dont nous estimons les paramètres à l'aide de la procédure en deux étapes, élaborée par Heckman à la fin des années 1970. Les résultats de l'EMD menée à Lyon en 2006 en face à face et par internet illustrent nos propos. L'objectif est de quantifier, pour chaque répondant, l'impact du mode d'enquête sur la mesure du comportement de mobilité.
- [halshs-01524444] Trends in occupational disparities for exposure to carcinogenic, mutagenic and reprotoxic chemicals in France 2003–1018 mai 2017Background: To explore trends in social and occupational inequalities in terms of exposure to carcinogenic, mutagenic and reprotoxic chemicals (CMR) for French employees. Methods: Our study assessed data from the French national cross-sectional survey of occupational hazards (SUMER) that was conducted in 2003 and 2010. We included all of the 27 CMR agents that were classified by the International Agency for Research on Cancer or European Union regulations as being known or presumed to have CMR potential in humans. Trends in prevalence and degree of exposure were examined using multilevel logistic regression analysis. Results: The number of employees exposed to CMR agents decreased by 17.5% between 2003 and 2010. The only CMR entities for which exposure rates increased are not considered to be proven CMRs according to the European Union regulations. With the exception of apprentices, there was an overall decrease in exposure prevalence for all employees. This decrease occurred, however, to different extents. The decrease in the risk of exposure to CMR agents was much greater for those on permanent contracts, managers, and in enterprises with more than 500 employees. Nonetheless, in situations where there was potential for exposure, companies with fewer than 10 employees were in fact able to decrease the degree of risk more than the others. Conclusions: Our results confirm the relevance of reinforcing regulatory restrictions for CMR products, while also indicating that monitoring of trends in disparities will allow public health policy makers to better evaluate progress made toward reducing disparities that affect vulnerable populations.
- [hal-01082559] On a capital allocation by minimizing multivariate risk indicators13 novembre 2014The 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.
- [halshs-01670155] Being Treated In Higher Volume Hospitals Leads To Longer Progression-Free Survival For Epithelial Ovarian Carcinoma Patients in the Rhone-Alpes region of France6 février 2018Background: To investigate the relationship between hospital volume activities and the survival for Epithelial Ovarian Carcinoma (EOC) patients in France.
- [halshs-01459141] Sustainability-driven entrepreneurship and high-growth SME: How to combine Davids’ and Goliaths’ worlds?21 février 2018This paper aims to explore how sustainability-driven SMEs experiencing high growth can succeed in combining the best of the Davids’ and Goliaths’ worlds. An in-depth case study was conducted within a French SME, a pioneer in organic vegetable distribution that has succeeded in evolving from an ‘idealistic David’ to a ‘high-growth David’. Research findings reveal two sets of key actions successfully carried out by this firm: the development of a hybrid organisation through a staff representing the skills of both Davids’ and Goliaths’ worlds, and of a learning organisation through exploration and exploitation. They also illustrate some challenges facing most high-growth SMEs and identify some specific tensions that can arise due to the coexistence of these two worlds, in particular value diversity within the top management team.
- [halshs-00733257] Intérêt du modèle " Hurdle " pour la comparaison des comportements de mobilité déclarée dans un protocole d'enquête mixte18 septembre 2012Face au déclin des taux de réponse des enquêtes ménages déplacements, il est nécessaire que les recherches sur les méthodes d'enquêtes travaillent sur la mise en place de protocoles d'enquête mixtes. Dans cette perspective, le laboratoire d'économie des transports a mené une enquête Web auprès des non-répondants à l'enquête ménages déplacements, administrée en face-à-face sur l'agglomération lyonnaise en 2005-2006. L'analyse comparative des données montre que, globalement, les répondants en faceà-face se déplacent davantage que les répondants sur le Web. Cet écart s'explique en partie par une forte proportion de personnes immobiles le jour de référence de l'enquête, ainsi que par une moindre mobilité des personnes mobiles. Les modèles de régression classiques permettent d'expliquer le niveau de mobilité individuelle selon les caractéristiques socio-économiques des répondants, mais ne prennent pas en compte les individus qui ne se sont pas déplacés pendant la période de référence de l'enquête. Dans le cadre de deux estimations économétriques (Poisson simple; Poisson Hurdle), nous nous intéressons aux facteurs impactant la décision de se déplacer, d'une part, le niveau de mobilité, d'autre part. Il s'agit de donner une estimation de la mobilité quotidienne moyenne des individus, ainsi que la fonction reliant cette dernière à leurs caractéristiques socioéconomiques en considérant que, pour une part non négligeable de la population enquêtée, la mobilité quotidienne est nulle. Notre démarche consiste à mieux caractériser les déterminants de l'immobilité, d'une part, et du niveau de mobilité, d'autre part, grâce à l'apport d'un modèle " Hurdle " afin de comparer les résultats obtenus sur les deux échantillons Web et face-à-face.
- [halshs-00566236] Enquête déplacements web - face-à-face : quelle comparabilité ?17 février 2012Les 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 d'une part la nécessité d'obtenir des informations fiables et suffisamment précises pour nourrir des modèles de plus en plus complexes et d'autre part l'intégration des nouvelles technologies dans les protocoles d'enquête (web, GPS...). La combinaison de différents médias apparaît 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 (3,0 vs. 3,6 déplacements quotidiens), avec des différences plus ou moins marquées selon les modes et les motifs. Si les différences socio-économiques 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.
- [halshs-03544333] Label employeur et/ou marque région: quels signaux privilégier dans la communication de recrutement pour renforcer l'attractivité organisationnelle?5 juillet 2022Cette recherche analyse les effets de la présence séparée ou simultanée de signaux relatifs au territoire et à l’employeur dans une annonce de recrutement sur l’attractivité organisationnelle. Les résultats montrent que marque employeur et marque territoire n’ont pas intérêt à être rapprochées dans la communication de recrutement. L’effet du logo région fonctionne en effet lorsqu’il n’est pas associé au label employeur et est d’autant plus fort que l’image de la ville est bonne.
- [halshs-00520050] On Cross-risk Vulnerability22 septembre 2010We introduce the notion of cross-risk vulnerability to generalize the concept of risk vulnerability introduced by Gollier and Pratt [Gollier, C., Pratt, J.W. 1996. Risk vulnerability and the tempering effect of background risk. Econometrica 64, 1109–1124]. While risk vulnerability captures the idea that the presence of an unfair financial background risk should make risk-averse individuals behave in a more risk-averse way with respect to an independent financial risk, cross-risk vulnerability extends this idea to the impact of a non-financial background risk on the financial risk. It provides an answer to the question of the impact of a background risk on the optimal coinsurance rate and on the optimal deductible level. We derive necessary and sufficient conditions for a bivariate utility function to exhibit cross-risk vulnerability both toward an actuarially neutral background risk and toward an unfair background risk. We also analyze the question of the sub-additivity of risk premia and show to what extent cross-risk vulnerability provides an answer.
- [halshs-01053165] Combining web and face-to-face in travel surveys: comparability challenges?29 juillet 2014Response rates for household travel surveys are tending to fall, and it seems unlikely that this trend will be reversed in the future. In recent years, travel data collection methods have evolved in order to obtain reliable data that are sufficiently detailed to feed increasingly complex models, and in order to integrate new technologies into survey protocols (Internet, GPS...). Combining different media is an obvious low-cost way of improving data quality as it increases the overall response rate. But the question of the comparability of data over time and between different survey modes remains unresolved. This paper makes a comparative analysis between the travel behaviours of web-based survey respondents and respondents to a face-to-face interview. The data were obtained from the 2006 Lyon conurbation household travel survey. Our analysis shows that the Internet respondents reported fewer trips per day than the face-to-face respondents (3.00 vs. 4.04 daily trips), and that the differences between the two groups varied according to the travel mode and trip purpose. While part of this difference can be explained by socioeconomic disparities (the Internet respondents had a specific profile) we cannot exclude the possibility of under-reporting due to the web medium.
- [halshs-00520072] Preserving preference rankings under non-financial background risk22 septembre 2010We investigate the impact of a non-financial background risk ˜" on the preference rankings between two independent financial risks ˜z1 and ˜z2 for an expected-utility maximizer. More precisely, we provide necessary and sufficient conditions for the alternative (x0 + ˜z1, y0 + ˜") to be preferred to (x0 + ˜z2, y0 + ˜") whenever (x0 + ˜z1, y0) is preferred to (x0 + ˜z2, y0). Utility functions that preserve the preference rankings are fully characterized. Their practical relevance is discussed in light of recent results on the constraints for the modeling of the preference for the disaggregation of harms.
- [halshs-01663683] How to Combine Survey Media (Web, Telephone, Face-to-Face): Lyon and Rhône-alps Case Study15 décembre 2017We present the results of a web survey presented to non-respondents of a main telephone survey and compare declared mobility of both survey modes. After a description of the population who answered online, we summarise travel patterns and estimate a selection bias. Results are consistent with the hypothesis of an under declaration attributable to the web, as far as we know, that the risk of omitting trips concerns especially short trips and less constrained trip purposes. From comparison with a previous face-to-face and web survey we give some perspectives for future household travel surveys.
- [halshs-01446738] Le devenir professionnel des bénéficiaires des clauses d’insertion des marchés publics après leur sortie du dispositif26 janvier 2017Prévue par le code des marchés publics, la clause d’insertion permet d’intégrer explicitement des critères sociaux dans les appels d’offres. Les entreprises attributaires de tels marchés ont l’obligation de proposer un nombre minimal d’heures de travail à des personnes éloignées de l’emploi. Cet article étudie le devenir professionnel des bénéficiaires de ces clauses à moyen terme (six à vingt mois après), grâce à une enquête téléphonique auprès d’un panel de bénéficiaires de l’agglomération lyonnaise. Une partie des bénéficiaires parviennent à sécuriser leur parcours professionnel avec l’accès à des emplois durables. Le maintien en emploi semble dépendre de la capacité du dispositif à améliorer la confiance en soi des bénéficiaires et à leur faire acquérir une formation.
- [hal-02476291] Trends in the Control Strategies for Occupational Exposure to Carcinogenic, Mutagenic, and Reprotoxic Chemicals in France (2003-2010)12 février 2020European directives stipulate that French employers take all available measures to reduce the use of carcinogenic, mutagenic, and reprotoxic (CMR) chemicals. Our study explores the trends for the various control measures that are available to employees exposed to CMR agents, at two time points (2003 and 2010).Our study assessed data from the 2003 and the 2010 French national cross-sectional survey of occupational hazards (SUMER). The availability of collective protections (source-based controls and general ventilation) and personal protective equipment (PPE) was explored. Trends in the availability of protective measures were studied using multilevel logistic regressions.Exposure situations without any protective measures decreased considerably between 2003 and 2010 (29.9% versus 17.9%, respectively). The increase in the proportion of exposure situations involving source-based controls (e.g. an isolation chamber and local exhaust ventilation) was, however, much less. Multiple regression analysis showed that the protection strategies depended on the job characteristics (e.g. work schedules, the employment contract, and the occupation) as well as the size of the company. There were noticeable changes between 2003 and 2010. For example, differences in protections available between full-time and part-time workers disappeared in the 7-year period, whereas those between executives/managers and other employees increased, as did the gaps between large and small companies.Although the overall increase in exposure situations involving protective measures masks a number of differences in exposure between employee categories, it is a step in the right direction. Source-based controls appeared to be implemented more for exposures with the longest durations, and PPE was very often combined with collective protections, which is what is currently recommended.
- [hal-02002883] Les pratiques d’activité réduite et leurs impacts sur les trajectoires professionnelles : Une revue de la littérature26 octobre 2021Le dispositif des activités réduites vise à atténuer les effets désincitatifs du système d’allocation chômage en permettant aux demandeurs d’emploi de combiner activité rémunérée et recherche d’emploi tout en cumulant, au moins partiellement, la rémunération de son activité et ses allocations chômage. Notre revue de la littérature théorique et empirique cherche à savoir si ce dispositif, avec des incitations nécessairement limitées à l’exercice d’une activité temporaire ou à temps partiel, peut favoriser une insertion durable sur le marché du travail. Elle montre que les effets théoriques attendus sur les trajectoires professionnelles des demandeurs d’emploi et sur la qualité des emplois potentiellement retrouvés sont ambigus et méritent d’être tranchés empiriquement. Les études empiriques nationales et internationales mettent alors en évidence qu’il est nécessaire de distinguer les effets à court terme des effets à long terme et qu’il existe une forte hétérogénéité des impacts entre demandeurs d’emploi. Néanmoins, en France, l’activité réduite semble globalement un accélérateur de l’accès à l’emploi durable mais avec des effets relativement modestes. En outre, elle ne semble pas améliorer ni dégrader la qualité de l’emploi retrouvé.
- [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.