fr
en
Publications du Laboratoire SAF
Publications antérieures ou hors HAL :
2017
Boulier J.F., Brexit, an un, paru dans Option Finance, Mai 2017
Boulier J.F., Quelle nouvelle crise nous menace, et comment s'en prémunir ?, paru dans Gestion de Fortune, Juin 2017
Boulier J.F., M&M, paru dans Option Finance le 19 juin 2017
Boulier J.F., Chronique d'une très grande crise (couverture), aux éditions MA éditions - ESKA, Avril 2017
Boulier J.F., Long Term Savings Performances: The 40 year track record of Afer funds, paru dans Bankers, Markets & Investors n°146 (janvier-février 2017)
Viot C, Benraïss-Noailles L (2017), Qu’en est-il de l’attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur, Revue Française de Gestion, Numéro spécial Low cost, (accepté le 29 mai 2017), à paraître
2016
Boulier J.F., Les frontières seront-elles efficientes ? , paru dans Risques n°108 (décembre 2016)
Boulier J.F., Brexit et conséquences, paru dans Option Finance (Octobre 2016)
Boulier J.F., Fierté française, paru dans Le Revenu (Septembre 2016)
2015
Decision thresholds and changes in risk for preventive treatmentHealth Economics, DOI: 10.1002/hec.3127.
C. COURBAGE, B. REY
Phase-type aging modeling for health dependent costs
Insurance : Mathematics and Economics
M. GOVORUN, G. LATOUCHE, S. LOISEL
Un modèle de projection pour des contrats de retraite dans le cadre de l’ORSA
Bulletin Français d’Actuariat, vol. 14, n°28.
F. BONNIN, F. COMBES, F. PLACNHET, M. TAMMAR
M. Kacem, C. Lefèvre, S. Loisel. (2015). Convex extrema for nonincreasing discrete distributions: Effects of convexity constraints, Journal of Mathematical Analysis and Applications 423, 1774-1791.
J.Tomas and F.Planchet. (2015), Prospective mortality tables: taking heterogeneity into account, Insurance : Mathematics & Economics.
On tail dependence coefficients of transformed multivariate Archimedean copulas, Fuzzy Sets and Systems, Available online 5 September 2015, ISSN 0165-0114,http://dx.doi.org/10.1016/j.fss.2015.08.030.
E. DI BERNARDINO, D. RULLIERE
On the estimation of Pareto fronts from the point of view of copula theory
Information Sciences, Volume 324, 10 December 2015, Pages 270-285, ISSN 0020-0255, http://dx.doi.org/10.1016/j.ins.2015.06.037.
M. BINOIS, D. RULLIERE, O. ROUSTANT
Estimation of multivariate critical layers: Applications to rainfall data (2015)
Journal SFDS, vol. 156, no.1, pp 11–50, ISSN 2102-6238.
E. DI BERNARDINO, D; RULLIERE
A paraitre
Index for predicting insurance claims from wind storms with an application in France, Risk Analysis
A.MORNET, T.OPITZ, M.LUZI, S.LOISEL (2015)
A. Boumezoued, N. El Karoui, S. Loisel, (2015). Measuring mortality heterogeneity with multi-state models and interval-censored data, Working paper Preprint sur Hal.
E. Debonneuil, S. Loisel, F. Planchet, (2015). Do actuaries believe in longevity deceleration?, Working paper Preprint sur Hal.
P.O. Goffard, S. Loisel, D. Pommeret. Polynomial approximations for bivariate aggregate claims amount probability distributions, soumis.
P.O. Goffard, S. Loisel, D. Pommeret. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model, en révision dans Journal of Computational and Applied Mathematics.
V. Maume-Deschamps, D. Rullière, K. Saïd. On capital allocation by minimizing multivariate risk indicators. Soumis.
N.El Karoui, Y. Salhi, S. Loisel, Robust Detection of Unobservable Disorder Time in Poisson Rate, preprint 2015, soumis.
O. Lopez, X. Milhaud, P. Thérond. (2015), Consistency of tree-based estimators in censored regression with applications in insurance. Preprint
O. Lopez, X. Milhaud, P. Therond. Consistency of tree-based estimators in censored regression with applications in insurance
Discrete Schur-constant models
Journal of Multivariate Analysis
A. CASTANER, M.M, CLARAMUNT, C. LEFEVRE, S. LOISEL
Viot C. (2015), Le dialogue marque-client : une réalité ? La revue des marques, n° 82, Octobre, 58-62.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, J. Tomas. [2014c] Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat, vol. 14, n°27.
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents - Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, 13(27), 5-28.Q. Guibert, M. Juillard, T-O. Nteukam, F. Planchet. (2014) Solvabilité Prospective en Assurance -Méthodes quantitatives pour l'ORSA, Paris : Economica.
F. Planchet, J. Tomas. (2014b) Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal, Volume 4, Issue 2, pp 247-279, doi: 10.1007/s13385-014-0095-y.
F. Planchet, J. Tomas. (2014a) Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal, doi: 10.1080/03461238.2014.925496.
F. Bonnin, M. Juillard, F. Planchet. (2014) Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z
Properties of a risk measure derived from the expected area in red
Insurance : Mathematics and Economics, Vol.55, 191-199
S. LOISEL, J. TRUFIN
Benchmark values for higher order coefficients of relative risk aversion,
Theory and Decision, Vol.76, 81-94.
M. DENUIT, B. REY
Some characteristics of an equity security next-year impairment,
Review of Quantitative Finance and Accounting, february, 1-25.
J.AZZAZ, S.LOISEL, P.THEROND
A survey of some recent results on Risk Theory,
ESAIM Proceedings, 44, 322-337.
F.AVRAM, R. BIARD, Ch. DUTANG, S. LOISEL, L. RABEHASAINA
A paraitre
Convex extrema for nonincreasing discrete distributions : effects of convexity constaints, JMAA.
M.KACEM, C.LEFEVRE, S.LOISEL (2014)
Risk indicators with several lines of business : comparison, asymptotic behavior and applications to optimal reserve allocation, annales de l’ISUP
P.CENAC, S.LOISEL, V.MAUME-DESCHAMPS, C.PRIEUR (2014)
Ruin problems with worsening risks or with infinite mean claims, Stochastic models.
D.KORTSCHAK, S.LOISEL, P.RIBEREAU (2014)
F. Bonnin, A. De Clermont-Tonnerre, F. Planchet, D. Sapone, M. Tammar. (2014) Valeur économique de dettes subordonnées pour des sociétés non-vie, Les cahiers de recherche de l’ISFA, n° 2014.15.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on Aalen Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance, Les cahiers de recherche de l’ISFA, n°2014.14.
Y. Laïdy, F. Planchet. (2014) Calibrating LMN Model to Compute Best Estimates in Life Insurance, Les cahiers de recherche de l’ISFA, n°2014.13.
T. O. Nteukam, F. Planchet, J. Ren. (2014) Internal Model in Life insurance: Application of Least Square Monte-Carlo in Risk Assessment, Les cahiers de recherche de l’ISFA, n°2014.12.
H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks : The Longevity Nominal Choosing Swaptions, en révision à IME.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on AalenJohansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance. Soumis Life Time Data Analysis.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, J. Tomas. [2014c] Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat, vol. 14, n°27.
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents - Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, 13(27), 5-28.Q. Guibert, M. Juillard, T-O. Nteukam, F. Planchet. (2014) Solvabilité Prospective en Assurance -Méthodes quantitatives pour l'ORSA, Paris : Economica.
F. Planchet, J. Tomas. (2014b) Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal, Volume 4, Issue 2, pp 247-279, doi: 10.1007/s13385-014-0095-y.
F. Planchet, J. Tomas. (2014a) Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal, doi: 10.1080/03461238.2014.925496.
F. Bonnin, M. Juillard, F. Planchet. (2014) Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z
Properties of a risk measure derived from the expected area in red
Insurance : Mathematics and Economics, Vol.55, 191-199
S. LOISEL, J. TRUFIN
Benchmark values for higher order coefficients of relative risk aversion,
Theory and Decision, Vol.76, 81-94.
M. DENUIT, B. REY
Some characteristics of an equity security next-year impairment,
Review of Quantitative Finance and Accounting, february, 1-25.
J.AZZAZ, S.LOISEL, P.THEROND
A survey of some recent results on Risk Theory,
ESAIM Proceedings, 44, 322-337.
F.AVRAM, R. BIARD, Ch. DUTANG, S. LOISEL, L. RABEHASAINA
A paraitre
Convex extrema for nonincreasing discrete distributions : effects of convexity constaints, JMAA.
M.KACEM, C.LEFEVRE, S.LOISEL (2014)
Risk indicators with several lines of business : comparison, asymptotic behavior and applications to optimal reserve allocation, annales de l’ISUP
P.CENAC, S.LOISEL, V.MAUME-DESCHAMPS, C.PRIEUR (2014)
Ruin problems with worsening risks or with infinite mean claims, Stochastic models.
D.KORTSCHAK, S.LOISEL, P.RIBEREAU (2014)
F. Bonnin, A. De Clermont-Tonnerre, F. Planchet, D. Sapone, M. Tammar. (2014) Valeur économique de dettes subordonnées pour des sociétés non-vie, Les cahiers de recherche de l’ISFA, n° 2014.15.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on Aalen Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance, Les cahiers de recherche de l’ISFA, n°2014.14.
Y. Laïdy, F. Planchet. (2014) Calibrating LMN Model to Compute Best Estimates in Life Insurance, Les cahiers de recherche de l’ISFA, n°2014.13.
T. O. Nteukam, F. Planchet, J. Ren. (2014) Internal Model in Life insurance: Application of Least Square Monte-Carlo in Risk Assessment, Les cahiers de recherche de l’ISFA, n°2014.12.
H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks : The Longevity Nominal Choosing Swaptions, en révision à IME.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on AalenJohansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance. Soumis Life Time Data Analysis.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
2013
The « A+B/u » rule for discrete and continuous time risk models with dependence,Insurance : Mathematics and Economics, 53, issue 3, 774-785.
Ch. DUTANG, C. LEFEVRE, S. LOISEL
On multiply monotone distributions, continuous or discrete, with applications,
Journal of Applied Probability, 50(3), 603-907.
C. LEFEVRE, S. LOISEL
Impact of climate change on heat wave risks,
Risks, 1(3), 176-191
R.BIARD, C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, S.LOISEL
On certain transformations of Archimedean copulas : Application to the non-parametric estimation of their generators,
Dependence Modeling, Vol.1, 1-36
E. DI BERNARDINO, D.RULLIERE
Another look at risk apportionment,
Journal of Mathematical Economics, 49, 335-343.
M. DENUIT, B. REY
On multivariate extensions of value-at-risk,
Journal of multivariate analysis, 119, 32-46.
A. COUSIN, E. DI BERNARDINO
On finite-time ruin probabilities with dependence between reinsurance cycles and the claim arrival process,
Scandinavian Actuarial Journal, Vol. 2013, Issue 3, 163-185.
M. BARGES, S. LOISEL & X. VENEL
The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCAILLET, D. DOROBANTU, D. RULLIERE
Solvency assessment within the ORSA framework : issues and quantitative methodologies,
Bulletin Français d’Actuariat, Vol.13, n°25, janvier-juin, 35-71.
L. DEVINEAU, J. VEDANI
An extension of Davis and Lo’s contagion model,
Quantitative Finance, vol.13, 3, 407-420, (DOI) 10.1080/14697688.2012.727015.
A. COUSIN, D. DOROBANTU, D. RULLIÈRE
The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCALLIET, D. DOROBANTU, D. RULLIÈRE
Exploring or reducing noise? A global optimization algorithm in the presence of noise,
Structural and Multidisciplinary Optimization, vol.47, 6, 921-936, (DOI) 10.1007/s00158-012-0874-5.
D. RULLIERE, A. FALEH, F. PLANCHET, W. YOUSSEF
Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory,
Insurance: Mathematics and Economics, Vol.53(1), 190-205.
E. DI BERNARDINO, D. RULLIERE
L’évaluation du travail dans les établissements de santé publics : déstabilisation des acteurs et remise en question des valeurs,
Entreprises et Humanisme, n°309, 16p.
S.BERTEZENE, B. DUBRION
Moderniser les pratiques d’évaluation du travail dans la fonction publique : analyse exploratoire du cas d’un hôpital public,
Formation Emploi, Vol.1, n°121, 83-105.
S.BERTEZENE, B. DUBRION
Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social,
Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE
Cost effectiveness of pegfilgrastrim versus filgrastim after high-dose chemotherapy and autologous stem cell transplantation in patients with lymphoma and myeloma (an economic evaluation of the PALM Trial),
Applied Health Economics and Health Policy, (DOI) 10.1007/s40258-013-0011-7.
L. PERRIER, A. LEFRANC, D. PROL, P. QUITTET, A. SCHMIDT-TANGUY, C. SIANI, C. DE PERETTI
Quadratic hedging : an actuarial view extended to solvency control,
European Actuarial Journal, (DOI) 10.1007/s13385-013-0066-8.
R. NORBERG
Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, Vol.17, 197-222, (DOI) 10.1008/s00780-012-0182-3.
R. NORBERG
Some new classes of stationary max-stable random fields,
Statistics and Probability Letters, 83, 1496-1503.
C. ROBERT
Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustements,
Bulletin Français d’Actuariat, Vol.13, n°25, 73-102.
J. TRUFIN, S. LOISEL
Competition among non-life insurers under solvency constraints : a game-theoretic approach,
European Journal of Operational Research, 31(3), 702-711.
C. DUTANG, H. ALBRECHER, S. LOISEL
A paraitre
The bottom-up top-down puzzle solved, CreditFlux.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)
Dynamic hedging of portfolio credit risk in a Markov copula model, forthcoming in Journal of Optimization Theory and Applications.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries, accepted for publication in Communiction in Statistics – Theory and methods.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)
Some mixing properties of conditionally mixing processes, accepted, to appear in Communication in Statistics : Theory and methods.
M. KACEM, S. LOISEL, V. MAUME-DESCHAMPS (2013)
Estimation of the parameters of a Markov-modulated loss process in insurance, accepted, to appear in Insurance : Mathematics and Economics.
A. GUILLOU, S. LOISEL, G. STUPFLER (2013)
Regards croisés sur les infections nosocomiales : de la responsabilité juridique à l’évaluation des coûts, Droit, Déontologie et Soins, à paraître.
S.BERTEZENE, D. RONDEAU (2013)
Prevention and Precaution, chapter of book, The Handbook of Insurance (édition révisée), Kluwer Academic Publishers, A paraître.
Ch. COURBAGE, B. REY, N. TREICH (2013)
Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social, Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE (2013)
Automatic declustering of rare events, to appear in Biometrika.
C. ROBERT (2013)
Estimating the efficient price from the order flow : a Brownian Cox process approach, to appear in Stocastic Processes and their Applications.
S. DELATTRE, C. ROBERT, M. ROSENBAUM (2013)
Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework, to appear in Insurance : Mathematics and Economics.
C. ROBERT (2013)
On multiply monotone distributions, continuous or discrete, with applications, accepted, to appear in Journal of Applied Probability.
C. LEFEVRE, S. LOISEL (2013)
Quels sont les effets des pédagogies actives dans l’apprentissage de l’entrepreunariat ? Etude des changements de perceptions des élèves ingénieurs et managers à l’issue de la formation M.I.M.E (Méthode d’Initiation au Métier d’Entrepreneur), La revue de l’Entrepreneuriat, A paraître.
M. SALGADO, O. TOUTAIN (2013)
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb and face-to-face in travel surveys : comparability, challenges,
Transportation, 1-25
C. BAYART, P. BONNEL
Delta-Hedging Correlation Risk ?
Review of Derivatives Research, 15(1), 25-56
A. COUSIN, S. CREPEY & Y. HANG KAN
Understanding, modelling and managing longevity risk : key issues and main challenges,
Scandinavian Actuarial Journal, Vol. 2012, n°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI
Iterative adjustment of survival functions by compositions of probability distortions,
The Geneva Risk and Insurance Review, 37, 156-179, (DOI) 10.1057/grir.2011.7.
A. BIENVENÜE, D. RULLIÈRE
The effect of derivative instrument use on capital market risk : evidence from banks in developed and emerging countries,
Frontiers in Finance and Economics, Vol.9, n°2, 85-121.
M.R. KEFFALA, C. DE PERETTI, C.Y. CHAN
Corporate Governance and Voluntary Recognition of ESOs Expenses,
The Empirical Economics Letters, Vol.11, n°5.
C.Y. CHAN, S.L. SU, C. DE PERETTI
La confiance, levier de l’engagement dans les PME en forte croissance,
Revue Française de Gestion, Vol.5, n°224, 65-84.
E. BELLIATO, C. CHAMPAGNE DE LABRIOLLE, I. PRIM-ALLAZ, M. SEVILLE
On relative and partial risk attitudes : theory and implications,
Economic Theory, 50, 151-167.
W.H. CHIU, L. EECKHOUDT, B. REY
Intérêt du modèle « Hurdle » pour la comparaison des comportements de mobilité déclarée dans un protocole d’enquête mixte,
Recherche Transports Sécurité, 28, 33-45.
C. BAYART, P. BONNEL
Optimal stopping for Markov processes and decreasing affine functions, Romanian
Journal of Pure and Applied Mathematics, 56, 4, 283-294.
D. DOROBANTU
Empirical Test of the Efficiency of the UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach,
Journal of Empirical Finance, Volume 19, Issue 1, January, 162-174. Impact Factor: 0.807. Social Science Research Network Working Paper Series 1546355.
C.Y. CHAN, C. DE PERETTI, Z. QIAO, W.K. WONG
Stochastic and Tychastic Approaches to Guaranteed ALM Problem,
Bulletin Français d’Actuariat, vol. 12, n°23.
J.P. AUBIN, L. CHEN, O. DORDAN, A. FALEH, G. LEZAN, F. PLANCHET
Pricing of Parisian options for a jumpdiffusion model with two-sided jumps,
Applied Mathematical Finance, 19(2), 97-129.
H. ALBRECHER, D. KORTSCHAK, X. ZHOU
On semiparametric estimation of ruin probabilities in the classical risk model,
Scandinavian Actuarial Journal, 1-26, iFirst article.
E. MASIELLO
Priority setting in health care and higher order degree change in risk,
Journal of Health Economics, 31, 484-489.
C. COURBAGE, B. REY
Optimal prevention and other risks in a two-period model,
Mathematical Social Sciences, 63, 213-217.
C. COURBAGE, B. REY
A quadratic hedging approach to comparison of catastrophe indices, International,
Journal of Theoretical and Applied Finance, Vol.15, Issue 4, (DOI) 10.1142/s0219024912500306.
R. NORBERG, O. SAVINA
Risk and insurability of storm damages to residential buildings in Austria,
The Geneva Papers on Risk and Insurance - Issues and Practice.
F. PRETTENTHLER, H. ALBRECHER, J. KOBERL, D. KORTSCHAK
Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, (DOI) 10.1007/s00780-012-0182-3.
R. NORBERG
Risk processes with dependence and premium adjusted to solvency targets.
European Actuarial Journal, Vol.2, Issue 1, 1-20 (DOI) 10.1007/s13385-012-0046-4.
C. CONSTANTINESCU, V. MAUME-DESCHAMPS, R. NORBERG
Some multivariate risk indicators ; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm,
Statistics and Risk Modeling, 29 (1), 47-71.
P. CENAC, C. PRIEUR, V. MAUME-DESCHAMPS
A paraitre
Présentation du marché de l'assurance vie en Afrique subsaharienne francophone, Assurances et gestion des risques, A paraître.
A. KAMEGA, F. PLANCHET (2012)
Quadratic Hedging by an Influent Informed Investor, à paraître dans Stochastics : An International Journal of Probability and Stochastic Processes.
A. EYRAUD-LOISEL (2012)
Are Fieller and bootstrap methods really equivalent for calculating confidence regions for ratios: an application to the MPIS data, Health; Decision and Management, à paraître.
C. SIANI, C. DE PERETTI (2012)
Understanding, modelling and managing longevity risk : key issues and main challenges, Scandinavian Actuarial Journal, Vol. 2012, N°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI (2012)
A bottom-up dynamic model of portfolio credit risk, Part I : Markov copula perspective, forthcoming in recent advances in financial engineering – World scientific.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
A bottom-up dynamic model of portfolio credit risk, Part II : common-shock interpretation, calibration and hedging issues, forthcoming in recent advances in financial engineering – world scientific
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.
Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.
Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.
Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb and face-to-face in travel surveys : comparability, challenges,
Transportation, 1-25
C. BAYART, P. BONNEL
Delta-Hedging Correlation Risk ?
Review of Derivatives Research, 15(1), 25-56
A. COUSIN, S. CREPEY & Y. HANG KAN
Understanding, modelling and managing longevity risk : key issues and main challenges,
Scandinavian Actuarial Journal, Vol. 2012, n°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI
Iterative adjustment of survival functions by compositions of probability distortions,
The Geneva Risk and Insurance Review, 37, 156-179, (DOI) 10.1057/grir.2011.7.
A. BIENVENÜE, D. RULLIÈRE
The effect of derivative instrument use on capital market risk : evidence from banks in developed and emerging countries,
Frontiers in Finance and Economics, Vol.9, n°2, 85-121.
M.R. KEFFALA, C. DE PERETTI, C.Y. CHAN
Corporate Governance and Voluntary Recognition of ESOs Expenses,
The Empirical Economics Letters, Vol.11, n°5.
C.Y. CHAN, S.L. SU, C. DE PERETTI
La confiance, levier de l’engagement dans les PME en forte croissance,
Revue Française de Gestion, Vol.5, n°224, 65-84.
E. BELLIATO, C. CHAMPAGNE DE LABRIOLLE, I. PRIM-ALLAZ, M. SEVILLE
On relative and partial risk attitudes : theory and implications,
Economic Theory, 50, 151-167.
W.H. CHIU, L. EECKHOUDT, B. REY
Intérêt du modèle « Hurdle » pour la comparaison des comportements de mobilité déclarée dans un protocole d’enquête mixte,
Recherche Transports Sécurité, 28, 33-45.
C. BAYART, P. BONNEL
Optimal stopping for Markov processes and decreasing affine functions, Romanian
Journal of Pure and Applied Mathematics, 56, 4, 283-294.
D. DOROBANTU
Empirical Test of the Efficiency of the UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach,
Journal of Empirical Finance, Volume 19, Issue 1, January, 162-174. Impact Factor: 0.807. Social Science Research Network Working Paper Series 1546355.
C.Y. CHAN, C. DE PERETTI, Z. QIAO, W.K. WONG
Stochastic and Tychastic Approaches to Guaranteed ALM Problem,
Bulletin Français d’Actuariat, vol. 12, n°23.
J.P. AUBIN, L. CHEN, O. DORDAN, A. FALEH, G. LEZAN, F. PLANCHET
Pricing of Parisian options for a jumpdiffusion model with two-sided jumps,
Applied Mathematical Finance, 19(2), 97-129.
H. ALBRECHER, D. KORTSCHAK, X. ZHOU
On semiparametric estimation of ruin probabilities in the classical risk model,
Scandinavian Actuarial Journal, 1-26, iFirst article.
E. MASIELLO
Priority setting in health care and higher order degree change in risk,
Journal of Health Economics, 31, 484-489.
C. COURBAGE, B. REY
Optimal prevention and other risks in a two-period model,
Mathematical Social Sciences, 63, 213-217.
C. COURBAGE, B. REY
A quadratic hedging approach to comparison of catastrophe indices, International,
Journal of Theoretical and Applied Finance, Vol.15, Issue 4, (DOI) 10.1142/s0219024912500306.
R. NORBERG, O. SAVINA
Risk and insurability of storm damages to residential buildings in Austria,
The Geneva Papers on Risk and Insurance - Issues and Practice.
F. PRETTENTHLER, H. ALBRECHER, J. KOBERL, D. KORTSCHAK
Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, (DOI) 10.1007/s00780-012-0182-3.
R. NORBERG
Risk processes with dependence and premium adjusted to solvency targets.
European Actuarial Journal, Vol.2, Issue 1, 1-20 (DOI) 10.1007/s13385-012-0046-4.
C. CONSTANTINESCU, V. MAUME-DESCHAMPS, R. NORBERG
Some multivariate risk indicators ; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm,
Statistics and Risk Modeling, 29 (1), 47-71.
P. CENAC, C. PRIEUR, V. MAUME-DESCHAMPS
A paraitre
Présentation du marché de l'assurance vie en Afrique subsaharienne francophone, Assurances et gestion des risques, A paraître.
A. KAMEGA, F. PLANCHET (2012)
Quadratic Hedging by an Influent Informed Investor, à paraître dans Stochastics : An International Journal of Probability and Stochastic Processes.
A. EYRAUD-LOISEL (2012)
Are Fieller and bootstrap methods really equivalent for calculating confidence regions for ratios: an application to the MPIS data, Health; Decision and Management, à paraître.
C. SIANI, C. DE PERETTI (2012)
Understanding, modelling and managing longevity risk : key issues and main challenges, Scandinavian Actuarial Journal, Vol. 2012, N°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI (2012)
A bottom-up dynamic model of portfolio credit risk, Part I : Markov copula perspective, forthcoming in recent advances in financial engineering – World scientific.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
A bottom-up dynamic model of portfolio credit risk, Part II : common-shock interpretation, calibration and hedging issues, forthcoming in recent advances in financial engineering – world scientific
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.
Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.
Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.
Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
2011
Subsampling weakly dependent times series and application to extremes,Test, 20, 499-502.
P. DOUKHAN, S. PROHL & C. ROBERT
Risk models based on time series for count random variables
Insurance : Mathematics and Economics, 48, 19–28.
H. COSSETTE, E. MARCEAU, F. TOUREILLE
A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones.
Journal of Financial Econometrics, 9, 344-366.
C. ROBERT, M. ROSENBAUM (2011)
Comment mettre œuvre un ‘encadrement’ plus éthique des personnes âgées au sein des établissements médico-sociaux ?,
Forum, n°134, décembre, 14p.
S. BERTEZENE
Quality and non-quality in the health sector,
Sinergie, n°85/11, 16 p. pp. 15-31.
S. BERTEZENE, J. MARTIN
Note of caution when interpreting parameters of the distribution of excesses,
Water Resources, 34, 1215–1221.
P. RIBEREAU, P. NAVEAU, A. GUILLOU
Quelle structure de dépendance pour un générateur de scénarios économiques en assurance ?,
Bulletin Français d’Actuariat, vol. 11, n°22.
K. ARMEL, F. PLANCHET, A. KAMEGA
Is the consumption-income ratio stationary ? Evidence from a non-linear panel unit root test for OECD and non-OECD countries, Manchester School, forthcoming,
Impact Factor, 0.333.
C. STUWART, M. CERRATO, C. DE PERETTI
Polynomial structures in rank statistics distributions,
Journal of Statistical Planning and Inference, 141, 1380-1393.
C. LEFEVRE, P. PICARD
Option Hedging by an Influential Informed Investor,
Applied Stochastic Models in Business and Industry, 27, 707-722.
A. EYRAUD-LOISEL
Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, volume 11, Issue 12, 1773-1791.
A.COUSIN, J.P. LAURENT, J.D. FERMANIAN
Model risk and determination of economic capital in the Solvency 2 project,
International Review of Applied Financial Issues and Economics, Vol. 3, Issue 2.
F. PLANCHET, P. THÉROND
Hétérogénéité : mesure du risque d'estimation dans le cas d’une modélisation intégrant des facteurs observables,
Bulletin Français d’Actuariat, vol. 11, n°21.
A. KAMEGA, F. PLANCHET
Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee,
Insurance: Mathematics and Economics, Volume 48, Issue 2, pp. 161-175.
T.O. NTEUKAM, F. PLANCHET, P. THÉROND
Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Mangement,
European Actuarial Journal, Vol. 1, 131-157.
M. CHAUVIGNY, L. DEVINEAU, S. LOISEL, V. MAUME-DESCHAMPS
First passage time law for some Lévy processes with compound Poisson : Existence of a density,
Bernoulli 17(4), 1127-1135.
L. COUTIN, D. DOROBANTU
A propos de la tempérance,
Revue Economique, Vol. 62, 751-764.
D. CRAINICH, L. EECKHOUDT, B. REY
Risk vulnerability: a graphical interpretation,
Theory and Decision, 71, 227-234.
L. EECKHOUDT, B. REY
Transparency matters: Price formation in presence of order preferencing,
Journal of Financial Markets, 14, 227-258.
L. LESCOURRET, C. ROBERT
Surrender triggers in life insurance : classification and risk predictions,
Bulletin Français d’Actuariat, 11 (22), 5-48.
X. MILHAUD, S. LOISEL, V. MAUME-DESCHAMPS
Impacts of jumps and stochastic interest rates on the fair costs of guaranteed minimum death benefit contracts,
The Geneva Risk and Insurance Review, 36, 51-73.
F. QUITTARD-PINON, R. RANDRIANARIVONY
A new approach for the dynamics of ultra high frequency data : the model with uncertainty zones,
Journal of Financial Econometrics, 9(2), 344-366,
C. ROBERT, M. ROSENBAUM
Tous sur scène ! Comment le théâtre peut-il aider à former les cadres ?
Gestion, Volume 35/Numéro 4.
M. SALGADO
Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings,
Applied Stochastic Models in Business and Industry, 27, 503-518.
R. BIARD, C. LEFEVRE, S. LOISEL, H.N. NAGARAJA
Adjustment coefficient for risk processes in some dependent contexts,
Methodology and Computing in Applied Probability, 13 (4), 695-721.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS
A paraitre
From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital, to appear in European Journal of Operational Research.
S. LOISEL, X. MILHAUD (2011)
Second order tail asymptotics for the sum of dependent, tailindependent regularly varying risks, Accepted: Extremes.
D. KORTSCHAK (2011)
Explicit ruin formulas for models with dependence among risks, to appear in Insurance : Mathematics and Economics.
H. ALBRECHER, C. CONSTANTINESCU, S. LOISEL (2011)
Moments of a compound Poisson models with dependence based on the FGM copula and discounted claims, to appear in ASTIN Bulletin.
M. BARGES, H. COSSETTE, S. LOISEL, E. MARCEAU (2011)
Iterative adjustment of survival functions by compositions of probability distortions, to appear in Geneva Risk and Insurance Review.
A. BIENVENUE, D. RULLIERE (2011)
Ruin probabilities in models with a Markov chain dependence structure, Accepted: Scandinavian Actuarial Journal.
C. CONSTANTINESCU, D. KORTSCHAK, V. MAUME-DESCHAMPS (2011)
Plug-in estimation of level sets in a non compact setting with applications in multivariate risk theory. accepté pour publication à ESAIM P&S.
E. DI BERNARDINO, T. LALOE, V. MAUME-DESCHAMPS, C. PRIEUR (2011)
Viot C. (2011), Can brand identity predict brand extension’s success or failure? Journal of Product & Brand Management, 20, 3, 216-227.
2010
Exchange Option when One Underlying Can Jump,Finance, vol 31, N°1/2010, 33-53.
F. QUITTARD-PINON, R. RANDRIANARIVONY
Protection of Life Insurance Companies in a Market-based Framework,
North American Actuarial Journal, vol 14, N° 1, 131-151.
F. QUITTARD-PINON, C. BERNARD, O. LE COURTOIS
Fair costs of guaranteed minimum death benefit contracts,
Mathematical and Statistical Methods for Actuarial Sciences and Finance, M. Corraza and C. Pizzi Eds, Springer Verlag, 283-293.
F. QUITTARD-PINON, R. RANDRIANARIVONY
Enquête déplacements web – face-à-face : quelle comparabilité ?,
Cahiers Scientifiques du Transport, 57, 141-167.
C. BAYART, P. BONNEL
Le potentiel du web pour les enquêtes de mobilité,
Courrier des Statistiques, 129, 6p.
C. BAYART, P. BONNEL
L’impact du mode d’enquête sur la mesure des comportements de mobilité,
Economie et Statistique, n° 437.
C. BAYART, P. BONNEL
Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes,
Journal of Mathematical Analysis and Applications, Vol. 367(2), 535-549.
R. BIARD, S. LOISEL, C. MACCI, N. VERAVERBEKE
Nonparametric statistical analysis of an upper bound of the ruin probability under large claims,
Extrêmes, Vol. 13, n° 4, 439-461.
P.L. CONTI, E. MASIELLO
Applications de techniques stochastiques pour l'analyse prospective de l'impact comptable du risque de taux,
Bulletin Français d’Actuariat, vol. 11, n°21.
F. BONNIN, F. PLANCHET, M. JUILLARD
La mesure du prix de marché du risque : quels outils pour une utilisation dans les modèles en assurance ?
Assurances et gestion des risques, Vol.78 (3/4).
A. CAJA, F. PLANCHET
Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité. Assurances et gestion des risques,
Insurance and Risk Management Journal, Montreal, Vol.78, 1-2.
A. FALEH, F. PLANCHET, D. RULLIERE
On the efficient evaluation of ruin probabilities for completely monotone claim size distributions,
Journal of Computational and Applied Mathematics, 233(10), 2724-2736.
H. ALBRECHER, F. AVRAM, D. KORTSCHAK
An asymptotic expansion for the tail of compound sums of Burr distributed random variables,
Statistics and Probability Letters, 80(78), 612-620.
D. KORTSCHAK, H. ALBRECHER
Quasi-Monte Carlo Techniques and Rare Event Sampling.Schweiz,
Aktuarver, Mitt., (1-2), 56-70.
J. HARTINGER, D. KORTSCHAK
Higher order expansions for compound distributions and ruin probabilities with subexponential claims,
Scandinavian Actuarial Journal, 110(2), 105-135.
H. ALBRECHER, C. HIPP, D. KORTSCHAK
Discrete-time risk models based on time series for count random variables,
Astin Bulletin, 40(1), 123-150.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS
On non-monetary measures in the face of risks and the sign of the derivatives,
Bulletin of Economic Research, 62, 295-304.
C. COURBAGE, B. REY
Some consequences of correlation aversion in decision science,
Annals of Operations Research, 176, 259-269.
M. DENUIT, L. EECKHOUDT, B. REY
Prudence, temperance, edginess and risk apportionment as decreasing sensitivity to detrimental changes,
Mathematical Social Sciences, Vol. 60, 137-143.
M. DENUIT, B. REY
L’horizon temporel dans Solvabilité 2,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 43-62.
A. DERIEN
Testing the type of a semi-martingale: Ito against multifractal,
Electronic Journal of Statistics, 4, 1300-1323.
L. DUVERNET, C. ROBERT, M. ROSENBAUM
Graphical methods for investigating the finite-sample properties of confidence regions,
Computational Statistics and Data Analysis, 54, 262-271.
C. DE PERETTI, C. SIANI
Credit risk premia and quadratic BSDEs with a single jump,
International Journal of Theoretical and Applied Finance, 13, 1103-1129.
S. ANKIRCHNER, A. EYRAUD-LOISEL, M. ROYER-CARENZI
BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider,
Random Operators and Stochastic Equations, Volume 18, Issue 2, 141-163.
A. EYRAUD-LOISEL, M. ROYER-CARENZI
Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, 1-19.
J-P. LAURENT, A. COUSIN, J-D. FERMANIAN
Stationary-excess operator and convex stochastic orders,
Insurance : Mathematics and Economics, Vol. 47, 64-75.
C. LEFEVRE, S. LOISEL
Preserving preference rankings under non financial background risk,
Journal of the Operational Research Society, 61, 1302-1308.
Y. MALEVERGNE, B. REY
Les comportements de rachat en assurance vie en regime de croisière et en période de crise,
Risques, n° 83, Septembre.
X. MILHAUD, M.P. GONON, S. LOISEL
Approximations comonotones pour le prix d’une option d’achat Européenne en présence de dividendes discrets,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 5-42.
P.A. PATARD, J.C. AUGROS
On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring,
Statistics and Probability Letters, 80, 134-142.
C. ROBERT
On the microstructural hedging error. SIAM
Journal of Financial Mathematics, 1, 427-453.
C. ROBERT, M. ROSENBAUM
On the limiting spectral distribution of the covariance matrices of time-lagged processes,
Journal of Multivariate Analysis, 101, 2434-2451.
C. ROBERT, M. ROSENBAUM
A paraitre
Hedging of defaultable contingent claims using BSDE with uncertain time horizon, Bulletin Français d’Actuariat, à paraître.
C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, M. ROYER-CARENZI (2010)
2009
Asymptotic results for the sum of dependent non-identically distributed random variables,Methodology and Computing in Applied Probability, 11, 279-306.
D. KORTSCHAK, H. ALBRECHER
On ruin probability and aggregate claim representations for Pareto claim size distributions,
Insurance: Mathematics and Economics, 45(3): 362-373.
H. ALBRECHER, D. KORTSCHAK
On the efficiency of the Asmussen-Kroeseestimators and its application to stop-loss transforms Blatter DGVFM 30(2), 363-377.
J. HARTINGER, D. KORTSCHAK
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied Probability, 11, 425-441.
C. LEFEVRE, S. LOISEL
TVaR-based capital allocation with copulas,
Insurance : Mathematics and Economics, Vol. 45, 348-361.
M. BARGES, H. COSSETTE, E. MARCEAU
Mastering performance through quality and networking, Total Quality,
Management, Vol. 21, n°4, pp.413-428.
S. BERTEZENE, J. MARTIN
Maîtriser la performance par la qualité et l'organisation réticulaire: l'exemple des établissements médico-sociaux,
Revue Marocaine de Commerce et de Gestion.
S. BERTEZENE, J. MARTIN
A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework,
Journal of Derivatives, Vol. 16, n°4, 9-37.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT
Regularity of the Euclid algorithm, application to the analysis of fast GCD algorithm,
Journal of Symbolic Computation, 44, n°7, 726-767.
E. CESARATTO, J. CLEMENT, B. DAIREAUX, L. LHOTE, V. MAUME-DESCHAMPS, B. VALLEE
Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula ?
Bulletin Français d’Actuariat, Vol. 9, n° 18, 107-145.
L. DEVINEAU, S. LOISEL
Construction d’un algorithme d’accélération de la méthode des « simulations dans les simulations » pour le calcul du capital économique Solvabilité II,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 189-222.
L. DEVINEAU, S. LOISEL
Optimal strategies in a risky debt context,
An International Journal of Probability and Stochastics Processes, Vol. 81, Nos. 3-4,269-277.
D. DOROBANTU, M. MANCINO, M. PONTIER
Mesure des risques de marché et de souscription vie en situation d’information incomplète pour un portefeuille de prévoyance,
Bulletin Français d’Actuariat, Vol. 9, n° 18, 79-105.
J.P. FELIX, F. PLANCHET
Estimating Copula Densities through Wavelets,
Insurance: Mathematics and Economics, 44, 170-181.
C. GENEST, E. MASIELLO, K. TRIBOULAY
A strong hysteretic model for Okun’s law: theory and preliminary investigation,
International Review of Applied Economics, Vol. 3, Issue 4, July 2009, 445-462.
D. LANG, C. DE PERETTI
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied probability, Vol. 11, n° 3, 425-441.
C. LEFEVRE, S. LOISEL
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,
Insurance: Mathematics and Economics, Vol. 45, Issue 3, 374-381.
S. LOISEL, C. MAZZA, D. RULLIERE
Sensitivity analysis and density estimation for finite-time ruin probabilities,
Journal of Computational and Applied Mathematics, Vol. 230, n° 1, 107-120.
S. LOISEL, N. PRIVAULT
On cross risk vulnerability,
Insurance: Mathematics and Economics, Vol. 45, 224-229.
Y. MALEVERGNE, B. REY
Rentes en cours de service : un nouveau critère d'allocation d'actif,
Bulletin Français d'Actuariat, Vol. 9, n° 17, 37-69.
F. PLANCHET, P. THEROND
Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution,
Journal of Statistical Planning and Inference, 139, 3288-3309.
C. ROBERT
Inference for the limiting cluster size distribution of extreme values,
The Annals of Statistics, 37, 271-310.
C. ROBERT
A sliding blocks estimator for the extremal index,
Electronic Journal of Statistics, 3, 993–1020.
C. ROBERT, J. SEGERS, C. FERRO
Tourism destination competitiveness: The french regions case,
European Journal of Tourism Research, Vol.2, No.2.
E. ROBINOT, L. BOTTI, N. PEYPOCH, B. SOLONANDRASANA
Les jeux d'entreprises : un outil de formation au management,
Revue Éducation Permanente, n° 178/2009-1, 143-150.
M. SALGADO
Gestion stratégique d’un fonds de pension en temps continu,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 110-153.
M. TALFI
2008
On finite-time ruin probabilities for classical risk models,Scandinavian Actuarial Journal 1, 41-60.
C. LEFEVRE, S. LOISEL
Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationary assumptions are relaxed,
Insurance: Mathematics and Economics, 43, 412-421.
R. BIARD, C. LEFEVRE, S. LOISEL
Spectral risk measures and portfolio selection,
Journal of Banking and Finance, Vol. 32, n°9, 1870-1882.
A. ADAM, M. HOUKARI, J-P. LAURENT
Pricing derivatives with barriers in a stochastic interest rate environment,
Journal of Economic Dynamics and Control, 32, 2903-2938.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON
On the willingness to pay to reduce risks of small losses,
Journal of Economics, 95, 75-82.
C. COURBAGE, B. REY
Comparison results for exchangeable credit risk portfolios,
Insurance: Mathematics and Economics, Vol. 42, n°3, 1118-1127.
A. COUSIN, J-P. LAURENT
Actuar : An R Package for Actuarial Science,
Journal of Statistical Software, Volume 25, Issue 7.
C. DUTANG, V. GOULET, M. PIGEON
Fair valuation of participating life insurance contracts with jumps risk,
The Geneva Review on Risk and Insurance Theory, Vol. 33, 106-136.
O. LE COURTOIS, F. QUITTARD-PINON
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level,
Bulletin Français d'Actuariat, No. 15, Vol. 9.
W. FISHER, S. LOISEL, S. WANG
Mortality fluctuations modelling with a shared frailty approach,
Life & Pensions, octobre, 39-44.
S. FULLA, J-P. LAURENT
Exponential inequalities for VLMC empirical trees. ESAIM Prob. Stat., 12, 119-229.
A. GALVES, V. MAUME-DESCHAMPS, B. SCHMITT
The optimal capital structure of the firm with stable Lévy asset returns,
Decisions in Economics and Finance, 31, 51-72.
O. LE COURTOIS, F. QUITTARD-PINON
Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin,
Insurance: Mathematics and Economics, Volume 42, Issue 2, April, 746-762.
S. LOISEL, C. MAZZA, D. RULLIERE
Perturbations extrêmes sur la dérive de mortalité anticipée,
Assurances et Gestion des Risques, Vol. 76(3)
F. PLANCHET, M. JUILLARD, P. THEROND
Valuing Options in Jump Diffusion Models using Generalized Fourier Analysis,
Banque & Marchés, n° 97, novembre-décembre.
F. QUITTARD-PINON, R. RANDRIANANIVONY
Calibrage d’options pour trois modèles mixtes diffusions et sauts,
Revue Finance, vol. 29, n° 2, 103-130.
F. QUITTARD-PINON, R. RANDRIANANIVONY
How to price efficiently European options in some geometric Lévy processes models,
International Journal of Business, vol. 13, n° 4, 301-314.
F. QUITTARD-PINON, R. RANDRIANANIVONY
Tails of random sums of a heavy-tailed number of light-tailed terms,
Insurance: Mathematics and Economics, 43, 85-92.
C. ROBERT, J. SEGERS
Estimating the multivariate extremal index function,
Bernoulli, 14, 1027-1064.
C. ROBERT
Le théâtre, un outil de formation au management,
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M. SALGADO
IFRS, solvabilité 2, embedded value : quel traitement du risque ?
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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.
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Comment mesurer l’éthique dans les services et établissements sociaux et médico-sociaux ?
Droit Déontologie et Santé, septembre, 15 p.
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Beyond the Gaussian Copula: Stochastic and Local Correlation,
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-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.
- [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.
- [hal-03883673] Predicted Impacts of Booster, Immunity Decline, Vaccination Strategies, and Non-Pharmaceutical Interventions on COVID-19 Outcomes in France6 décembre 2022The major economic and health consequences of COVID-19 called for various protective measures and mass vaccination campaigns. A previsional model was used to predict the future impacts of various measure combinations on COVID-19 mortality over a 400-day period in France. Calibrated on previous national hospitalization and mortality data, an agent-based epidemiological model was used to predict individual and combined effects of booster doses, vaccination of refractory adults, and vaccination of children, according to infection severity, immunity waning, and graded non-pharmaceutical interventions (NPIs). Assuming a 1.5 hospitalization hazard ratio and rapid immunity waning, booster doses would reduce COVID-19-related deaths by 50–70% with intensive NPIs and 93% with moderate NPIs. Vaccination of initially-refractory adults or children ≥5 years would half the number of deaths whatever the infection severity or degree of immunity waning. Assuming a 1.5 hospitalization hazard ratio, rapid immunity waning, moderate NPIs and booster doses, vaccinating children ≥12 years, ≥5 years, and ≥6 months would result in 6212, 3084, and 3018 deaths, respectively (vs. 87,552, 64,002, and 48,954 deaths without booster, respectively). In the same conditions, deaths would be 2696 if all adults and children ≥12 years were vaccinated and 2606 if all adults and children ≥6 months were vaccinated (vs. 11,404 and 3624 without booster, respectively). The model dealt successfully with single measures or complex combinations. It can help choosing them according to future epidemic features, vaccination extensions, and population immune status.
- [halshs-03919287] “More CSR versus more benefits”: how members' motives influence loyalty toward cooperatives2 janvier 2023Purpose Co-operative managers must invest appropriately to strengthen member relationships, such as by initiating corporate social responsibility (CSR) actions or providing members with more relational benefits. This paper aims to investigate how members’ motives (collectivistic vs individualistic) might influence the effectiveness of these investments in terms of enhancing members’ trust and loyalty intentions. Design/methodology/approach This research combines an exploratory approach, based on six focus groups, with a confirmatory approach based on a field study and two scenario-based experiments. Findings Members tend to regard the two motives in contest and infer a “more CSR versus more benefits” arbitration effort by co-operatives, such that they appear to prioritize one motive over the other. Members with individualistic motives principally support co-operatives’ arbitration toward relational benefits, so the positive effects of CSR initiatives on their trust and loyalty intentions are weaker (Study 1). Both CSR and relational benefits can be more or less efficient, depending on members’ motives (Study 2). Research limitations/implications Reflecting their contrasting motives, members infer arbitration by co-operative managers, reflected in their “more CSR versus more benefits” belief. This insight and the related implications for trust and loyalty intentions have not been addressed in prior research. Practical implications Managers can avoid the negative consequences of “more CSR versus more benefits” inferences by ensuring a good fit between their investments and their members’ prevailing motives. If members have more collectivistic (cf. individualistic) motives, CSR initiatives (cf. relational benefits) enhance their trust and loyalty intentions more effectively. Originality/value This research builds on previous work on members’ relationships within co-operatives and on members’ motives. Results find that the effectiveness of co-operatives’ investments to strengthen members’ loyalty intentions depends on members’ prior motives.
- [hal-03327064] Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect26 août 2021Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Standard single population models typically suffer from two major drawbacks: on the one hand, they use a large number of parameters compared to the sample size and, on the other hand, model choice is still often based on in-sample criterion, such as the Bayes information criterion (BIC), and therefore not on the ability to predict. In this paper, we develop a model based on a decomposition of the mortality surface into a polynomial basis. Then, we show how regularization techniques and cross-validation can be used to obtain a parsimonious and coherent predictive model for mortality forecasting. We analyze how COVID-19-type effects can affect predictions in our approach and in the classical one. In particular, death rates forecasts tend to be more robust compared to models with a cohort effect, and the regularized model outperforms the so-called P-spline model in terms of prediction and stability.
- [hal-03336851] Blockchain mining in pools: Analyzing the trade-off between profitability and ruin14 avril 2022The resource-consuming mining of blocks on a blockchain equipped with a proof of work consensus protocol bears the risk of ruin, namely when the operational costs for the mining exceed the received rewards. In this paper we investigate to what extent it is of interest to join a mining pool that reduces the variance of the return of a miner for a specified cost for participation. Using methodology from ruin theory and risk sharing in insurance, we quantitatively study the effects of pooling in this context and derive several explicit formulas for quantities of interest. The results are illustrated in numerical examples for parameters of practical relevance.
- [hal-02649025] On the profitability of selfish blockchain mining under consideration of ruin26 avril 2021Mining blocks on a blockchain equipped with a proof of work consensus protocol is well-known to be resource-consuming. A miner bears the operational cost, mainly electricity consumption and IT gear, of mining, and is compensated by a capital gain when a block is discovered. This paper aims at quantifying the profitability of mining when the possible event of ruin is also considered. This is done by formulating a tractable stochastic model and using tools from applied probability and analysis, including the explicit solution of a certain type of advanced functional differential equation. The expected profit at a future time point is determined for the situation when the miner follows the protocol as well as when he/she withholds blocks. The obtained explicit expressions allow us to analyze the sensitivity with respect to the different model components and to identify conditions under which selfish mining is a strategic advantage.
- [hal-04998447] Risk assessment for synthetic GICs: a quantitative framework for asset–liability management20 mars 2025Abstract This study addresses a research gap in quantitative modeling framework and scenario analysis for the risk management of stable value fund wraps, a crucial segment of the U.S. financial market with over USD $400 billion in assets. In this paper, we present an asset–liability model that encompasses an innovative approach to modeling the assets of fixed-income funds coupled with a liability model backed by empirical analysis on a unique data set covering 80% of the stand-alone plan sponsor market, contrasting with models based solely on regular deterministic cash flows and interest rate differences. Our model identifies and analyzes two critical risk scenarios from the insurer’s perspective: inflationary and yield spike. Our approach demonstrates that the tail risk of wraps, used as an economic capital measure, is sensitive to characteristic parameters of the fund, such as the duration, portfolio composition and credit quality of assets. This finding significantly differs from U.S. regulatory approaches like the NAIC’s, which often result in a zero capital requirement. These findings reveal limitations in current actuarial risk and profitability metrics for U.S. insurers and argue that a more sophisticated risk model reproducing the two critical scenarios is necessary.
- [hal-04682666] The adoption of smart services: do privacy concerns, trust in benevolence and usage experience matter?30 août 2024Purpose The purpose of this research is to investigate the influence of service provider benevolence trust and privacy concerns on the intention to adopt smart services (SS), in line with the privacy paradox. It also seeks to analyze the role of smart connected product (SCP) usage, between current and potential users. Design/methodology/approach The study specifically focuses on one type of SS: smart-connected car insurance based on the “pay as you drive” and/or “pay how you drive” principle. Data were collected through an online survey of 362 French drivers. Hypotheses are tested using structural equation modeling and a multigroup confirmatory factor analysis. Findings The results show that trust in the benevolence of the service providers positively influences the intention to adopt SS, regardless of how familiar consumers are with SCP. Conversely, privacy concerns have a negative impact on such intention, but this effect only occurs among consumers who already own SCP. Practical implications From a managerial perspective, this research could help service providers to successfully develop and promote SS, by establishing a relationship based on benevolence and transparency regarding the use of personal information. In addition, managers should promote SS differently when addressing SCP users, seeking to reassure them or avoid addressing privacy concerns. Originality/value Our study adds to the privacy paradox theoretical framework by empirically analyzing drivers of SS adoption. It highlights the key but distinct roles of privacy concerns and benevolence trust.
- [hal-04998400] Understanding Key Drivers of Participant Cash Flows for Individually Managed Stable Value Funds20 mars 2025In this paper, we investigate the behavioral and statistical characteristics of cash flows for stable value funds provided by numerous U.S. employee benefit plans. We analyze participant-initiated aggregated cash flow data, representing approximately 80% of the market for large employer plans with stand-alone stable value wraps within a 401(k) offering. By leveraging this unique dataset and contextualizing the 401(k) ecosystem, we examine numerous behavioral lapse hypotheses. Our findings highlight key behavioral lapse hypotheses for modeling lapses and generating risk scenarios. We demonstrate that cash flows exhibit medium- to long-term non-monotonic trends. Factors within the plan sponsor’s ecosystem, such as employment growth, default 401(k) plan options, and the introduction of new investment options, significantly impact participant cash flow behavior indirectly. Moreover, we find that flight-to-safety behavior plays a dominant role during global market crises. Although the risk of mass lapses due to reputational issues is observed, their probability of occurrence is low. Other behavioral hypotheses discussed in the literature, such as the moneyness hypothesis, are found to be less prevalent in this context.
- [hal-00634326] Almost sure rates of mixing for i.i.d. unimodal maps.20 octobre 2011It has been known since the pioneering work of Jakobson and subsequent work by Benedicks and Carleson and others that a positive measure set of quadratic maps admit an absolutely continuous invariant measure. Young and Keller-Nowicki proved exponential decay of its correlation functions. Benedicks and Young, and Baladi and Viana studied stability of the density and exponential rate of decay of the Markov chain associated to i.i.d. small perturbations. The almost sure statistical properties of the sample stationary measures of i.i.d. itineraries are more difficult to estimate than the "averaged statistics". Adapting to random systems, on the one hand partitions associated to hyperbolic times due to Alves, and on the other a probabilistic coupling method introduced by Young to study rates of mixing, we prove stretched exponential upper bounds for the almost sure rates of mixing.
- [hal-04869191] Smart Proofs via Recursive Information Gathering: Decentralized Refereeing by Smart Contracts7 janvier 2025We introduce the SPRIG (Smart Proofs via Recursive Information Gathering) protocol. SPRIG allows agents to propose, question, and defend mathematical proofs in a decentralized fashion. A structure of stakes and bounties aims at producing debates in good faith and if those persist, they must go down to machine-level details, where they can be settled automatically. This combination of economic incentives and an oracle is designed to promote succinct and informative proofs. SPRIG can run autonomously as a smart contract on a blockchain platform, and hence it does not rely on a central trusted institution. We translate SPRIG into a general game-theoretic model and prove that the protocol satisfies two desirable properties: no spamming and monotonicity. We then characterize analytically the equilibrium of a simple two-player specification of the model: this provides important insights into the impact of the protocol’s parameters on the probabilities that it induces type I/II errors. We conclude by discussing the main attacks SPRIG’s designers will need to take into account.
- [hal-02616983] Basis Risk Management in an Index-Based Insurance Framework under Randomly Scaled Uncertainty25 mai 2020This paper is concerned with the quantification of basis risk in index-based insurance products using randomly scaled variables. To this extent, we first discuss the shape, the unimodality and the symmetry of randomly scaled variables depending on the distribution of the random scaling factor using Mellin transform. We explicitly obtain the distribution of a randomly scaled variable when the random scaling factor is either uniformly distributed or of Beta type. We then determine s-convex extremal distributions for randomly scaled variables and discuss the way of comparing it. Next, we define an Enterprise Risk Management framework that relies on randomly scaled variables to assess basis risk, introducing the class of generalized penalty functions. This ERM framework allows for setting up basis risk limits to eventually determine a Basis Risk Capital Requirement. The results are illustrated with particular cases that carefully challenge the methodology.
- [hal-01840057] Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities16 juillet 2018The attractiveness of insurance saving products is driven, among others, by dividends payments to policyholders and participation in profits. These are mainly constrained by regulatory measures on profit-sharing on the basis of statutory accounts. Moreover, since both prudential and financial reporting regulation require market consistent best estimate measurement of insurance liabilities, cash-flows projection models have to be used for such a purpose in order to derive the underlying financial incomes. Such models are based on Monte-Carlo techniques. The latter should simulate future accounting profit and losses needed for profit-sharing mechanisms. In this paper we deal with impairment losses on equity securities for financial portfolios which rely on instrument-by-instrument assessment (when projection models consider groups of shares). Our motivation is to describe the joint distribution of market value and impairment provision of a book of equity securities, with regard to the French accounting rules for depreciation. The results we obtain enable to improve the ability of projection models to represent such an asymmetric mechanism. Formally, an impairment loss is recognized for an equity instrument if there has been a significant and prolonged decline in its market value below the carrying cost (acquisition value). Such constraints are formalized using an assumption on the dynamics of the equity, and leads to a complex option-like pay-off. Using this formulation, we propose analytical formulas for some quantitative measurements related the impairments losses of a book of financial equities. These are derived on a general framework and some tractable example are illustrated. We also investigate the operational implementation of these formulas and compare their computational time to a basic simulation approach.
- [hal-03175212] Bayesian model averaging for mortality forecasting using leave-future-out validation15 novembre 2021Predicting the evolution of mortality rates plays a central role for life insurance and pension funds. Various stochastic frameworks have been developed to model mortality patterns taking into account the main stylized facts driving these patterns. However, relying on the prediction of one specific model can be too restrictive and lead to some well documented drawbacks including model misspecification, parameter uncertainty and overfitting. To address these issues we first consider mortality modelling in a Bayesian Negative-Binomial framework to account for overdispersion and the uncertainty about the parameter estimates in a natural and coherent way. Model averaging techniques are then considered as a response to model misspecifications. In this paper, we propose two methods based on leave-future-out validation which are compared to the standard Bayesian model averaging (BMA) based on marginal likelihood. An intensive numerical study is carried out over a large range of simulation setups to compare the performances of the proposed methodologies. An illustration is then proposed on real-life mortality datasets which includes a sensitivity analysis to a Covid-type scenario. Overall, we found that both methods based on out-of-sample criterion outperform the standard BMA approach in terms of prediction performance and robustness.
- [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.
- [hal-04682702] Introducing gadget love and subjective knowledge into the theory of planned behavior to understand intention to adopt smart-connected products30 août 2024Rapid adoption of new technology-based products is a key factor of business performance. The present study addresses the determinants of the intention to adopt personal trackers as an example of smart connected product. The aim of this research is to show whether their adoption is motivated merely by rational factors coming from the theory of planned behavior framework or by a combination of rational, cognitive (subjective knowledge) and emotional (gadget love) factors. The results of an online survey (N=360), in which data were analyzed using structural equation modeling, confirm that gadget love, subjective knowledge, and subjective norm positively influence the intention to adopt smart connected products, but contrary to expectations, the effect of subjective knowledge is direct. Keywords: Gadget Love; Smart Connected Products; Subjective Knowledge; Theory of Planned Behavior.
- [hal-03714729] The impact of CSR perceptions on employer attractiveness: an empirical study5 juillet 2022This study examines the impact of the perception of a company's commitment to CSR on its attractiveness as an employer, as perceived by management students. More specifically, it aims at checking whether or not future business graduates are more likely to be attracted to an employer based on their perceptions of that company's commitment to CSR. A questionnaire-based survey was carried out with 295 first-and second-year master in management students in French and Moroccan universities. Overall, the results show that the perception of CSR has no significant impact on the attractiveness of a potential employer. A country-specific analysis confirmed this result, as no difference between French and Moroccan students was found. The paper's findings show that future employees may not be as sensitive to CSR aspects as could have been expected. It suggests that graduates are likely to be more attracted by their own expected working conditions as opposed to general CSR practices.
- [hal-01955227] Contribution of alcohol use disorders to the burden of dementia in France 2008–13: a nationwide retrospective cohort study14 décembre 2018BACKGROUND: Dementia is a prevalent condition, affecting 5-7% of people aged 60 years and older, and a leading cause of disability in people aged 60 years and older globally. We aimed to examine the association between alcohol use disorders and dementia risk, with an emphasis on early-onset dementia (<65 years). METHODS: We analysed a nationwide retrospective cohort of all adult (≥20 years) patients admitted to hospital in metropolitan France between 2008 and 2013. The primary exposure was alcohol use disorders and the main outcome was dementia, both defined by International Classification of Diseases, tenth revision discharge diagnosis codes. Characteristics of early-onset dementia were studied among prevalent cases in 2008-13. Associations of alcohol use disorders and other risk factors with dementia onset were analysed in multivariate Cox models among patients admitted to hospital in 2011-13 with no record of dementia in 2008-10. FINDINGS: Of 31 624 156 adults discharged from French hospitals between 2008 and 2013, 1 109 343 were diagnosed with dementia and were included in the analyses. Of the 57 353 (5·2%) cases of early-onset dementia, most were either alcohol-related by definition (22 338 [38·9%]) or had an additional diagnosis of alcohol use disorders (10 115 [17·6%]). Alcohol use disorders were the strongest modifiable risk factor for dementia onset, with an adjusted hazard ratio of 3·34 (95% CI 3·28-3·41) for women and 3·36 (3·31-3·41) for men. Alcohol use disorders remained associated with dementia onset for both sexes (adjusted hazard ratios >1·7) in sensitivity analyses on dementia case definition (including Alzheimer's disease) or older study populations. Also, alcohol use disorders were significantly associated with all other risk factors for dementia onset (all p<0·0001). INTERPRETATION: Alcohol use disorders were a major risk factor for onset of all types of dementia, and especially early-onset dementia. Thus, screening for heavy drinking should be part of regular medical care, with intervention or treatment being offered when necessary. Additionally, other alcohol policies should be considered to reduce heavy drinking in the general population. FUNDING: None.
- [hal-04602826] Estimating Disease-Free Life Expectancy Based on Clinical Data from the French Hospital Discharge Database6 juin 2024The development of health indicators to measure healthy life expectancy (HLE) is an active field of research aimed at summarizing the health of a population. Although many health indicators have emerged in the literature as critical metrics in public health assessments, the methods and data to conduct this evaluation vary considerably in nature and quality. Traditionally, health data collection relies on population surveys. However, these studies, typically of limited size, encompass only a small yet representative segment of the population. This limitation can necessitate the separate estimation of incidence and mortality rates, significantly restricting the available analysis methods. In this article, we leverage an extract from the French National Hospital Discharge database to define health indicators. Our analysis focuses on the resulting Disease-Free Life Expectancy (Dis-FLE) indicator, which provides insights based on the hospital trajectory of each patient admitted to hospital in France during 2008–2013. Through this research, we illustrate the advantages and disadvantages of employing large clinical datasets as the foundation for more robust health indicators. We shed light on the opportunities that such data offer for a more comprehensive understanding of the health status of a population. In particular, we estimate age-dependent hazard rates associated with sex, alcohol abuse, tobacco consumption, and obesity, as well as geographic location. Simultaneously, we delve into the challenges and limitations that arise when adopting such a data-driven approach.
- [hal-02089617] L'effet du capital marque employeur sur l'attractivité organisationnelle : Le rôle modérateur de la familiarité4 avril 2019Cet article a pour double objectif de tester la pertinence empirique de la notion de capital marque appliquée à l’employeur et d’étudier sa relation avec l’attractivité organisationnelle. Elle s’appuie sur une étude auprès d’un échantillon de futurs diplômés. Les résultats montrent que les dimensions du capital marque employeur sont liées de manière différenciée avec l’attractivité organisationnelle. Ils montrent également que l’effet modérateur de la familiarité à l’égard de l’entreprise sur la relation entre le capital marque employeur et l’attractivité n’est pas celui qui était attendu.
- [hal-01803635] L' attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur31 mai 2018Cette recherche s’intéresse aux effets du capital-marque employeur (CME) sur l’attractivité organisationnelle (AO). Le CME reflète la valeur de la marque employeur en tant qu’actif intangible. La valeur perceptuelle du CME est multidimensionnelle (valeur intérêt, sociale, économique, etc.). La question centrale est de savoir si les leviers de l’AO diffèrent selon la propension à accepter un emploi dans une entreprise dite low-cost. Une étude montre que cette propension dépend des attributs recherchés chez un employeur. Pour ceux qui sont prêts à accepter un tel emploi, l’AO résulte de la valeur intérêt, alors que ceux qui rejettent cette possibilité recherchent la valeur sociale et la valeur économique.
- [hal-00712897] Stochastic and Tychastic Approaches to Guaranteed ALM Problem28 juin 2012Unlike traditional valuation methods, viability theory provides tools for eradicating the risk, by determining the minimum initial capital that would meet the commitments of the investor, regardless market developments. In this study, we compare two approaches to risk assessment within a framework of asset-liability management (ALM) of a guaranteed fund. The optimal allocation of assets for such funds is determined initially by the classical portfolio insurance (thus with a statistical evaluation of risk) and then in a second step, by tools of viability theory. Although the results from the two approaches are not strictly comparable in terms of numerical point of view (as in both cases the goals are different in nature), this study offers, on a practical example of ALM management, two radically different philosophies: one is the statistical evaluation of risk, based on probabilistic models, while the other one eradicates risk, using viability theory.
- [hal-01803653] The Link Between Benevolence and Well-Being in the Context of Human-Resource Marketing30 mai 2018Although interest in the subject of human-resource marketing is growing among researchers and practitioners, there have been remarkably few studies on the effects on employees of how benevolent their organization is. This article looks at the link between the presumption of organizational benevolence and the well-being of employees at work. The results of an empirical study of 595 employees show that the presumption of organizational benevolence is positively linked to employee well-being. The effect is indirect, as it is mediated by the perceived level of organizational support. The existence of a link between employee well-being and intention to quit the company is also confirmed. Keywords Human-resource marketing, presumption of organizational benevolence, well-being at work, perceived organizational support, intention to leave the job. List of abbreviations WB Well-being POB Presumption of organizational benevolence POS Perceived organizational support
- [hal-01616178] A survey of some recent results on Risk Theory13 octobre 2017The goal of this paper is to give recent results in risk theory presented at the Conference "Journée MAS 2012" which took place in Clermont Ferrand. After a brief state of the art on ruin theory, we explore some particular aspects and recent results. One presents matrix exponential approximations of the ruin probability. Then we present asymptotics of the ruin probability based on mixing properties of the claims distribution. Finally, the multivariate case, motivated by reinsurance, is presented and some contemporary results (closed forms and asymptotics) are given.
- [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'.(...)
- [hal-04875619] Cost Effectiveness of Pegfilgrastim Versus Filgrastim After High-Dose Chemotherapy and Autologous Stem Cell Transplantation in Patients with Lymphoma and Myeloma9 janvier 2025Background Use of the recombinant human granulocyte colony-stimulating factor (rhG-CSF) filgrastim accelerates neutrophil recovery following myelosuppressive chemotherapy. Since filgrastim requires multiple daily administrations, forms of rhG-CSF with a longer half life, including pegfilgrastim, have been developed. Pegfilgrastim is safe and effective in supporting neutrophil recovery and reducing febrile neutropenia after conventional chemotherapy. Pegfilgrastim has also been successfully used to support patients undergoing peripheral blood stem cell (PBSC) transplantation for haematological malignancies. To our knowledge, no cost-effectiveness analysis (CEA) of pegfilgrastim in this setting has been published yet. Objective We undertook a CEA to compare a single injection of pegfilgrastim versus repeated administrations of filgrastim in patients who had undergone PBSC transplantation for lymphoma or myeloma. The CEA was set in France and covered a period of 100 ± 10 days from transplant. Methods The CEA was designed as part of an open-label, multicentre, randomized phase II trial. Costs were assessed from the hospital’s point of view and are expressed in 2009 euros. Costs computation focused on inpatient, outpatient, and home care. Costs in the two arms of the study were compared using the Mann–Whitney test. When differences were statistically significant, multiple regression analyses were performed in order to identify cost drivers. Incremental cost-effectiveness ratios (ICER) were calculated for the major endpoints of the trial; i.e., duration of febrile neutropenia (absolute neutrophil count [ANC] <0.5 × 109/L and temperature ≥38 °C), duration of neutropenia (ANC <1.0 × 109/L and ANC <0.5 × 109/L), duration of thrombopenia (platelets <50 × 109/L and <20 × 109/L), and days with a temperature ≥38 °C). Uncertainty around the ICER was captured by a probabilistic analysis using a non-parametric bootstrap method. Results 151 patients were enrolled at ten French centres from October 2008 to September 2009. The mean total cost in the pegfilgrastim arm of the study (n = 74) was €25,024 (SD 9,945). That in the filgrastim arm (n = 76) was €28,700 (SD 20,597). Pegfilgrastim strictly dominated filgrastim for days of febrile neutropenia avoided, days of neutropenia (ANC <1.0 × 109/L) avoided, days of thrombopenia (platelets <20 × 109/L) avoided, and days with temperature ≥38 °C) avoided. Pegfilgrastim was less costly and less effective than filgrastim for the number of days with ANC <0.5 × 109/L avoided and the number of days with platelets <50.0 × 109/L avoided. Taking uncertainty into account, the probabilities that pegfilgrastim strictly dominated filgrastim were 67 % for febrile neutropenia, 86 % for neutropenia (ANC <1.0 × 109/L), 59 % for thrombopenia (platelets <20 × 109/L), 86 % for temperature ≥38 °C, 32 % for neutropenia (ANC <0.5 × 109/L), and 43 % for thrombopenia (platelets <50 × 109/L). Conversely, the probability that filgrastim strictly dominated pegfilgrastim for neutropenia (ANC <0.5 × 109/L) is 5 %. Conclusion This study found no evidence that the use of pegfilgrastim is associated with greater cost in lymphoma and myeloma patients after high-dose chemotherapy and PBSC transplantation.
- [hal-04878817] What is the impact of digital transformation on internationalized SMEs?10 janvier 2025Based on a literature review, this article offers a conceptual research model that aims to answer the following question: what are the digital transformation components and their influences on internationalized SMEs? The model defends the leading role of the digital orientation of SME owner-managers, and a relationship between digital transformation and internationalization as well as the positive feedback loop of internationalization on the digital transformation. This article attempts to complement the international entrepreneurship literature and to clarify the role of digital transformation in internationalized SMEs. From a managerial standpoint, our model allows SME leaders to better prepare their companies for digital transformations based on their orientations and capabilities.
- [hal-04878834] Risques et internationalisation des PME : proposition d’un cadre d’analyse10 janvier 2025Many analyses are developed in Management Science to help large corporations anticipate international risks and identify the best ways to penetrate a foreign market. Today, there are no theoretical cases or methodologies that allow small and medium-sized companies to enter these markets or predict risks correlated to their implementation. However, for SMEs, gaining knowledge on international risks and different implementation strategies is particularly important because an error can rapidly jeopardize the company’s performance. Thus, in the continuation of the research on the entry mode code depending on the degree of desired engagement and control wanted by the SME, we will integrate the risk perceived by the company’s executive. The objective of this article is to develop a global and systemic framework for analysis that would help SMEs and advise them to optimize the choice of their entry modes into foreign markets.
- [hal-04964899] A Rejection-Based Model of Partial Service Termination and its Impact on Unprofitable Customers25 février 2025This research examines partial service termination (PST) as a strategy that allows companies to deliberately cease providing unprofitable customers with certain services while maintaining relationships with those customers. Through a preliminary qualitative study, a quasi-experiment, and two scenario-based experiments, this research contributes to the intentional service failures literature by demonstrating negative customer reactions to PST. First, the results showed that PST increases the probability of customers terminating their other contracts by 2.14 times while increasing their propensity to spread negative word-of-mouth (nWOM). Second, using belongingness theory, we identify the key underlying psychological process behind PST: customers interpret PST as a threat to their need to belong in relationships with companies, which is reflected in their feelings of rejection and anger. Third, relationship breadth and three recovery tactics (i.e., monetary compensation, explanations, and support in finding alternatives) were identified as contingent variables that buffer the negative consequences of PST. Customers with high relationship breadth are less likely to terminate other contracts and bad-mouth following PST. This is likely because high relationship breadth reduces perceived rejection following PST. Furthermore, a combination of monetary compensation, explanations, and support in finding alternatives represents the most efficient recovery approach to reduce anger.
- [hal-04979167] L'auto-protection influence-t-elle les choix d'assurance des individus ? Une étude expérimentale6 mars 2025À l’aide d’une expérimentation en laboratoire, cette étude compare les choix individuels en matière d’assurance, en fonction de la présence, ou non, d’une option d’autoprotection permettant de diminuer la probabilité de perte. Les résultats montrent que la possibilité d’engager un effort d’autoprotection, a posteriori, encourage les assurés à choisir des niveaux de couverture plus faibles, révélant ainsi leur préférence pour l’autoprotection par rapport à l’assurance. Cependant, les résultats indiquent également une incohérence dans les choix des individus puisque cet attrait pour l’option d’autoprotection ne se traduit finalement pas par davantage d’efforts d’autoprotection.
- [hal-00651397] Credit derivatives pricing with default density term structure modelled by Lévy random fields13 décembre 2011We model the term structure of the forward default intensity and the default density by using Lévy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the pricing of a defaultable bond and represent the pricing kernel as the unique solution of a parabolic integro-differential equation. Finally, we illustrate by numerical examples the impact of the contagious jump risks on the defaultable bond price in our model.
- [hal-04979533] Assessment of informal caregiver’s needs by self-administered instruments: a literature review6 mars 2025Clinicians, researchers and politicians are seeking to better assess caregiver's needs. Challenges exist in broadly implementing this so as to provide appropriate support. The aim of this review was to compile self-administered instruments for assessment of caregiver's needs that are deemed to be scientifically robust. The Medline database was searched for publications reporting self-administered instruments assessing caregiver's needs with acceptable psychometric properties. These instruments were analyzed in terms of the development context, target population, concept, purpose, structure, content and psychometric properties. The dimensions of the needs were listed and categorized. A total of nine self-administered instruments were analyzed. They averaged 32 items, they were specifically developed for a targeted subpopulation of caregivers and dedicated to epidemiological research. Response devices were based on Likert scales. The main dimensions of the needs identified were 'Health and Care', 'Psychological - Emotional Support', 'Information-Knowledge', 'Social Life-Work-Finance'. None was specifically geared toward caregivers for the elderly, children or teenagers. In the absence of transcultural validation, no instrument was directly usable in Europe. Assessing caregivers' needs is a key part in providing caregivers with appropriate support. The development of self-administered instruments constitutes a complex field that is still underexplored at the international level; strict specifications with psychometric validation are essential. To be efficient, the instrument should be integrated in a larger process including: upstream, recognition, identification and assessment of the overall situation of the caregiver; and downstream, guidance, establishment and follow-up of a suitable action plan.
- [hal-03723478] Collective Protection Measures for Occupational Exposure to Carcinogenic Chemicals in France: The Links between Regulations on Chemicals and Effective Implementation3 mars 2025European directives stipulate that French employers take all available measures to reduce the use of carcinogenic agents. Our study explores the links between regulations on chemicals and the effective implementation of collective protection measures in France to occupational exposure to carcinogenic chemicals. Individual data from the French national cross-sectional survey of occupational hazards, conducted in 2017, were analysed. We investigated whether stricter regulations and longer exposures were associated with a higher level of collective protection using multivariate logistic regressions. In 2017, any collective protection measures were implemented for 35% of occupational situations involving exposure to a carcinogen. A total of 21% of exposure situations benefited from source-based controls (e.g., isolation chamber and local exhaust ventilation) and 26% from general ventilation, for which the effect is limited as collective protection. Our regressions showed that longer exposure durations were associated with more collective protection. Exposure situations to chemicals classified as proven carcinogens by the European Union (category 1A) benefited more from collective protections, which is not the case for products only classified as suspected carcinogens (category 1B). Exposures to products with a Binding Occupational Exposure Limit Value benefited more from source-based controls. Nonetheless, the time spent on the IARC list of carcinogens did not appear to influence the implementation of collective protection measures, except for local exhaust ventilation. At a time when efforts to improve the implementation of protective measures in order to drastically reduce the risks of occupational cancers are still necessary, stricter European and national regulations, but above all, better coordination with the work of the IARC and its classification, are avenues to pursue.
- [hal-03714661] Les leviers d'adoption des objets connectés : une différenciation par le type d'objet5 juillet 2022Les objets connectés (OC), capables de collecter, d'analyser et de produire des données, font à présent partie de notre quotidien. Si leur potentiel de développement en font des produits largement courtisés par les entreprises, les déterminants de leur adoption par les consommateurs restent peu connus. Cette recherche questionne la pertinence de différents leviers dans l'adoption de deux grands types d'OC : les « wearables » (montre connectée) et les objets de mobilité (assurance automobile connectée). La Théorie du Comportement Planifié offre un cadre d'analyse pertinent, mais la prise en compte de nouvelles variables telles que la passion des gadgets est indispensable pour expliquer l'intention d'adopter ces objets aux multiples facettes. Une étude empirique menée auprès de 362 répondants montre que les déterminants de l'adoption des OC ne sont pas les mêmes selon la nature de l'objet et l'estimation d'un modèle d'équations structurelles met en évidence le rôle modérateur du type d'objet.
- [hal-03964279] The links between difficult working conditions and sickness absences in the case of French workers31 janvier 2023This study empirically links objective measures of arduous working conditions and financial incentive indicators with sick leave use. We use a 2017 French survey on occupational hazards and sick leaves linked to information on the individual level of sick pay extracted from collective bargaining agreements. Our results show that physical constraints are not linked to short-term sick leave use whereas psychosocial constraints are significantly associated with more sick leave spells and a high cumulative number of sick days. Moreover, the relationship between sick pay and use seems ambiguous because of the heterogeneity in behavioural responses.
- [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-03016411] Disparate exposure to physically demanding working conditions in France21 novembre 2022[...]
- [hal-04544086] Endoscopic and Surgical Management of Non-Metastatic Ampullary Neuroendocrine Neoplasia: A Multi-Institutional Pancreas2000/EPC Study12 avril 2024Introduction: Ampullary neuroendocrine neoplasia (NEN) is rare and evidence regarding their management is scarce. This study aimed to describe clinicopathological features, management, and prognosis of ampullary NEN according to their endoscopic or surgical management. Methods: From a multi-institutional international database, patients treated with either endoscopic papillectomy (EP), transduodenal surgical ampullectomy (TSA), or pancreaticoduodenectomy (PD) for ampullary NEN were included. Clinical features, post-procedure complications, and recurrences were assessed. Results: 65 patients were included, 20 (30.8%) treated with EP, 19 (29.2%) with TSA, and 26 (40%) with PD. Patients were mostly asymptomatic (n = 46; 70.8%). Median tumor size was 17 mm (12–22), tumors were mostly grade 1 (70.8%) and pT2 (55.4%). Two (10%) EP resulted in severe American Society for Gastrointestinal Enterology (ASGE) adverse post-procedure complications and 10 (50%) were R0. Clavien 3–5 complications did not occur after TSA and in 4, including 1 postoperative death (15.4%) of patients after PD, with 17 (89.5%) and 26 R0 resection (100%), respectively. The pN1/2 rate was 51.9% (n = 14) after PD. Tumor size larger than 1 cm (i.e., pT stage >1) was a predictor for R1 resection (p < 0.001). Three-year overall survival and disease-free survival after EP, TSA, and PD were 92%, 68%, 92% and 92%, 85%, 73%, respectively. Conclusion: Management of ampullary NEN is challenging. EP should not be performed in lesions larger than 1 cm or with a endoscopic ultrasonography T stage beyond T1. Local resection by TSA seems safe and feasible for lesions without nodal involvement. PD should be preferred for larger ampullary NEN at risk of nodal metastasis.
- [hal-00504020] Exponential inequalities for VLMC empirical trees.19 juillet 2010A seminal paper by Rissanen, published in 1983, introduced the class of Variable Length Markov Chains and the algorithm Context which estimates the probabilistic tree generating the chain. Even if the subject was recently considered in several papers, the central question of the rate of convergence of the algorithm remained open. This is the question we address here. We provide an exponential upper bound for the probability of incorrect estimation of the probabilistic tree, as a function of the size of the sample. As a consequence we prove the almost sure consistency of the algorithm Context. We also derive exponential upper bounds for type I errors and for the probability of underestimation of the context tree. The constants appearing in the bounds are all explicit and obtained in a constructive way.
- [hal-00484233] Some multivariate risk indicators: minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm5 décembre 2011We consider some risk indicators of vectorial risk processes. These indicators take into account the dependencies between business lines as well as some temporal dependencies. By using stochastic algorithms, we may estimate the minimum of these risk indicators, under a fixed total capital constraint. This minimization may apply to optimal reserve allocation.
- [hal-00816894] Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation23 avril 2013In a multi-dimensional risk model with dependent lines of business, we propose to allocate capital with respect to the minimization of some risk indicators. These indicators are sums of expected penalties due to the insolvency of a branch while the global reserve is either positive or negative. Explicit formulas in the case of two branches are obtained for several models independent exponential, correlated Pareto). The asymptotic behavior (as the initial capital goes to infinity) is studied. For higher dimension and several periods, no explicit expression is available. Using a stochastic algorithm, we get estimations of the allocation, compare the different allocations and study the impact of dependence.
- [hal-00022453] Exponential inequalities and functional estimations for weak dependent datas ; applications to dynamical systems.9 avril 2006We estimate density and regression functions for weak dependant datas. Using an exponential inequality obtained by Dedecker and Prieur and in a previous article of the author, we control the deviation between the estimator and the function itself. These results are applied to a large class of dynamical systems and lead to estimations of invariant densities and on the mapping itself.
- [hal-00417800] Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges16 juillet 2010This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry.
- [hal-00430178] On finite-time ruin probabilities with reinsurance cycles influenced by large claims14 mai 2011Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed. A refined Erlangization method is developed to compute the finite-time ruin probability of a reinsurance company. As this model needs the claim amounts to be Phase-type distributed, we explain how to fit mixtures of Erlang distributions to long-tailed distributions. Numerical applications and comparisons to results obtained from simulation methods are given. The impact of dependency between claim amounts and phase changes is studied.
- [hal-03327710] Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation27 juin 2022This paper introduces new valuation schemes called actuarial-consistent valuations for insurance liabilities which depend on both financial and actuarial risks, which imposes that all actuarial risks are priced via standard actuarial principles. We propose to extend standard actuarial principles by a new actuarial-consistent procedure, which we call ``two-step actuarial valuations". In the case valuations are coherent, we show that actuarial-consistent valuations are equivalent to two-step actuarial valuations. We also discuss the connection with ``two-step market-consistent valuations" from Pelsser and Stadje (2014). In particular, we discuss how the dependence structure between actuarial and financial risks impacts both actuarial-consistent and market-consistent valuations.