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,
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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
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2007
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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.
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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,
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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
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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.
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Alternative Risk Measures for Alternative Investments,
Journal of Risk, Vol. 8, n°4, 1-32.
A. CHABAANE, J-P. LAURENT, Y. MALEVERGNE, F. TURPIN
Prudence and optimal prevention for health risks,
Health Economics, Vol 15, n°12, 1323-1327.
Ch. COURBAGE, B. REY
Decision-making with the incremental cost-effectiveness ratio under uncertainty, Health and System Science, SAS - 9/2006, Information decision patient, 111-145.
C. DE PERETTI, C. SIANI
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model, Asia-Pacific
Financial Markets, 13, 11- 39.
O. LE COURTOIS, F. QUITTARD-PINON
Extreme dependence of multivariate catastrophic losses,
Scandinavian Actuarial Journal, 2006-4, 203-225.
L. LESCOURRET, C. ROBERT
On the pricing of power and other polynomial options,
Journal of Derivatives, Vol. 13, n°4: 61-71.
S. MACOVSCHI, F. QUITTARD-PINON
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns,
Applied Financial Economics, Vol. 16, n° 3, 271 – 289.
Y. MALEVERGNE, V. PISARENKO, D. SORNETTE
Exponential inequalities and functional estimations for weak dependent data; applications to dynamical systems,
Stochastics and Dynamics, 6, no. 4, 535-560.
V. MAUME-DESCHAMPS
Exponential inequalities and estimation of conditional probabilities, Lect. notes in Stat.,
Springer, Vol. 187, 123-140.
V. MAUME-DESCHAMPS
Étude du risque systématique de mortalité,
Assurances et Gestion des Risques, Vol. 74 (3).
F. PLANCHET, L. FAUCILLON, M. JUILLARD
Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes,
Assurances et Gestion des Risques, Vol 75 (3).
F. PLANCHET, M. JUILLARD
Backward stochastic differential equations with jumps and related non-linear expectations,
Stochastic Processes and Their Applications, Vol. 116, n°10, 1358-1376.
M. ROYER
Fieller's method performance in problematic cases for decision-making,
Health and System Science, SAS - 9/2006, Information decision patient, 205-226.
C. SIANI, C. DE PERETTI
Flux RSS HAL
- [hal-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-01443955] Comment articuler projets individuel, collectif et de territoire ? Le cas d’un collectif de transformation et commercialisation en circuits courts23 janvier 2017De nombreuses initiatives collectives impliquant des producteurs en circuits courts se développent : magasins et marchés de producteurs, plateformes d'approvisionnement de la restauration collective, ateliers collectifs de transformation, etc. Cependant, force est de constater que beaucoup de projets de ce type ne parviennent pas à émerger ou à se pérenniser. Mieux comprendre comment ces collectifs résolvent les différents paradoxes et difficultés auxquels ils sont confrontés constitue donc une attente forte. Nous proposons une analyse de la trajectoire d'un collectif de transformation et de commercialisation en circuits courts, en montrant que la pérennité du système repose sur une articulation singulière et dynamique entre trois dimensions : le projet individuel, collectif et celui du territoire. A chacune des étapes de la vie du collectif, les acteurs mobilisent ces différents niveaux d'action afin de construire ou rétablir une cohérence et une dynamique.
- [halshs-03544333] Label employeur et/ou marque région: quels signaux privilégier dans la communication de recrutement pour renforcer l'attractivité organisationnelle?5 juillet 2022Cette recherche analyse les effets de la présence séparée ou simultanée de signaux relatifs au territoire et à l’employeur dans une annonce de recrutement sur l’attractivité organisationnelle. Les résultats montrent que marque employeur et marque territoire n’ont pas intérêt à être rapprochées dans la communication de recrutement. L’effet du logo région fonctionne en effet lorsqu’il n’est pas associé au label employeur et est d’autant plus fort que l’image de la ville est bonne.
- [halshs-00520050] On Cross-risk Vulnerability22 septembre 2010We introduce the notion of cross-risk vulnerability to generalize the concept of risk vulnerability introduced by Gollier and Pratt [Gollier, C., Pratt, J.W. 1996. Risk vulnerability and the tempering effect of background risk. Econometrica 64, 1109–1124]. While risk vulnerability captures the idea that the presence of an unfair financial background risk should make risk-averse individuals behave in a more risk-averse way with respect to an independent financial risk, cross-risk vulnerability extends this idea to the impact of a non-financial background risk on the financial risk. It provides an answer to the question of the impact of a background risk on the optimal coinsurance rate and on the optimal deductible level. We derive necessary and sufficient conditions for a bivariate utility function to exhibit cross-risk vulnerability both toward an actuarially neutral background risk and toward an unfair background risk. We also analyze the question of the sub-additivity of risk premia and show to what extent cross-risk vulnerability provides an answer.
- [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.
- [halshs-01879116] Small firms in the sustainable transformation of food industry: entangling entrepreneurship and activism in grassroots innovation processes22 septembre 2018The literature in Social Movement Theory, Organization Studies and Entrepreneurship emphasizes on the linkages between social movement action and economic organization. Indeed, social entrepreneurship and social movement studies tend to be more and more linked: activists and social entrepreneurs do not represent separate and distinct actors with different logics of action, but tend to transfer their tactics, such as framing, mobilization, protest and negation. This paper explores how activism and entrepreneurship can be combined in an innovative way by small firms in order to contribute to an industry's transformation towards sustainable development. We specially investigate the field of food industry and Alternative Food Networks. In a context of growing interest and sensitivity towards more sustainable food models, how do small firms combine activism and entrepreneurship to frame grassroots innovation processes and translate this frame into organizational model?
- [halshs-01459141] Sustainability-driven entrepreneurship and high-growth SME: How to combine Davids’ and Goliaths’ worlds?21 février 2018This paper aims to explore how sustainability-driven SMEs experiencing high growth can succeed in combining the best of the Davids’ and Goliaths’ worlds. An in-depth case study was conducted within a French SME, a pioneer in organic vegetable distribution that has succeeded in evolving from an ‘idealistic David’ to a ‘high-growth David’. Research findings reveal two sets of key actions successfully carried out by this firm: the development of a hybrid organisation through a staff representing the skills of both Davids’ and Goliaths’ worlds, and of a learning organisation through exploration and exploitation. They also illustrate some challenges facing most high-growth SMEs and identify some specific tensions that can arise due to the coexistence of these two worlds, in particular value diversity within the top management team.
- [hal-01082559] On a capital allocation by minimizing multivariate risk indicators13 novembre 2014The issue of capital allocation in a multivariate context arises from the presence of dependence between the various risky activities which may generate a diversification effect. Several allocation methods in the literature are based on a choice of a univariate risk measure and an allocation principle, others on optimizing a multivariate ruin probability or some multivariate risk indicators. In this paper, we focus on the latter technique. Using an axiomatic approach, we study its coherence properties. We give some explicit results in mono periodic cases. Finally we analyze the impact of the dependence structure on the optimal allocation.
- [halshs-00520072] Preserving preference rankings under non-financial background risk22 septembre 2010We investigate the impact of a non-financial background risk ˜" on the preference rankings between two independent financial risks ˜z1 and ˜z2 for an expected-utility maximizer. More precisely, we provide necessary and sufficient conditions for the alternative (x0 + ˜z1, y0 + ˜") to be preferred to (x0 + ˜z2, y0 + ˜") whenever (x0 + ˜z1, y0) is preferred to (x0 + ˜z2, y0). Utility functions that preserve the preference rankings are fully characterized. Their practical relevance is discussed in light of recent results on the constraints for the modeling of the preference for the disaggregation of harms.
- [halshs-01354704] Les PME axées sur la durabilité et à forte croissance : une approche par les paradoxes28 janvier 2020Cet article vise à explorer les tensions paradoxales présentes dans les PME axées sur la durabilité et à forte croissance, ainsi que les pratiques mises en œuvre pour faire face à ces tensions. La recherche repose sur l’étude d’un cas unique, une PME française pionnière du secteur bio. L’analyse de ce cas permet d’identifier quatre tensions paradoxales majeures, qui s’intensifient de manière progressive durant les phases de forte croissance : identité normative et utilitariste, croissance interne et externe, exploration et exploitation, désorganisation et structuration. Elle permet de plus de repérer un ensemble de clés stratégiques, qui ont permis aux situations paradoxales de trouver leur équilibre dans des logiques de dialogue et de différenciation.
- [hal-05523792] Écosystèmes, transformation numérique, entrepreneuriat et PME : une exploration bibliométrique.23 février 2026Cet article propose une analyse de la littérature académique à l’intersection des recherches sur les écosystèmes, la transformation numérique des PME ou de l’entrepreneuriat. Cette littérature semble marquée par une hétérogénéité terminologique et une instabilité conceptuelle. L’objectif est de comprendre la construction progressive de ces travaux, de cartographier les contributions existantes et d’orienter les recherches futures. Une approche bibliométrique combinant l’analyse de co-citations des références (ACCR) et l’analyse de couplage bibliographique des documents (ACBD) a été mise en œuvre. Les résultats montrent que les travaux sont largement concentrés sur l’influence du numérique dans la structuration des écosystèmes liés à l’entrepreneuriat, avec une focalisation dominante sur les start-ups, tandis que la manière dont ces écosystèmes façonnent, en retour, la transformation numérique des PME établies reste peu explorée. Par ailleurs, plusieurs défis persistent : l'absence d’un vocabulaire unifié, un manque de structuration des rôles et la nécessité d’appréhender la coordination des écosystèmes entre eux. En réponse, une définition de l'écosystème support à la transformation numérique des PME est proposée. Ce travail appelle à un programme de recherche structuré sur ce concept, de son rôle dans les trajectoires numériques des PME et de la conception de dispositifs adaptés à leurs contraintes.
- [hal-01171395] Impact of dependence on some multivariate risk indicators4 juillet 2015The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in Cénac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous paper [17] we proved that the proposed allocation technique satisfies a set of coherence axioms. In the present one, we study the properties and asymptotic behavior of the allocation for some distribution models. We analyze also the impact of the dependence structure on the allocation using some copulas.
- [hal-02429429] What business models for food justice?28 janvier 2020The Food Justice Movement is a grassroots initiative now reaching public, political and academic spheres. Our purpose in this article is to explore how do these organizations manage to solve the coexistence of food justice imperatives and economical ones in their business models. Thanks to a qualitative study, we propose and discuss a typology of business models for the food justice.
- [hal-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-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-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-01665936] Gaussian processes for computer experiments17 décembre 2017This paper collects the contributions which were presented during the session devoted to Gaussian processes at the Journées MAS 2016. First, an introduction to Gaussian processes is provided, and some current research questions are discussed. Then, an application of Gaussian process modeling under linear inequality constraints to financial data is presented. Also, an original procedure for handling large data sets is described. Finally, the case of Gaussian process based iterative optimization is discussed.
- [hal-01206388] Kriging of financial term-structures8 avril 2016Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline techniques by additionally allowing for quantification of uncertainty. The proposed method is based on a generalization of kriging models with linear equality constraints (market-fit conditions) and shape-preserving conditions such as monotonicity or positivity (no-arbitrage conditions). We define the most likely curve and show how to build confidence bands. The Gaussian process covariance hyper-parameters under the construction constraints are estimated using cross-validation techniques. Based on observed market quotes at different dates, we demonstrate the efficiency of the method by building curves together with confidence intervals for term-structures of OIS discount rates, of zero-coupon swaps rates and of CDS implied default probabilities. We also show how to construct interest-rate surfaces or default probability surfaces by considering time (quotation dates) as an additional dimension.
- [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-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-02120870] Goodness-of-fit tests for compound distributions with applications in insurance30 juin 2022Goodness-of-fit procedures are provided to test the validity of compound models for the total claims, involving specific laws for the constituent components, namely the claim frequency distribution and the distribution of individual claim sizes. This is done without the need for observations on these two component variables. Goodness-of-fit tests that utilize the Laplace transform as well as classical tools based on the distribution function, are proposed and compared. These methods are validated by simulations and then applied to insurance data. MSC 2010: 60G55, 60G40, 12E10.
- [hal-04821310] Adjusting Manual Rates to Own Experience: Comparing the Credibility Approach to Machine Learning30 juin 2025Credibility theory is the usual framework in actuarial science when it comes to reinforcing individual experience by transfering rates estimated from collective information. Based on the paradigm of transfer learning, this article presents the idea that a machine learning (ML) model pre-trained using a rich market data porfolio can improve the prediction of rates for an individual insurance portfolio. This framework consists first in training several ML models on a market portfolio of insurance data. Pre-trained models provide valuable information on relations between features and predicted rates. Furthermore, features shared with the company dataset are used to predict rates better than the same ML models trained on the insurer's dataset alone. Our approach is illustrated with classical ML models on an anonymized dataset including both market data and data from an European non-life insurance company, and is compared with a hierarchical Bühlmann-Straub credibility model. We observe the transfert learning stragegy combining company data with external market data significantly improves the prediction accuracy compared to a ML model only trained on the insurer's data and provides competitive results compared to hierarchical credibility models.
- [hal-04178278] A Longitudinal Tree-Based Framework for Lapse Management in Life Insurance22 août 2024Developing an informed lapse management strategy (LMS) is critical for life insurers to improve profitability and gain insight into the risk of their global portfolio. Prior research in actuarial science has shown that targeting policyholders by maximising their individual customer lifetime value is more advantageous than targeting all those likely to lapse. However, most existing lapse analyses do not leverage the variability of features and targets over time. We propose a longitudinal LMS framework, utilising tree-based models for longitudinal data, such as left-truncated and right-censored (LTRC) trees and forests, as well as mixed-effect tree-based models. Our methodology provides time-informed insights, leading to increased precision in targeting. Our findings indicate that the use of longitudinally structured data significantly enhances the precision of models in predicting lapse behaviour, estimating customer lifetime value, and evaluating individual retention gains. The implementation of mixed-effect random forests enables the production of time-varying predictions that are highly relevant for decision-making. This paper contributes to the field of lapse analysis for life insurers by demonstrating the importance of exploiting the complete past trajectory of policyholders, which is often available in insurers’ information systems but has yet to be fully utilised.
- [hal-01345959] Nested Kriging predictions for datasets with large number of observations20 juillet 2017This work falls within the context of predicting the value of a real function at some input locations given a limited number of observations of this function. The Kriging interpolation technique (or Gaussian process regression) is often considered to tackle such a problem but the method suffers from its computational burden when the number of observation points is large. We introduce in this article nested Kriging predictors which are constructed by aggregating sub-models based on subsets of observation points. This approach is proven to have better theoretical properties than other aggregation methods that can be found in the literature. Contrarily to some other methods it can be shown that the proposed aggregation method is consistent. Finally, the practical interest of the proposed method is illustrated on simulated datasets and on an industrial test case with $10^4$ observations in a 6-dimensional space.
- [hal-01097403] On the estimation of Pareto fronts from the point of view of copula theory23 juin 2015Given a first set of observations from a design of experiments sampled randomly in the design space, the corresponding set of non-dominated points usually does not give a good approximation of the Pareto front. We propose here to study this problem from the point of view of multivariate analysis, introducing a probabilistic framework with the use of copulas. This approach enables the expression of level lines in the objective space, giving an estimation of the position of the Pareto front when the level tends to zero. In particular, when it is possible to use Archimedean copulas, analytical expressions for Pareto front estimators are available. Several case studies illustrate the interest of the approach, which can be used at the beginning of the optimization when sampling randomly in the design space.
- [hal-04476446] The impact of parental benefits on disadvantaged households24 février 2024Over the past 25 years, the Government of Quebec (Canada) has introduced a number of relatively novel policies aimed at fighting poverty such as the Universal Child Care Program (UCCP) in 1997 and the Quebec Parental Insurance Program (QPIP) in 2006. Since its inception, the QPIP has provided a means‐tested supplementary benefits scheme for disadvantaged households. The scheme yields a well‐defined kink in the benefits schedule with respect to two entirely exogenous criteria. Using the QPIP administrative data files from 2006 to 2017, we estimate the causal impact of the supplemental benefits on leave duration and participation of poor households within a sharp Regression Kink Design (RKD) approach. Our results indicate that single mothers are relatively responsive to additional benefits. Conversely, partnered mothers are not found to respond to the supplemental benefits, irrespective of fathers’ own participation in the parental leave. The Canadian government is currently considering introducing a similar parental leave program. Our results may prove useful for the design of the program.
- [halshs-02530488] Les consommateurs face à la contrefaçon : une comparaison entre Belges et Français3 avril 2020En dépit de son ampleur et de son développement, le phénomène de la contrefaçon a été peu étudié sous l’angle de la demande. Partant du point de vue du consommateur, les auteurs dressent une revue de la littérature en marketing sur l’attitude à l’égard de la contrefaçon. Une analyse factorielle exploratoire permet d’identifier et de comparer, dans un double contexte belge et français, la perception qu’ont les jeunes consommateurs de la contrefaçon.
- [hal-03833822] Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos28 octobre 2022Imitative and contrarian behaviors are the two typical opposite attitudes of investors in stock markets. We introduce a simple model to investigate their interplay in a stock market where agents can take only two states, bullish or bearish. Each bullish (bearish) agent polls m "friends" and changes her opinion to bearish (bullish) if (1) at least mρ hb (mρ bh) among the m agents inspected are bearish (bullish) or (2) at least mρ hh > mρ hb (mρ bb > mρ bh) among the m agents inspected are bullish (bearish). The condition (1) (resp. (2)) corresponds to imitative (resp. antagonistic) behavior. In the limit where the number N of agents is infinite, the dynamics of the fraction of bullish agents is deterministic and exhibits chaotic behavior in a significant domain of the parameter space {ρ hb , ρ bh , ρ hh , ρ bb , m}. A typical chaotic trajectory is characterized by intermittent phases of chaos, quasi-periodic behavior and super-exponentially growing bubbles followed by crashes. A typical bubble starts initially by growing at an exponential rate and then crosses over to a nonlinear power law growth rate leading to a finitetime singularity. The reinjection mechanism provided by the contrarian behavior introduces a finite-size effect, rounding off these singularities and leads to chaos. We document the main stylized facts of this model in the symmetric and asymmetric cases. This model is one of the rare agent-based models that give rise to interesting non-periodic complex dynamics in the "thermodynamic" limit (of an infinite number N of agents). We also discuss the case of a finite number of agents, which introduces an endogenous source of noise superimposed on the chaotic dynamics. "Human behavior is a main factor in how markets act. Indeed, sometimes markets act quickly, violently with little warning. [.. .] Ultimately, history tells us that there will be a correction of some significant dimension. I have no doubt that, human nature being what it is, that it is going to happen again and again." Alan Greenspan, Chairman of the Federal Reserve of the USA, before the Committee on Banking and Financial Services, U.S. House of Representatives, July 24, 1998.
- [hal-00475386] Estimating Bivariate Tail: a copula based approach25 mai 2011This paper deals with the problem of estimating the tail of a bivariate distribution function. To this end we develop a general extension of the POT (Peaks-Over-Threshold) method, mainly based on a two-dimensional version of the Pickands-Balkema-de Haan Theorem. We introduce a new parameter that describes the nature of the tail dependence and we provide a way to estimate it. We construct a two-dimensional tail estimator and study its asymptotic properties. We also present real data examples which illustrate our theoretical results.
- [hal-00580624] Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory30 septembre 2011This paper deals with the problem of estimating the level sets of an unknown distribution function $F$. A plug-in approach is followed. That is, given a consistent estimator $F_n$ of $F$, we estimate the level sets of $F$ by the level sets of $F_n$. In our setting no compactness property is a priori required for the level sets to estimate. We state consistency results with respect to the Hausdorff distance and the volume of the symmetric difference. Our results are motivated by applications in multivariate risk theory. In this sense we also present simulated and real examples which illustrate our theoretical results.
- [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-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-00804668] Statistical inference for Sobol pick freeze Monte Carlo method26 mars 2013Many mathematical models involve input parameters, which are not precisely known. Global sensitivity analysis aims to identify the parameters whose uncertainty has the largest impact on the variability of a quantity of interest (output of the model). One of the statistical tools used to quantify the influence of each input variable on the output is the Sobol sensitivity index. We consider the statistical estimation of this index from a finite sample of model outputs. We study asymptotic and non-asymptotic properties of two estimators of Sobol indices. These properties are applied to significance tests and estimation by confidence intervals.
- [hal-05455667] Establishment and maintenance of NRT2.1 inter-individual variability in plants13 janvier 2026Morphological phenotype and gene expression differences are observed between genetically identical plants grown in the same environment. While we now have a good understanding of the source and consequences of transcriptional differences observed between cells, our knowledge is still very limited regarding variability between multicellular organisms. We characterised this variability using the highaffinity nitrate transporter gene NRT2.1 as a model for high inter-individual transcriptional variability. Thanks to a combination of live imaging and transcriptomics, we show that the differences in expression of this gene between plants are established in young seedlings and maintained for up to three weeks. However, the expression level of NRT2.1 in plants does not permit predicting its expression in the next generation. Our results also indicate that these expression differences could have phenotypic consequences on root growth and nitrate uptake mediated by NRT2.1. Finally, we observed enriched photosynthesis-related functions among genes whose expression correlates with NRT2.1 in individual seedlings. Our study thus demonstrates that a global coordination of the genes involved in the carbon/nitrogen (C/N) balance in plants is established in young seedlings, at different levels in each plant, and maintained over time. Our results also highlight the fact that not all transcriptional regulators of NRT2.1 were identified, and propose UNE10 as a transcription factor for further study focused on its possible involvement in this pathway. This work shows that thanks to single-plant analysis of gene expression, we can gain new knowledge on the mechanisms behind a phenotype of interest that is normally masked in studies performed on pooled plants.
- [hal-04986564] Towards more reliable public transportation Wi-Fi Origin-Destination matrices: Modeling errors using synthetic noise and optical counts12 mars 2025To continuously monitor mobility flows aboard public transportation, low-cost data collection methods based on the passive detection of Wi-Fi signals are promising technological solutions, but they yield uncertain results. We assess the accuracy of these results in light of a three-month experimentation conducted aboard buses equipped with Wi-Fi sensors in a sizable French conurbation. We put forward a method to quantify the error between the stop-to-stop origin-destination (O-D) matrix produced by Wi-Fi data and the ground truth, when the (estimated and real) volumes per boarding and alighting are known. To do so, the error in the estimated matrix is modeled by random noise. Neither additive, nor multiplicative noise replicate the experimental results. Noise models that concentrate on the short O-D trips and/or the central stops better reflect the structure of the error. But only by introducing distinct uncertainties between the boarding stop and the alighting stop can we recover the asymmetry between the alighting and boarding errors, as well as the correct ratios between these aggregate errors and the O-D error. Thus, our findings give insight into the main sources of error in the Wi-Fi based reconstruction of O-D matrices. They also provide analysts with an automatic and reproducible way to control the quality of O-D matrices produced by Wi-Fi data, using (readily available) count data.
- [hal-05775558] Analyse de la valeur perçue de la maison intelligente : plus d’intelligence pour plus d’économie d’énergie ?21 octobre 2026<div>Analyse de la valeur perçue de la maison intelligente : plus d'intelligence pour plus d'économie d'énergie ?</div> <div>Résumé<p>• Objectif : Cette recherche vise à mieux comprendre les mécanismes sous-jacents à la perception de la valeur dans le contexte de la maison intelligente en analysant le rôle des dimensions de l'intelligence perçue (i.e., l'autonomie, la connectivité et la capacité d'apprentissage) et de l'utilité perçue en termes d'économie d'énergie.</p><p>• Méthodologie : À partir d'une étude quantitative s'appuyant sur un échantillon représentatif de 421 consommateurs, un modèle conceptuel a été testé via la méthode des équations structurelles (AMOS).</p><p>• Résultats : (1) Les trois dimensions de l'intelligence perçue (i.e., l'autonomie, la connectivité et la capacité d'apprentissage) ont un impact positif sur la valeur perçue de la maison intelligente ; (2) La connectivité et la capacité d'apprentissage perçues ont un impact positif sur l'utilité perçue en termes d'économie d'énergie ; (3) Le bénéfice utilitaire d'économie d'énergie a un impact positif sur la valeur perçue.</p><p>• Implications managériales : Ces résultats permettent de renseigner les managers sur les axes pertinents de développement et de communication des offres de la MI.</p><p>• Originalité : L'originalité de cette étude réside dans la prise en compte de l'autonomie, la connectivité et la capacité d'apprentissage dans la perception de l'analyse de la valeur perçue de la maison intelligente. De plus, elle met en évidence le rôle du bénéfice en termes d'économie d'énergie dans la perception de la valeur de la MI et dans l'intention de du consommateur à utiliser cette technologie.</p></div>
- [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-01134385] Development of a Murine model to dissect the CpG-oligonucleotide-enhancement of the killing of human B Cells by rituximab.23 mars 2015As a model to dissect the effects of CpG-oligonucleotides (CpG) on rituximab (RTX)-mediated therapeutic killing of autoimmune or malignant B lymphocytes, nude mice were grafted with Daudi human B cells. These mice were then injected with RTX alone or together with CpG. The human B cell aggregate was measured, and the reactive infiltrate analyzed after selective depletion of murine circulating cells. Macrophages (MØ) were identified in infiltrates, but not polymorphonuclear neutrophils (PMN), as confirmed by the failure of quantitative polymerase chain reaction to detect transcripts for PMN-specific myeloperoxidase in graft extracts. Evidence that MØ predominate over PMN in the anti-B cell RTX-induced immune mechanisms, include the presence of MØ-derived cytokines, and the lack of consequences of depletion of NK cells or B lymphocytes on the CpG-mediated effects on RTX. Interestingly however, removal of circulating PMN reduced the number of MØ attracted by the Daudi B cells. Our interpretation that CpG-induced complement activation is required for PMN to influence MØ was first based on overproduction of C5a in treated mice. This excess was due to the binding of the inhibitor of the alternative pathway of complement to CpG, as demonstrated by the elution of factor H from CpG-affinity-chromatography columns. Thus MØ are recruited to the tissue in the presence of C5a, and exploited locally by RTX.
- [hal-01150444] Therapeutic activity of two xanthones in a xenograft murine model of human chronic lymphocytic leukemia.11 mai 2015We previously reported that allanxanthone C and macluraxanthone, two xanthones purified from Guttiferae trees, display in vitro antiproliferative and proapoptotic activities in leukemic cells from chronic lymphocytic leukemia (CLL) and leukemia B cell lines. Here, we investigated the in vivo therapeutic effects of the two xanthones in a xenograft murine model of human CLL, developed by engrafting CD5-transfected chronic leukemia B cells into SCID mice. Treatment of the animals with five daily injections of either allanxanthone C or macluraxanthone resulted in a significant prolongation of their survival as compared to control animals injected with the solvent alone (p = 0.0006 and p = 0.0141, respectively). The same treatment of mice which were not xenografted induced no mortality. These data show for the first time the in vivo antileukemic activities of two plant-derived xanthones, and confirm their potential interest for CLL therapy.
- [hal-01803728] Wine brands or branded wines? The specificity of the French market in terms of the brand31 mai 2018Purpose – The purpose of this paper is to show that the branded wine concept refers to a very heterogeneous category as regards wine made in France, but this sort of wine can appeal to certain types of consumers. Design/methodology/approach – An initial qualitative study was carried out to explore consumer representation as regards branded wine. A second, quantitative, study enabled us, through a cluster analysis, to identify brand-sensitive consumer segments in the wine field. Findings – There is a divergence in consumer representation between novices and experts. The former considers A.O.C.s (Appellation d'Origine Contrôlée, a French official label of protected geographical indication) and regions as brands while the latter have a narrower vision of what a branded wine means. The ''discoverers'', the youngest consumers (18-29 years old), who are interested in wine and have little knowledge of it are most liable to be influenced by wine brands. The novices and routine consumers are also brand sensitive but to a lesser degree. The experts, on the other hand, are not influenced by brands. Research limitations/implications – The influence of the brand derives from the declarative. A more indirect measure which mixes the brand with other wine attributes would be preferable. The use of a sample of convenience means results can only be generalized with caution. Practical implications – There indeed exists a place for branded wines on the French market but an association is needed with other attributes such as the origin and/or the grape variety. Originality/value – Little research has been devoted to the French consumer's acceptance of branded wines.
- [hal-05784983] Changes in road traffic fatalities in France over a decade: Disentangling exposure and fatality risk13 octobre 2026Introduction: In a context of demographic ageing and changing mobility practices, understanding how fatality risks evolve once exposure to traffic is considered is essential for designing effective prevention policies. Method: This study analyses changes in road fatality risks in France between 2007-2008 and 2018–2019 using police-reported fatal crash data combined with individual travel data from the national mobility surveys. Exposure-based fatality rates are estimated per million person-hours travelled. Analyses are conducted by gender, age group, and type of road user. A decomposition approach is used to disentangle changes in the number of fatalities attributable to variations in exposure from those attributable to changes in fatality rates. Results: Over the study period, annual road fatalities decreased by 15%, while total travel time increased by 22%, resulting in a 30% reduction in the overall exposure-based fatality risk. However, trends differed markedly across casualty categories. Young adults (17–29) and the elderly (70+) showed the highest fatality risks per hour travelled. Motorised two-wheeler riders remained the most at-risk despite declining fatality rates. Cyclists experienced a doubling of fatality risk, driven primarily by an increase in fatality rates rather than by greater exposure. Decomposition results show that improvements in fatality rates offset rising exposure for most groups, except for cyclists. Conclusions: These findings underscore the need for targeted road safety policies that address both exposure and risk. Improving infrastructure and protective measures for cyclists, alongside adaptations for an ageing population and high-risk motorised users, appears critical to sustain the decline in road deaths.
- [hal-04131622] Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis16 juin 2023In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions. This method-of-moment technique can be applied when second moments are finite, a reasonable assumption in many environmental domains like climatological and hydrological studies. Three advantages of PWM estimators can be put forward: their simple interpretations, their rapid numerical implementation and their close connection to the well-studied class of U-statistics. Concerning the later, this connection leads to precise asymptotic properties, but non asymptotic bounds have been lacking when off-the-shelf techniques (Chernoff method) cannot be applied, as exponential moment assumptions become unrealistic in many extreme value settings. In addition, large values analysis is not immune to the undesirable effect of outliers, for example, defective readings in satellite measurements or possible anomalies in climate model runs. Recently, the treatment of outliers has sparked some interest in extreme value theory, but results about finite sample bounds in a robust extreme value theory context are yet to be found, in particular for PWMs or tail index estimators. In this work, we propose a new class of robust PWM estimators, inspired by the median-of-means framework of Devroye et al. (2016). This class of robust estimators is shown to satisfy a sub-Gaussian inequality when the assumption of finite second moments holds. Such non asymptotic bounds are also derived under the general contamination model. Our main proposition confirms theoretically the trade-off between efficiency and robustness pointed out by Brazauskas & Serfling (2006). Our simulation study indicates that, while classical estimators of PWMs can be highly sensitive to outliers, our new approach remains weakly affected by the degree contamination.
- [hal-05189756] Gouvernance participative et planification du transport ferroviaire : quels enjeux pour les SERM ?7 octobre 2026La gouvernance participative, perçue comme levier clé pour orienter et légitimer l’action publique en matière d’aménagement et de mobilité, est au cœur des projets français de Services express régionaux métropolitains (SERM). Pourtant, leurs spécificités – servicielle, multimodale, multiéchelle et multiacteur – complexifient leur planification, sans qu’un cadre théorique ou opérationnel soit clairement établi. Cet article éclaire ces enjeux par une revue critique des approches participatives dans la planification du transport ferroviaire, qu’elles soient obligatoires ou facultatives. Il s’appuie aussi sur une analyse fine du SERM Clermont-Auvergne, où focus groups et outils cartographiques sont évalués pour leurs apports à la co-conception. Notre revue montre que les démarches participatives pour la planification d’infrastructures restent souvent cantonnées à une information descendante, moyennant une faible articulation avec l’ingénierie de projet. Les démarches volontaires pour la planification de services semblent mieux adaptées mais sont rares. Pour les projets de type SERM, malgré des outils plus appropriés pour saisir les logiques de services et la complexité territoriale, la participation reste hétérogène et peu intégrée aux décisions. L’étude de cas souligne l’intérêt d’une démarche anticipée, progressive et visuelle, favorisant l’itération, la compréhension des enjeux et la co-construction des propositions. Elle révèle aussi les limites persistantes des démarches innovantes de géo-gouvernance freinant la co-conception : déficit d’inclusion, faible appropriation et manque de cadrage méthodologique. Les recommandations proposées visent à structurer une méthode participative active, reproductible et adaptée aux planifications multicritères de services complexes comme les SERM, dans une dynamique de fertilisation croisée entre recherche et action pour concrétiser l’ambition participative.
- [hal-01616147] fitdistrplus : An R Package for Fitting Distributions11 octobre 2024The package fitdistrplus provides functions for fitting univariate distributions to different types of data (continuous censored or non-censored data and discrete data) and allowing different estimation methods (maximum likelihood, moment matching, quantile matching and maximum goodness-of-fit estimation). Outputs of fitdist and fitdistcens functions are S3 objects, for which specific methods are provided, including summary, plot and quantile. This package also provides various functions to compare the fit of several distributions to the same data set and can handle to bootstrap parameter estimates. Detailed examples are given in food risk assessment, ecotoxicology and insurance contexts.
- [hal-03883673] Predicted Impacts of Booster, Immunity Decline, Vaccination Strategies, and Non-Pharmaceutical Interventions on COVID-19 Outcomes in France6 décembre 2022The major economic and health consequences of COVID-19 called for various protective measures and mass vaccination campaigns. A previsional model was used to predict the future impacts of various measure combinations on COVID-19 mortality over a 400-day period in France. Calibrated on previous national hospitalization and mortality data, an agent-based epidemiological model was used to predict individual and combined effects of booster doses, vaccination of refractory adults, and vaccination of children, according to infection severity, immunity waning, and graded non-pharmaceutical interventions (NPIs). Assuming a 1.5 hospitalization hazard ratio and rapid immunity waning, booster doses would reduce COVID-19-related deaths by 50–70% with intensive NPIs and 93% with moderate NPIs. Vaccination of initially-refractory adults or children ≥5 years would half the number of deaths whatever the infection severity or degree of immunity waning. Assuming a 1.5 hospitalization hazard ratio, rapid immunity waning, moderate NPIs and booster doses, vaccinating children ≥12 years, ≥5 years, and ≥6 months would result in 6212, 3084, and 3018 deaths, respectively (vs. 87,552, 64,002, and 48,954 deaths without booster, respectively). In the same conditions, deaths would be 2696 if all adults and children ≥12 years were vaccinated and 2606 if all adults and children ≥6 months were vaccinated (vs. 11,404 and 3624 without booster, respectively). The model dealt successfully with single measures or complex combinations. It can help choosing them according to future epidemic features, vaccination extensions, and population immune status.
- [hal-03482342] Expected Evolution of COVID-19 Epidemic in France for Several Combinations of Vaccination Strategies and Barrier Measures6 décembre 2022The outbreak of the SARS-CoV-2 virus, enhanced by rapid spreads of variants, has caused a major international health crisis, with serious public health and economic consequences. An agent-based model was designed to simulate the evolution of the epidemic in France over 2021 and the first six months of 2022. The study compares the efficiencies of four theoretical vaccination campaigns (over 6, 9, 12, and 18 months), combined with various non-pharmaceutical interventions. In France, with the emergence of the Alpha variant, without vaccination and despite strict barrier measures, more than 600,000 deaths would be observed. An efficient vaccination campaign (i.e., total coverage of the French population) over six months would divide the death toll by 10. A vaccination campaign of 12, instead of 6, months would slightly increase the disease-related mortality (+6%) but require a 77% increase in ICU bed–days. A campaign over 18 months would increase the disease-related mortality by 17% and require a 244% increase in ICU bed–days. Thus, it seems mandatory to vaccinate the highest possible percentage of the population within 12, or better yet, 9 months. The race against the epidemic and virus variants is really a matter of vaccination strategy.
- [hal-02277020] Asymptotic Domination of Sample Maxima3 septembre 2019For a given random sample from some underlying multivariate distribution F we consider the domination of the component-wise maxima by some independent random vector W with underlying distribution function G. We show that the probability that certain components of the sample maxima are dominated by the corresponding components of W can be approximated under the assumptions that both F and G are in the max-domain of attraction of some max-stable distribution function F and G, respectively. We study further some basic properties of the dominated components of sample maxima by W .