Publications du Laboratoire SAF

Publications antérieures ou hors HAL :

2017

Boulier J.F., Brexit, an un, paru dans Option Finance, Mai 2017


Boulier J.F., Quelle nouvelle crise nous menace, et comment s'en prémunir ?, paru dans Gestion de Fortune, Juin 2017

Boulier J.F., M&M, paru dans Option Finance le 19 juin 2017

Boulier J.F., Chronique d'une très grande crise (couverture), aux éditions MA éditions - ESKA, Avril 2017

Boulier J.F., Long Term Savings Performances: The 40 year track record of Afer funds, paru dans Bankers, Markets & Investors n°146 (janvier-février 2017)

Viot C, Benraïss-Noailles L (2017), Qu’en est-il de l’attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur, Revue Française de Gestion, Numéro spécial Low cost, (accepté le 29 mai 2017), à paraître

2016

Boulier J.F., Les frontières seront-elles efficientes ? , paru dans Risques n°108 (décembre 2016)


Boulier J.F., Brexit et conséquences, paru dans Option Finance (Octobre 2016)

Boulier J.F., Fierté française, paru dans Le Revenu (Septembre 2016)

2015

Decision thresholds and changes in risk for preventive treatment
Health Economics, DOI: 10.1002/hec.3127.
C. COURBAGE, B. REY

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

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

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

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

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

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

A paraitre

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

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

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

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

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

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

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

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

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

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

Viot C. (2015), Le dialogue marque-client : une réalité ? La revue des marques, n° 82, Octobre, 58-62.

Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.

Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, J. Tomas. [2014c] Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat, vol. 14, n°27.

Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin 

Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents - Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, 13(27), 5-28.Q. Guibert, M. Juillard, T-O. Nteukam, F. Planchet. (2014) Solvabilité Prospective en Assurance -Méthodes quantitatives pour l'ORSA, Paris : Economica.

F. Planchet, J. Tomas. (2014b) Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal, Volume 4, Issue 2, pp 247-279, doi: 10.1007/s13385-014-0095-y.

F. Planchet, J. Tomas. (2014a) Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal, doi: 10.1080/03461238.2014.925496.

F. Bonnin, M. Juillard, F. Planchet. (2014) Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z

Properties of a risk measure derived from the expected area in red
Insurance : Mathematics and Economics, Vol.55, 191-199
S. LOISEL, J. TRUFIN

Benchmark values for higher order coefficients of relative risk aversion,
Theory and Decision, Vol.76, 81-94.
M. DENUIT, B. REY

Some characteristics of an equity security next-year impairment,
Review of Quantitative Finance and Accounting, february, 1-25.
J.AZZAZ, S.LOISEL, P.THEROND

A survey of some recent results on Risk Theory,
ESAIM Proceedings, 44, 322-337.
F.AVRAM, R. BIARD, Ch. DUTANG, S. LOISEL, L. RABEHASAINA

A paraitre
Convex extrema for nonincreasing discrete distributions : effects of convexity constaints, JMAA.
M.KACEM, C.LEFEVRE, S.LOISEL (2014)

Risk indicators with several lines of business : comparison, asymptotic behavior and applications to optimal reserve allocation, annales de l’ISUP
P.CENAC, S.LOISEL, V.MAUME-DESCHAMPS, C.PRIEUR (2014)

Ruin problems with worsening risks or with infinite mean claims, Stochastic models.
D.KORTSCHAK, S.LOISEL, P.RIBEREAU (2014)

F. Bonnin, A. De Clermont-Tonnerre, F. Planchet, D. Sapone, M. Tammar. (2014) Valeur économique de dettes subordonnées pour des sociétés non-vie, Les cahiers de recherche de l’ISFA, n° 2014.15.

Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on Aalen Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance, Les cahiers de recherche de l’ISFA, n°2014.14.

Y. Laïdy, F. Planchet. (2014) Calibrating LMN Model to Compute Best Estimates in Life Insurance, Les cahiers de recherche de l’ISFA, n°2014.13.

T. O. Nteukam, F. Planchet, J. Ren. (2014) Internal Model in Life insurance: Application of Least Square Monte-Carlo in Risk Assessment, Les cahiers de recherche de l’ISFA, n°2014.12.

H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks : The Longevity Nominal Choosing Swaptions, en révision à IME.

Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on AalenJohansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance. Soumis Life Time Data Analysis. 

Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.

Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.


2013 

The « A+B/u » rule for discrete and continuous time risk models with dependence,
Insurance : Mathematics and Economics, 53, issue 3, 774-785.
Ch. DUTANG, C. LEFEVRE, S. LOISEL

On multiply monotone distributions, continuous or discrete, with applications,
Journal of Applied Probability, 50(3), 603-907.
C. LEFEVRE, S. LOISEL

Impact of climate change on heat wave risks,
Risks, 1(3), 176-191
R.BIARD, C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, S.LOISEL

On certain transformations of Archimedean copulas : Application to the non-parametric estimation of their generators,
Dependence Modeling, Vol.1, 1-36
E. DI BERNARDINO, D.RULLIERE

Another look at risk apportionment,
Journal of Mathematical Economics, 49, 335-343.
M. DENUIT, B. REY

On multivariate extensions of value-at-risk,
Journal of multivariate analysis, 119, 32-46.
A. COUSIN, E. DI BERNARDINO

On finite-time ruin probabilities with dependence between reinsurance cycles and the claim arrival process,
Scandinavian Actuarial Journal, Vol. 2013, Issue 3, 163-185.
M. BARGES, S. LOISEL & X. VENEL

The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCAILLET, D. DOROBANTU, D. RULLIERE

Solvency assessment within the ORSA framework : issues and quantitative methodologies,
Bulletin Français d’Actuariat, Vol.13, n°25, janvier-juin, 35-71.
L. DEVINEAU, J. VEDANI

An extension of Davis and Lo’s contagion model,
Quantitative Finance, vol.13, 3, 407-420, (DOI) 10.1080/14697688.2012.727015.
A. COUSIN, D. DOROBANTU, D. RULLIÈRE

The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCALLIET, D. DOROBANTU, D. RULLIÈRE

Exploring or reducing noise? A global optimization algorithm in the presence of noise,
Structural and Multidisciplinary Optimization, vol.47, 6, 921-936, (DOI) 10.1007/s00158-012-0874-5.
D. RULLIERE, A. FALEH, F. PLANCHET, W. YOUSSEF

Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory,
Insurance: Mathematics and Economics, Vol.53(1), 190-205.
E. DI BERNARDINO, D. RULLIERE

L’évaluation du travail dans les établissements de santé publics : déstabilisation des acteurs et remise en question des valeurs,
Entreprises et Humanisme, n°309, 16p.
S.BERTEZENE, B. DUBRION

Moderniser les pratiques d’évaluation du travail dans la fonction publique : analyse exploratoire du cas d’un hôpital public,
Formation Emploi, Vol.1, n°121, 83-105.
S.BERTEZENE, B. DUBRION

Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social,
Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE

Cost effectiveness of pegfilgrastrim versus filgrastim after high-dose chemotherapy and autologous stem cell transplantation in patients with lymphoma and myeloma (an economic evaluation of the PALM Trial),
Applied Health Economics and Health Policy, (DOI) 10.1007/s40258-013-0011-7.
L. PERRIER, A. LEFRANC, D. PROL, P. QUITTET, A. SCHMIDT-TANGUY, C. SIANI, C. DE PERETTI

Quadratic hedging : an actuarial view extended to solvency control,
European Actuarial Journal, (DOI) 10.1007/s13385-013-0066-8.
R. NORBERG

Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, Vol.17, 197-222, (DOI) 10.1008/s00780-012-0182-3.
R. NORBERG

Some new classes of stationary max-stable random fields,
Statistics and Probability Letters, 83, 1496-1503.
C. ROBERT

Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustements,
Bulletin Français d’Actuariat, Vol.13, n°25, 73-102.
J. TRUFIN, S. LOISEL

Competition among non-life insurers under solvency constraints : a game-theoretic approach,
European Journal of Operational Research, 31(3), 702-711.
C. DUTANG, H. ALBRECHER, S. LOISEL

A paraitre

The bottom-up top-down puzzle solved, CreditFlux.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)

Dynamic hedging of portfolio credit risk in a Markov copula model, forthcoming in Journal of Optimization Theory and Applications.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)

A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries, accepted for publication in Communiction in Statistics – Theory and methods.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)

Some mixing properties of conditionally mixing processes, accepted, to appear in Communication in Statistics : Theory and methods.
M. KACEM, S. LOISEL, V. MAUME-DESCHAMPS (2013)

Estimation of the parameters of a Markov-modulated loss process in insurance, accepted, to appear in Insurance : Mathematics and Economics.
A. GUILLOU, S. LOISEL, G. STUPFLER (2013)

Regards croisés sur les infections nosocomiales : de la responsabilité juridique à l’évaluation des coûts, Droit, Déontologie et Soins, à paraître.
S.BERTEZENE, D. RONDEAU (2013)

Prevention and Precaution, chapter of book, The Handbook of Insurance (édition révisée), Kluwer Academic Publishers, A paraître.
Ch. COURBAGE, B. REY, N. TREICH (2013)

Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social, Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE (2013)

Automatic declustering of rare events, to appear in Biometrika.
C. ROBERT (2013)

Estimating the efficient price from the order flow : a Brownian Cox process approach, to appear in Stocastic Processes and their Applications.
S. DELATTRE, C. ROBERT, M. ROSENBAUM (2013)

Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework, to appear in Insurance : Mathematics and Economics.
C. ROBERT (2013)

On multiply monotone distributions, continuous or discrete, with applications, accepted, to appear in Journal of Applied Probability.
C. LEFEVRE, S. LOISEL (2013)

Quels sont les effets des pédagogies actives dans l’apprentissage de l’entrepreunariat ? Etude des changements de perceptions des élèves ingénieurs et managers à l’issue de la formation M.I.M.E (Méthode d’Initiation au Métier d’Entrepreneur), La revue de l’Entrepreneuriat, A paraître.
M. SALGADO, O. TOUTAIN (2013)
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb and face-to-face in travel surveys : comparability, challenges,
Transportation, 1-25
C. BAYART, P. BONNEL

Delta-Hedging Correlation Risk ?
Review of Derivatives Research, 15(1), 25-56
A. COUSIN, S. CREPEY & Y. HANG KAN

Understanding, modelling and managing longevity risk : key issues and main challenges,
Scandinavian Actuarial Journal, Vol. 2012, n°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI

Iterative adjustment of survival functions by compositions of probability distortions,
The Geneva Risk and Insurance Review, 37, 156-179, (DOI) 10.1057/grir.2011.7.
A. BIENVENÜE, D. RULLIÈRE

The effect of derivative instrument use on capital market risk : evidence from banks in developed and emerging countries,
Frontiers in Finance and Economics, Vol.9, n°2, 85-121.
M.R. KEFFALA, C. DE PERETTI, C.Y. CHAN

Corporate Governance and Voluntary Recognition of ESOs Expenses,
The Empirical Economics Letters, Vol.11, n°5.
C.Y. CHAN, S.L. SU, C. DE PERETTI

La confiance, levier de l’engagement dans les PME en forte croissance,
Revue Française de Gestion, Vol.5, n°224, 65-84.
E. BELLIATO, C. CHAMPAGNE DE LABRIOLLE, I. PRIM-ALLAZ, M. SEVILLE

On relative and partial risk attitudes : theory and implications,
Economic Theory, 50, 151-167.
W.H. CHIU, L. EECKHOUDT, B. REY

Intérêt du modèle « Hurdle » pour la comparaison des comportements de mobilité déclarée dans un protocole d’enquête mixte,
Recherche Transports Sécurité, 28, 33-45.
C. BAYART, P. BONNEL

Optimal stopping for Markov processes and decreasing affine functions, Romanian
Journal of Pure and Applied Mathematics, 56, 4, 283-294.
D. DOROBANTU

Empirical Test of the Efficiency of the UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach,
Journal of Empirical Finance, Volume 19, Issue 1, January, 162-174. Impact Factor: 0.807. Social Science Research Network Working Paper Series 1546355.
C.Y. CHAN, C. DE PERETTI, Z. QIAO, W.K. WONG

Stochastic and Tychastic Approaches to Guaranteed ALM Problem,
Bulletin Français d’Actuariat, vol. 12, n°23.
J.P. AUBIN, L. CHEN, O. DORDAN, A. FALEH, G. LEZAN, F. PLANCHET

Pricing of Parisian options for a jumpdiffusion model with two-sided jumps,
Applied Mathematical Finance, 19(2), 97-129.
H. ALBRECHER, D. KORTSCHAK, X. ZHOU

On semiparametric estimation of ruin probabilities in the classical risk model,
Scandinavian Actuarial Journal, 1-26, iFirst article.
E. MASIELLO

Priority setting in health care and higher order degree change in risk,
Journal of Health Economics, 31, 484-489.
C. COURBAGE, B. REY

Optimal prevention and other risks in a two-period model,
Mathematical Social Sciences, 63, 213-217.
C. COURBAGE, B. REY

A quadratic hedging approach to comparison of catastrophe indices, International,
Journal of Theoretical and Applied Finance, Vol.15, Issue 4, (DOI) 10.1142/s0219024912500306.
R. NORBERG, O. SAVINA

Risk and insurability of storm damages to residential buildings in Austria,
The Geneva Papers on Risk and Insurance - Issues and Practice.
F. PRETTENTHLER, H. ALBRECHER, J. KOBERL, D. KORTSCHAK

Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, (DOI) 10.1007/s00780-012-0182-3.
R. NORBERG

Risk processes with dependence and premium adjusted to solvency targets.
European Actuarial Journal, Vol.2, Issue 1, 1-20 (DOI) 10.1007/s13385-012-0046-4.
C. CONSTANTINESCU, V. MAUME-DESCHAMPS, R. NORBERG

Some multivariate risk indicators ; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm,
Statistics and Risk Modeling, 29 (1), 47-71.
P. CENAC, C. PRIEUR, V. MAUME-DESCHAMPS

A paraitre

Présentation du marché de l'assurance vie en Afrique subsaharienne francophone, Assurances et gestion des risques, A paraître.
A. KAMEGA, F. PLANCHET (2012)

Quadratic Hedging by an Influent Informed Investor, à paraître dans Stochastics : An International Journal of Probability and Stochastic Processes.
A. EYRAUD-LOISEL (2012)

Are Fieller and bootstrap methods really equivalent for calculating confidence regions for ratios: an application to the MPIS data, Health; Decision and Management, à paraître.
C. SIANI, C. DE PERETTI (2012)

Understanding, modelling and managing longevity risk : key issues and main challenges, Scandinavian Actuarial Journal, Vol. 2012, N°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI (2012)

A bottom-up dynamic model of portfolio credit risk, Part I : Markov copula perspective, forthcoming in recent advances in financial engineering – World scientific.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)

A bottom-up dynamic model of portfolio credit risk, Part II : common-shock interpretation, calibration and hedging issues, forthcoming in recent advances in financial engineering – world scientific
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)

Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.

Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.

Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.

Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.

Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.

Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.



2011

Subsampling weakly dependent times series and application to extremes,
Test, 20, 499-502.
P. DOUKHAN, S. PROHL & C. ROBERT

Risk models based on time series for count random variables
Insurance : Mathematics and Economics, 48, 19–28.
H. COSSETTE, E. MARCEAU, F. TOUREILLE

A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones.
Journal of Financial Econometrics, 9, 344-366.
C. ROBERT, M. ROSENBAUM (2011)

Comment mettre œuvre un ‘encadrement’ plus éthique des personnes âgées au sein des établissements médico-sociaux ?,
Forum, n°134, décembre, 14p.
S. BERTEZENE

Quality and non-quality in the health sector,
Sinergie, n°85/11, 16 p. pp. 15-31.
S. BERTEZENE, J. MARTIN

Note of caution when interpreting parameters of the distribution of excesses,
Water Resources, 34, 1215–1221.
P. RIBEREAU, P. NAVEAU, A. GUILLOU


Quelle structure de dépendance pour un générateur de scénarios économiques en assurance ?,
Bulletin Français d’Actuariat, vol. 11, n°22.
K. ARMEL, F. PLANCHET, A. KAMEGA

Is the consumption-income ratio stationary ? Evidence from a non-linear panel unit root test for OECD and non-OECD countries, Manchester School, forthcoming,
Impact Factor, 0.333.
C. STUWART, M. CERRATO, C. DE PERETTI

Polynomial structures in rank statistics distributions,
Journal of Statistical Planning and Inference, 141, 1380-1393.
C. LEFEVRE, P. PICARD

Option Hedging by an Influential Informed Investor,
Applied Stochastic Models in Business and Industry, 27, 707-722.
A. EYRAUD-LOISEL

Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, volume 11, Issue 12, 1773-1791.
A.COUSIN, J.P. LAURENT, J.D. FERMANIAN

Model risk and determination of economic capital in the Solvency 2 project,
International Review of Applied Financial Issues and Economics, Vol. 3, Issue 2. 
F. PLANCHET, P. THÉROND

Hétérogénéité : mesure du risque d'estimation dans le cas d’une modélisation intégrant des facteurs observables,
Bulletin Français d’Actuariat, vol. 11, n°21. 
A. KAMEGA, F. PLANCHET

Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee,
Insurance: Mathematics and Economics, Volume 48, Issue 2, pp. 161-175.
T.O. NTEUKAM, F. PLANCHET, P. THÉROND

Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Mangement,
European Actuarial Journal, Vol. 1, 131-157.
M. CHAUVIGNY, L. DEVINEAU, S. LOISEL, V. MAUME-DESCHAMPS

First passage time law for some Lévy processes with compound Poisson : Existence of a density,
Bernoulli 17(4), 1127-1135.
L. COUTIN, D. DOROBANTU

A propos de la tempérance,
Revue Economique, Vol. 62, 751-764.
D. CRAINICH, L. EECKHOUDT, B. REY

Risk vulnerability: a graphical interpretation,
Theory and Decision, 71, 227-234.
L. EECKHOUDT, B. REY

Transparency matters: Price formation in presence of order preferencing,
Journal of Financial Markets, 14, 227-258.
L. LESCOURRET, C. ROBERT

Surrender triggers in life insurance : classification and risk predictions,
Bulletin Français d’Actuariat, 11 (22), 5-48.
X. MILHAUD, S. LOISEL, V. MAUME-DESCHAMPS

Impacts of jumps and stochastic interest rates on the fair costs of guaranteed minimum death benefit contracts,
The Geneva Risk and Insurance Review, 36, 51-73.
F. QUITTARD-PINON, R. RANDRIANARIVONY

A new approach for the dynamics of ultra high frequency data : the model with uncertainty zones,
Journal of Financial Econometrics, 9(2), 344-366,
C. ROBERT, M. ROSENBAUM

Tous sur scène ! Comment le théâtre peut-il aider à former les cadres ?
Gestion, Volume 35/Numéro 4.
M. SALGADO

Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings,
Applied Stochastic Models in Business and Industry, 27, 503-518.
R. BIARD, C. LEFEVRE, S. LOISEL, H.N. NAGARAJA

Adjustment coefficient for risk processes in some dependent contexts,
Methodology and Computing in Applied Probability, 13 (4), 695-721.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS

A paraitre

From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital, to appear in European Journal of Operational Research.
S. LOISEL, X. MILHAUD (2011)

Second order tail asymptotics for the sum of dependent, tailindependent regularly varying risks, Accepted: Extremes.
D. KORTSCHAK (2011)

Explicit ruin formulas for models with dependence among risks, to appear in Insurance : Mathematics and Economics.
H. ALBRECHER, C. CONSTANTINESCU, S. LOISEL (2011)

Moments of a compound Poisson models with dependence based on the FGM copula and discounted claims, to appear in ASTIN Bulletin.
M. BARGES, H. COSSETTE, S. LOISEL, E. MARCEAU (2011)

Iterative adjustment of survival functions by compositions of probability distortions, to appear in Geneva Risk and Insurance Review.
A. BIENVENUE, D. RULLIERE (2011)

Ruin probabilities in models with a Markov chain dependence structure, Accepted: Scandinavian Actuarial Journal.
C. CONSTANTINESCU, D. KORTSCHAK, V. MAUME-DESCHAMPS (2011)

Plug-in estimation of level sets in a non compact setting with applications in multivariate risk theory. accepté pour publication à ESAIM P&S.
E. DI BERNARDINO, T. LALOE, V. MAUME-DESCHAMPS, C. PRIEUR (2011)

Viot C. (2011), Can brand identity predict brand extension’s success or failure? Journal of Product & Brand Management, 20, 3, 216-227.

2010

Exchange Option when One Underlying Can Jump,
Finance, vol 31, N°1/2010, 33-53.
F. QUITTARD-PINON, R. RANDRIANARIVONY

Protection of Life Insurance Companies in a Market-based Framework,
North American Actuarial Journal, vol 14, N° 1, 131-151.
F. QUITTARD-PINON, C. BERNARD, O. LE COURTOIS

Fair costs of guaranteed minimum death benefit contracts,
Mathematical and Statistical Methods for Actuarial Sciences and Finance, M. Corraza and C. Pizzi Eds, Springer Verlag, 283-293.
F. QUITTARD-PINON, R. RANDRIANARIVONY


Enquête déplacements web – face-à-face : quelle comparabilité ?,
Cahiers Scientifiques du Transport, 57, 141-167.
C. BAYART, P. BONNEL

Le potentiel du web pour les enquêtes de mobilité,
Courrier des Statistiques, 129, 6p.
C. BAYART, P. BONNEL

L’impact du mode d’enquête sur la mesure des comportements de mobilité,
Economie et Statistique, n° 437.
C. BAYART, P. BONNEL

Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes,
Journal of Mathematical Analysis and Applications, Vol. 367(2), 535-549.
R. BIARD, S. LOISEL, C. MACCI, N. VERAVERBEKE

Nonparametric statistical analysis of an upper bound of the ruin probability under large claims,
Extrêmes, Vol. 13, n° 4, 439-461.
P.L. CONTI, E. MASIELLO

Applications de techniques stochastiques pour l'analyse prospective de l'impact comptable du risque de taux,
Bulletin Français d’Actuariat, vol. 11, n°21. 
F. BONNIN, F. PLANCHET, M. JUILLARD

La mesure du prix de marché du risque : quels outils pour une utilisation dans les modèles en assurance ?
Assurances et gestion des risques, Vol.78 (3/4). 
A. CAJA, F. PLANCHET

Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité. Assurances et gestion des risques,
Insurance and Risk Management Journal, Montreal, Vol.78, 1-2.
A. FALEH, F. PLANCHET, D. RULLIERE

On the efficient evaluation of ruin probabilities for completely monotone claim size distributions,
Journal of Computational and Applied Mathematics, 233(10), 2724-2736.
H. ALBRECHER, F. AVRAM, D. KORTSCHAK

An asymptotic expansion for the tail of compound sums of Burr distributed random variables,
Statistics and Probability Letters, 80(78), 612-620.
D. KORTSCHAK, H. ALBRECHER

Quasi-Monte Carlo Techniques and Rare Event Sampling.Schweiz,
Aktuarver, Mitt., (1-2), 56-70.
J. HARTINGER, D. KORTSCHAK

Higher order expansions for compound distributions and ruin probabilities with subexponential claims,
Scandinavian Actuarial Journal, 110(2), 105-135.
H. ALBRECHER, C. HIPP, D. KORTSCHAK

Discrete-time risk models based on time series for count random variables,
Astin Bulletin, 40(1), 123-150.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS

On non-monetary measures in the face of risks and the sign of the derivatives,
Bulletin of Economic Research, 62, 295-304.
C. COURBAGE, B. REY

Some consequences of correlation aversion in decision science,
Annals of Operations Research, 176, 259-269.
M. DENUIT, L. EECKHOUDT, B. REY

Prudence, temperance, edginess and risk apportionment as decreasing sensitivity to detrimental changes,
Mathematical Social Sciences, Vol. 60, 137-143.
M. DENUIT, B. REY

L’horizon temporel dans Solvabilité 2,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 43-62.
A. DERIEN

Testing the type of a semi-martingale: Ito against multifractal,
Electronic Journal of Statistics, 4, 1300-1323.
L. DUVERNET, C. ROBERT, M. ROSENBAUM

Graphical methods for investigating the finite-sample properties of confidence regions,
Computational Statistics and Data Analysis, 54, 262-271.
C. DE PERETTI, C. SIANI

Credit risk premia and quadratic BSDEs with a single jump,
International Journal of Theoretical and Applied Finance, 13, 1103-1129.
S. ANKIRCHNER, A. EYRAUD-LOISEL, M. ROYER-CARENZI

BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider,
Random Operators and Stochastic Equations, Volume 18, Issue 2, 141-163.
A. EYRAUD-LOISEL, M. ROYER-CARENZI

Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, 1-19.
J-P. LAURENT, A. COUSIN, J-D. FERMANIAN

Stationary-excess operator and convex stochastic orders,
Insurance : Mathematics and Economics, Vol. 47, 64-75.
C. LEFEVRE, S. LOISEL

Preserving preference rankings under non financial background risk,
Journal of the Operational Research Society, 61, 1302-1308.
Y. MALEVERGNE, B. REY

Les comportements de rachat en assurance vie en regime de croisière et en période de crise,
Risques, n° 83, Septembre.
X. MILHAUD, M.P. GONON, S. LOISEL

Approximations comonotones pour le prix d’une option d’achat Européenne en présence de dividendes discrets,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 5-42.
P.A. PATARD, J.C. AUGROS

On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring,
Statistics and Probability Letters, 80, 134-142.
C. ROBERT

On the microstructural hedging error. SIAM
Journal of Financial Mathematics, 1, 427-453.
C. ROBERT, M. ROSENBAUM

On the limiting spectral distribution of the covariance matrices of time-lagged processes,
Journal of Multivariate Analysis, 101, 2434-2451.
C. ROBERT, M. ROSENBAUM


A paraitre
Hedging of defaultable contingent claims using BSDE with uncertain time horizon, Bulletin Français d’Actuariat, à paraître.
C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, M. ROYER-CARENZI (2010)

2009

Asymptotic results for the sum of dependent non-identically distributed random variables,
Methodology and Computing in Applied Probability, 11, 279-306.
D. KORTSCHAK, H. ALBRECHER

On ruin probability and aggregate claim representations for Pareto claim size distributions,
Insurance: Mathematics and Economics, 45(3): 362-373.
H. ALBRECHER, D. KORTSCHAK

On the efficiency of the Asmussen-Kroeseestimators and its application to stop-loss transforms Blatter DGVFM 30(2), 363-377.
J. HARTINGER, D. KORTSCHAK

Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied Probability, 11, 425-441.
C. LEFEVRE, S. LOISEL

TVaR-based capital allocation with copulas,
Insurance : Mathematics and Economics, Vol. 45, 348-361.
M. BARGES, H. COSSETTE, E. MARCEAU

Mastering performance through quality and networking, Total Quality,
Management, Vol. 21, n°4, pp.413-428.
S. BERTEZENE, J. MARTIN

Maîtriser la performance par la qualité et l'organisation réticulaire: l'exemple des établissements médico-sociaux,
Revue Marocaine de Commerce et de Gestion.
S. BERTEZENE, J. MARTIN

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework,
Journal of Derivatives, Vol. 16, n°4, 9-37.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT

Regularity of the Euclid algorithm, application to the analysis of fast GCD algorithm,
Journal of Symbolic Computation, 44, n°7, 726-767.
E. CESARATTO, J. CLEMENT, B. DAIREAUX, L. LHOTE, V. MAUME-DESCHAMPS, B. VALLEE

Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula ?
Bulletin Français d’Actuariat, Vol. 9, n° 18, 107-145.
L. DEVINEAU, S. LOISEL

Construction d’un algorithme d’accélération de la méthode des « simulations dans les simulations » pour le calcul du capital économique Solvabilité II,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 189-222.
L. DEVINEAU, S. LOISEL

Optimal strategies in a risky debt context,
An International Journal of Probability and Stochastics Processes, Vol. 81, Nos. 3-4,269-277.
D. DOROBANTU, M. MANCINO, M. PONTIER

Mesure des risques de marché et de souscription vie en situation d’information incomplète pour un portefeuille de prévoyance,
Bulletin Français d’Actuariat, Vol. 9, n° 18, 79-105.
J.P. FELIX, F. PLANCHET

Estimating Copula Densities through Wavelets,
Insurance: Mathematics and Economics, 44, 170-181.
C. GENEST, E. MASIELLO, K. TRIBOULAY

A strong hysteretic model for Okun’s law: theory and preliminary investigation,
International Review of Applied Economics, Vol. 3, Issue 4, July 2009, 445-462.
D. LANG, C. DE PERETTI

Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied probability, Vol. 11, n° 3, 425-441.
C. LEFEVRE, S. LOISEL

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,
Insurance: Mathematics and Economics, Vol. 45, Issue 3, 374-381.
S. LOISEL, C. MAZZA, D. RULLIERE

Sensitivity analysis and density estimation for finite-time ruin probabilities,
Journal of Computational and Applied Mathematics, Vol. 230, n° 1, 107-120.
S. LOISEL, N. PRIVAULT

On cross risk vulnerability,
Insurance: Mathematics and Economics, Vol. 45, 224-229.
Y. MALEVERGNE, B. REY

Rentes en cours de service : un nouveau critère d'allocation d'actif,
Bulletin Français d'Actuariat, Vol. 9, n° 17, 37-69.
F. PLANCHET, P. THEROND

Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution,
Journal of Statistical Planning and Inference, 139, 3288-3309.
C. ROBERT

Inference for the limiting cluster size distribution of extreme values,
The Annals of Statistics, 37, 271-310.
C. ROBERT

A sliding blocks estimator for the extremal index,
Electronic Journal of Statistics, 3, 993–1020.
C. ROBERT, J. SEGERS, C. FERRO

Tourism destination competitiveness: The french regions case,
European Journal of Tourism Research, Vol.2, No.2.
E. ROBINOT, L. BOTTI, N. PEYPOCH, B. SOLONANDRASANA

Les jeux d'entreprises : un outil de formation au management,
Revue Éducation Permanente, n° 178/2009-1, 143-150.
M. SALGADO

Gestion stratégique d’un fonds de pension en temps continu,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 110-153.
M. TALFI

2008

On finite-time ruin probabilities for classical risk models,
Scandinavian Actuarial Journal 1, 41-60.
C. LEFEVRE, S. LOISEL

Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationary assumptions are relaxed,
Insurance: Mathematics and Economics, 43, 412-421.
R. BIARD, C. LEFEVRE, S. LOISEL

Spectral risk measures and portfolio selection,
Journal of Banking and Finance, Vol. 32, n°9, 1870-1882.
A. ADAM, M. HOUKARI, J-P. LAURENT

Pricing derivatives with barriers in a stochastic interest rate environment,
Journal of Economic Dynamics and Control, 32, 2903-2938.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON

On the willingness to pay to reduce risks of small losses,
Journal of Economics, 95, 75-82.
C. COURBAGE, B. REY

Comparison results for exchangeable credit risk portfolios,
Insurance: Mathematics and Economics, Vol. 42, n°3, 1118-1127.
A. COUSIN, J-P. LAURENT

Actuar : An R Package for Actuarial Science,
Journal of Statistical Software, Volume 25, Issue 7.
C. DUTANG, V. GOULET, M. PIGEON

Fair valuation of participating life insurance contracts with jumps risk,
The Geneva Review on Risk and Insurance Theory, Vol. 33, 106-136.
O. LE COURTOIS, F. QUITTARD-PINON

On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level,
Bulletin Français d'Actuariat, No. 15, Vol. 9.
W. FISHER, S. LOISEL, S. WANG

Mortality fluctuations modelling with a shared frailty approach,
Life & Pensions, octobre, 39-44.
S. FULLA, J-P. LAURENT

Exponential inequalities for VLMC empirical trees. ESAIM Prob. Stat., 12, 119-229.
A. GALVES, V. MAUME-DESCHAMPS, B. SCHMITT

The optimal capital structure of the firm with stable Lévy asset returns,
Decisions in Economics and Finance, 31, 51-72.
O. LE COURTOIS, F. QUITTARD-PINON

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin,
Insurance: Mathematics and Economics, Volume 42, Issue 2, April, 746-762.
S. LOISEL, C. MAZZA, D. RULLIERE

Perturbations extrêmes sur la dérive de mortalité anticipée,
Assurances et Gestion des Risques, Vol. 76(3)
F. PLANCHET, M. JUILLARD, P. THEROND

Valuing Options in Jump Diffusion Models using Generalized Fourier Analysis,
Banque & Marchés, n° 97, novembre-décembre.
F. QUITTARD-PINON, R. RANDRIANANIVONY

Calibrage d’options pour trois modèles mixtes diffusions et sauts,
Revue Finance, vol. 29, n° 2, 103-130.
F. QUITTARD-PINON, R. RANDRIANANIVONY

How to price efficiently European options in some geometric Lévy processes models,
International Journal of Business, vol. 13, n° 4, 301-314.
F. QUITTARD-PINON, R. RANDRIANANIVONY

Tails of random sums of a heavy-tailed number of light-tailed terms,
Insurance: Mathematics and Economics, 43, 85-92.
C. ROBERT, J. SEGERS

Estimating the multivariate extremal index function,
Bernoulli, 14, 1027-1064.
C. ROBERT

Le théâtre, un outil de formation au management,
Revue Française de Gestion, Vol. 34/181, 77-96.
M. SALGADO

IFRS, solvabilité 2, embedded value : quel traitement du risque ?
Bulletin Français d’Actuariat, vol. 8, n° 15, janvier-juin, 67-96.
P. THEROND

2007

Contrôle interne, contrôle externe et qualité : le cas des services et établissements sociaux et médico-sociaux,
Economie et Management, juin, 8 p.
S. BERTEZENE

Comment mesurer l’éthique dans les services et établissements sociaux et médico-sociaux ?
Droit Déontologie et Santé, septembre, 15 p.
S. BERTEZENE, J.J. NILLES

Beyond the Gaussian Copula: Stochastic and Local Correlation,
Journal of Credit Risk, Vol. 3, n°1, 31-62.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT

Precautionary Saving in the Presence of Other Risks,
Economic Theory, 32: 414-424.
C. COURBAGE, B. REY

Negative binomial version of the Lee-Carter model for mortality forecasting,
Applied Stochastic Models in Business and Industry. Volume 23, Issue 5, 385-401.
A. DELWARDE, M. DENUIT, C. PARTRAT

A good sign for multivariate risk taking,
Management Science, 53: 117-124.
L. EECKHOUDT, B. REY, H. SCHLESINGER

Time to ruin, insolvency penalties and dividends in a Markov-modulated multirisk model with common shocks,
Bulletin Français d'Actuariat, No. 14, Vol. 8, 4-24.
S. LOISEL

Outils numériques pour la simulation Monte Carlo des produits dérivés complexes,
Bulletin Français d’Actuariat, vol. 8, n° 14, 74-117.
P.A. PATARD

Construction de tables de mortalité prospectives : le cas des petites populations,
Bulletin Français d'Actuariat, Vol. 7, n° 14, 118-146.
F. PLANCHET, V. LELIEUR

L’utilisation des splines bi-dimensionnels pour l'estimation de lois de maintien en arrêt de travail,
Bulletin Français d’Actuariat, Vol. 7, n° 13.
F. PLANCHET, P. WINTER

Stochastic stability of some state-dependent growth-collapse processes,
Advances in Applied Probability, 39, 1-32.
C. ROBERT

Analysing the performance of bootstrap neural tests for conditional heteroskedascity in ARCH-M models,
Computational Statistics & Data Analysis, Vol. 51, Issue 5, February, 2442-2460.
C. SIANI, C. DE PERETTI

Provisions et capital de solvabilité d'une compagnie d'assurance : méthodologie d'utilisation de Value-at-Risk,
Assurances et Gestion des Risques, Vol. 74 (4).
P. THEROND, F. PLANCHET

2006

A nonhomogeneous risk model for insurance,
Computers and Mathematics with Applications, 51, 325-334.
C. LEFEVRE, Ph. PICARD

Le point sur les options parisiennes et leurs applications,
Banque & Marchés n°82.
C. BERNARD, O. LE COURTOIS

Development and pricing of a new participating contract,
North American Actuarial Journal, 10(4), 179-195.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON

Alternative Risk Measures for Alternative Investments,
Journal of Risk, Vol. 8, n°4, 1-32.
A. CHABAANE, J-P. LAURENT, Y. MALEVERGNE, F. TURPIN

Prudence and optimal prevention for health risks,
Health Economics, Vol 15, n°12, 1323-1327. 
Ch. COURBAGE, B. REY

Decision-making with the incremental cost-effectiveness ratio under uncertainty, Health and System Science, SAS - 9/2006, Information decision patient, 111-145.
C. DE PERETTI, C. SIANI

Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model, Asia-Pacific 
Financial Markets, 13, 11- 39.
O. LE COURTOIS, F. QUITTARD-PINON

Extreme dependence of multivariate catastrophic losses,
Scandinavian Actuarial Journal, 2006-4, 203-225.
L. LESCOURRET, C. ROBERT

On the pricing of power and other polynomial options,
Journal of Derivatives, Vol. 13, n°4: 61-71. 
S. MACOVSCHI, F. QUITTARD-PINON

On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns,
Applied Financial Economics, Vol. 16, n° 3, 271 – 289.
Y. MALEVERGNE, V. PISARENKO, D. SORNETTE

Exponential inequalities and functional estimations for weak dependent data; applications to dynamical systems,
Stochastics and Dynamics, 6, no. 4, 535-560.
V. MAUME-DESCHAMPS

Exponential inequalities and estimation of conditional probabilities, Lect. notes in Stat.,
Springer, Vol. 187, 123-140.
V. MAUME-DESCHAMPS

Étude du risque systématique de mortalité,
Assurances et Gestion des Risques, Vol. 74 (3). 
F. PLANCHET, L. FAUCILLON, M. JUILLARD

Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes,
Assurances et Gestion des Risques, Vol 75 (3). 
F. PLANCHET, M. JUILLARD

Backward stochastic differential equations with jumps and related non-linear expectations,
Stochastic Processes and Their Applications, Vol. 116, n°10, 1358-1376.
M. ROYER

Fieller's method performance in problematic cases for decision-making,
Health and System Science, SAS - 9/2006, Information decision patient, 205-226.
C. SIANI, C. DE PERETTI

Flux RSS HAL

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    14 décembre 2022
    This paper investigates the impact of transition risk on a firm's low-carbon production. As the world is facing global climate changes, the Intergovernmental Panel on Climate Change (IPCC) has set the idealized carbon-neutral scenario around 2050. In the meantime, many carbon reduction scenarios, known as Shared Socioeconomic Pathways (SSPs) have been proposed in the literature for different production sectors in more comprehensive socioeconomic context. In this paper, we consider, on the one hand, a firm that aims to optimize its emission level under the double objectives of maximizing its production profit and respecting the emission mitigation scenarios. Solving the penalized optimization problem provides the optimal emission according to a given SSP benchmark. On the other hand, such transitions affect the firm's credit risk. We model the default time by using the structural default approach. We are particularly concerned with how the adopted strategies by following different SSPs scenarios may influence the firm's default probability.
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    Dynamic costs arising from the variable impact of information on asset pricing present a challenge for accurate European currency option pricing. The Garman and Kohlhagen model, though influential in the literature, does not adequately account for these costs. This study extends the model by integrating an intensity function into the interest rates to measure dynamic information costs. Inspired by the Beer–Lambert law, the function is applied to a decade-long dataset of daily futures continuous calls on the EUR/USD pair from September 21, 2012, to September 23, 2022. The augmented model reduces pricing errors and manages implied volatility better than the 1983 model, consistent across different categories of maturity and moneyness. Our findings emphasize the need to consider dynamic information costs in asset pricing, demonstrating that their inclusion can significantly enhance the accuracy and reliability of currency option pricing.
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    The goal of this paper is to give recent results in risk theory presented at the Conference "Journée MAS 2012" which took place in Clermont Ferrand. After a brief state of the art on ruin theory, we explore some particular aspects and recent results. One presents matrix exponential approximations of the ruin probability. Then we present asymptotics of the ruin probability based on mixing properties of the claims distribution. Finally, the multivariate case, motivated by reinsurance, is presented and some contemporary results (closed forms and asymptotics) are given.
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  • [hal-01711196] Operational choices for risk aggregation in insurance: PSDization and SCR sensitivity
    16 février 2018
    This paper answers crucial questions about the robustness of the PSDization process for applications in insurance. PSDization refers to the process that forces a matrix to become positive semi-definite. For companies using copulas to aggregate risks in their internal model, PSDization occurs when working with correlation matrices to compute the Solvency Capital Requirement (SCR). We study how classical operational choices concerning the modelling of risk dependence impacts the SCR during PSDization. These operations refer to permutations of risks (or business lines) in the correlation matrix, addition of a new risk, and introduction of confidence weights given to the correlation coefficients. Using genetic algorithms, it is shown that theoretically neutral transformations of the correlation matrix can surprisingly lead to significant sensitivities of the SCR (up to 6%). This highlights the need for a very strong internal control around the PSDization step.
  • [hal-04878795] Transformation digitale et performance des PME : une analyse bibliométrique pour comprendre et agir
    10 janvier 2025
    <div><p>While the academic literature on the digital transformation of companies has grown considerably in recent years, most authors have focused on large companies without taking into account research on small and medium-sized enterprises (SMEs). However, according to the French Ministry of the Economy, SMEs account for 24% of the added value of all French companies and have significant room for improvement in terms of digitalization. Moreover, digital tools seem to play a role in the performance of SMEs. The latter deserve to be analyzed specifically so that their particularities and their own challenges are taken into account, for example, their lack of financial and human resources. We question the existence of a structured research community around digital transformation and SME performance. A bibliometric study (CCA, cocitation analysis; CBA, bibliographic coupling analysis), based on the literature dealing jointly with digital transformation and SME performance, has been conducted. It has three main objectives: to understand how and on what basis the academic literature on the subject was built, to structure the existing research by identifying its contributions but also its limitations and finally, to highlight future research avenues.</p></div>
  • [hal-04476446] The impact of parental benefits on disadvantaged households
    24 février 2024
    Over the past 25 years, the Government of Quebec (Canada) has introduced a number of relatively novel policies aimed at fighting poverty such as the Universal Child Care Program (UCCP) in 1997 and the Quebec Parental Insurance Program (QPIP) in 2006. Since its inception, the QPIP has provided a means‐tested supplementary benefits scheme for disadvantaged households. The scheme yields a well‐defined kink in the benefits schedule with respect to two entirely exogenous criteria. Using the QPIP administrative data files from 2006 to 2017, we estimate the causal impact of the supplemental benefits on leave duration and participation of poor households within a sharp Regression Kink Design (RKD) approach. Our results indicate that single mothers are relatively responsive to additional benefits. Conversely, partnered mothers are not found to respond to the supplemental benefits, irrespective of fathers’ own participation in the parental leave. The Canadian government is currently considering introducing a similar parental leave program. Our results may prove useful for the design of the program.
  • [hal-02940903] Polycentricité et coopération dans la conduite du changement : recherche action dans le milieu sapeur-pompier de la Manche
    13 novembre 2020
    Le management du changement est un thème récurrent en sciences de gestion, explorant la façon dont les organisations s’adaptent aux évolutions internes et externes auxquelles elles sont confrontées. La littérature sur le changement se concentre principalement sur sa conduite, mais documente moins comment la coopération nécessaire aux transformations opère après l’émergence du besoin de changement. Dans cet article, nous démontrons comment une approche polycentrique du management du changement, en facilitant la coopération dans des espaces de débats, favorise la mise en oeuvre d’un changement souhaité par les acteurs d’une organisation. A travers une recherche action portant sur un processus de santé au travail en milieu sapeur-pompier, nous présentons les conditions et les avantages de l’approche polycentrique. Elle permet de concevoir un changement plus large au sein de l’organisation, qui s’inscrit dans une dynamique réflexive quant au système de règles en vigueur dans le quotidien des professionnels.
  • [halshs-00766701] Le théâtre, un outil de formation au management
    18 décembre 2012
    Cette recherche vise à montrer comment le théâtre peut être mis au service du développement des entreprises et des individus qui y travaillent. Elle s'appuie sur l'évaluation d'une action de formation qui a concerné plus de 200 managers, pour s'interroger sur la fonction de management du théâtre, mettre en lumière ses vertus pédagogiques, et analyser le rôle des " acteurs " de l'entreprise à partir de la métaphore du " manager-metteur en scène ".
  • [halshs-00768860] Les jeux d'entreprises : un outil de formation au management
    26 décembre 2012
    Les jeux d'entreprises sont de plus en plus souvent utilisés dans les programmes de formation au management. Couramment pratiqués dans les grandes écoles de commerce, les jeux d'entreprises sont progressivement introduits dans les universités françaises. Cette évolution a conduit l'auteur à réfléchir à l'utilisation des méthodes pédagogiques actives à l'université. Dans cet article, il présente une expérience pédagogique originale mise en place à l'université. Ce terrain de recherche permet de mettre en lumière les enjeux et les conditions d'utilisation des simulations de gestion dans les cursus de formation au management.
  • [hal-01803854] Les consommateurs face a la contrefaçon : une comparaison entre Belges et Français
    31 mai 2018
    En 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-01803871] Attitude towards the purchase of counterfeits: Antecedents and effect on intention to purchase
    31 mai 2018
    Counterfeiting is a major issue for companies, public institutions and consumers. Despite extensive literature on the subject in marketing, an instrument for measuring the wide variety of the determinants of attitude towards and intention to purchase counterfeit products is lacking. A second-order model comprising thirteen determinants, grouped into three latent constructs, is validated. This model includes a dimension related to the societal consequences of counterfeiting and two dimensions representing individual factors motivations and deterrents. This research pinpoints the most relevant motivations for and deterrents of counterfeit purchases. Results show that societal economic factors do not impact attitude towards and intention to purchase counterfeits, whereas individual motivations are crucial. Individual motivations and deterrents are the only antecedents of attitude towards counterfeits, with motivations being the most important determinant. Second-order factors indirectly influence intention to purchase counterfeits, through the mediation of attitude towards the purchase.
  • [hal-01803846] Attitude envers l'achat de contrefaçons : déterminants et effet sur l'intention d'achat
    31 mai 2018
    La contrefaçon est un problème majeur pour les entreprises, les pouvoirs publics et les consommateurs. Bien qu’il existe une littérature marketing abondante sur la question, il manque un outil intégrant les nombreux déterminants de l’attitude envers l’achat de contrefaçons. Une échelle de mesure comportant 13 déterminants, regroupés autour de trois facteurs de second ordre, est validée : l’impact sociétal (essentiellement de nature économique), les motivations et les freins individuels. Cette recherche met en évidence les freins et motivations les plus efficaces pour lutter contre l’achat de contrefaçons. L'un des résultats les plus frappants est l’absence de pouvoir explicatif de l’impact sociétal négatif, à dominante économique et, a contrario, le rôle crucial des motivations individuelles. En effet, les motivations et les freins individuels sont les seuls antécédents de l’attitude envers l’achat de contrefaçons, l’influence des motivations étant supérieure à celle des freins. L’effet des facteurs de second ordre sur l’intention d’achat de contrefaçons est indirect, l’attitude envers l’achat jouant le rôle de variable médiatrice.
  • [hal-01803862] Les médias sociaux dans les stratégies de recrutement. Quelle compatibilité avec la vie privée ?
    31 mai 2018
    Cet article s’interroge sur les conséquences en matière de respect de la vie privée de l’utilisation des réseaux sociaux (RS) dans le processus de recrutement. Les résultats de deux études – l’une conduite auprès de jeunes diplômés de la génération Y et l’autre auprès de recruteurs issus de la génération X - soulignent des divergences quant à ce que les gens pensent connaître du web 2.0. Ces différences entrainent des pratiques distinctes en matière d’utilisation des RS dans le contexte spécifique du recrutement mais également en ce qui concerne les préoccupations à l’égard de la vie privée.
  • [hal-02089617] L'effet du capital marque employeur sur l'attractivité organisationnelle : Le rôle modérateur de la familiarité
    4 avril 2019
    Cet article a pour double objectif de tester la pertinence empirique de la notion de capital marque appliquée à l’employeur et d’étudier sa relation avec l’attractivité organisationnelle. Elle s’appuie sur une étude auprès d’un échantillon de futurs diplômés. Les résultats montrent que les dimensions du capital marque employeur sont liées de manière différenciée avec l’attractivité organisationnelle. Ils montrent également que l’effet modérateur de la familiarité à l’égard de l’entreprise sur la relation entre le capital marque employeur et l’attractivité n’est pas celui qui était attendu.
  • [hal-01803635] L' attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur
    31 mai 2018
    Cette recherche s’intéresse aux effets du capital-marque employeur (CME) sur l’attractivité organisationnelle (AO). Le CME reflète la valeur de la marque employeur en tant qu’actif intangible. La valeur perceptuelle du CME est multidimensionnelle (valeur intérêt, sociale, économique, etc.). La question centrale est de savoir si les leviers de l’AO diffèrent selon la propension à accepter un emploi dans une entreprise dite low-cost. Une étude montre que cette propension dépend des attributs recherchés chez un employeur. Pour ceux qui sont prêts à accepter un tel emploi, l’AO résulte de la valeur intérêt, alors que ceux qui rejettent cette possibilité recherchent la valeur sociale et la valeur économique.
  • [hal-01803653] The Link Between Benevolence and Well-Being in the Context of Human-Resource Marketing
    30 mai 2018
    Although interest in the subject of human-resource marketing is growing among researchers and practitioners, there have been remarkably few studies on the effects on employees of how benevolent their organization is. This article looks at the link between the presumption of organizational benevolence and the well-being of employees at work. The results of an empirical study of 595 employees show that the presumption of organizational benevolence is positively linked to employee well-being. The effect is indirect, as it is mediated by the perceived level of organizational support. The existence of a link between employee well-being and intention to quit the company is also confirmed. Keywords Human-resource marketing, presumption of organizational benevolence, well-being at work, perceived organizational support, intention to leave the job. List of abbreviations WB Well-being POB Presumption of organizational benevolence POS Perceived organizational support
  • [hal-01803720] How store brands build retailer brand image
    31 mai 2018
    Purpose: The purpose of this research is to highlight the role store brands can play in retail branding. Does an image transfer take place between store brands and the retailer brand? To address this issue, the authors propose to identify and test the dimensions of image transfer from the store brand to the retailer brand. Design/methodology/approach: A qualitative study of 138 consumers helped to complete the attributes of store brand image and retailer brand image identified in the literature. A total of 322 customers of three major French retailers responded to a questionnaire. The data collected were tested in a structural equation model. Findings: Results indicate that store brands have a positive impact on the retailer image. The price image of the store brand is positively related to the retailer price image. The values that customers associated with store brands improve the retailer brand image in terms of its values. Research limitations/implications: Store brands are considered as a whole, without distinction between product categories. The paper focuses on standard store brands only, excluding “premium” store brands. Practical implications: Retailers can find a rationale for investing in their store brand range in order to differentiate themselves from their competitors. Managers should ensure that their store brands' image is seen as congruent with their own retailer brand image. In particular, more attention should be paid to the values reflected by the store brands and the store brands' price image. Originality/value: The results indicate that store brands not only benefit from the strength of the retailer brand, but they also contribute, in a reciprocal way, to the improvement of the retailer image.
  • [hal-03714729] The impact of CSR perceptions on employer attractiveness: an empirical study
    5 juillet 2022
    This study examines the impact of the perception of a company's commitment to CSR on its attractiveness as an employer, as perceived by management students. More specifically, it aims at checking whether or not future business graduates are more likely to be attracted to an employer based on their perceptions of that company's commitment to CSR. A questionnaire-based survey was carried out with 295 first-and second-year master in management students in French and Moroccan universities. Overall, the results show that the perception of CSR has no significant impact on the attractiveness of a potential employer. A country-specific analysis confirmed this result, as no difference between French and Moroccan students was found. The paper's findings show that future employees may not be as sensitive to CSR aspects as could have been expected. It suggests that graduates are likely to be more attracted by their own expected working conditions as opposed to general CSR practices.
  • [hal-04682702] Introducing gadget love and subjective knowledge into the theory of planned behavior to understand intention to adopt smart-connected products
    30 août 2024
    Rapid adoption of new technology-based products is a key factor of business performance. The present study addresses the determinants of the intention to adopt personal trackers as an example of smart connected product. The aim of this research is to show whether their adoption is motivated merely by rational factors coming from the theory of planned behavior framework or by a combination of rational, cognitive (subjective knowledge) and emotional (gadget love) factors. The results of an online survey (N=360), in which data were analyzed using structural equation modeling, confirm that gadget love, subjective knowledge, and subjective norm positively influence the intention to adopt smart connected products, but contrary to expectations, the effect of subjective knowledge is direct. Keywords: Gadget Love; Smart Connected Products; Subjective Knowledge; Theory of Planned Behavior.
  • [hal-04875619] Cost Effectiveness of Pegfilgrastim Versus Filgrastim After High-Dose Chemotherapy and Autologous Stem Cell Transplantation in Patients with Lymphoma and Myeloma
    9 janvier 2025
    Background Use of the recombinant human granulocyte colony-stimulating factor (rhG-CSF) filgrastim accelerates neutrophil recovery following myelosuppressive chemotherapy. Since filgrastim requires multiple daily administrations, forms of rhG-CSF with a longer half life, including pegfilgrastim, have been developed. Pegfilgrastim is safe and effective in supporting neutrophil recovery and reducing febrile neutropenia after conventional chemotherapy. Pegfilgrastim has also been successfully used to support patients undergoing peripheral blood stem cell (PBSC) transplantation for haematological malignancies. To our knowledge, no cost-effectiveness analysis (CEA) of pegfilgrastim in this setting has been published yet. Objective We undertook a CEA to compare a single injection of pegfilgrastim versus repeated administrations of filgrastim in patients who had undergone PBSC transplantation for lymphoma or myeloma. The CEA was set in France and covered a period of 100 ± 10 days from transplant. Methods The CEA was designed as part of an open-label, multicentre, randomized phase II trial. Costs were assessed from the hospital’s point of view and are expressed in 2009 euros. Costs computation focused on inpatient, outpatient, and home care. Costs in the two arms of the study were compared using the Mann–Whitney test. When differences were statistically significant, multiple regression analyses were performed in order to identify cost drivers. Incremental cost-effectiveness ratios (ICER) were calculated for the major endpoints of the trial; i.e., duration of febrile neutropenia (absolute neutrophil count [ANC] &lt;0.5 × 109/L and temperature ≥38 °C), duration of neutropenia (ANC &lt;1.0 × 109/L and ANC &lt;0.5 × 109/L), duration of thrombopenia (platelets &lt;50 × 109/L and &lt;20 × 109/L), and days with a temperature ≥38 °C). Uncertainty around the ICER was captured by a probabilistic analysis using a non-parametric bootstrap method. Results 151 patients were enrolled at ten French centres from October 2008 to September 2009. The mean total cost in the pegfilgrastim arm of the study (n = 74) was €25,024 (SD 9,945). That in the filgrastim arm (n = 76) was €28,700 (SD 20,597). Pegfilgrastim strictly dominated filgrastim for days of febrile neutropenia avoided, days of neutropenia (ANC &lt;1.0 × 109/L) avoided, days of thrombopenia (platelets &lt;20 × 109/L) avoided, and days with temperature ≥38 °C) avoided. Pegfilgrastim was less costly and less effective than filgrastim for the number of days with ANC &lt;0.5 × 109/L avoided and the number of days with platelets &lt;50.0 × 109/L avoided. Taking uncertainty into account, the probabilities that pegfilgrastim strictly dominated filgrastim were 67 % for febrile neutropenia, 86 % for neutropenia (ANC &lt;1.0 × 109/L), 59 % for thrombopenia (platelets &lt;20 × 109/L), 86 % for temperature ≥38 °C, 32 % for neutropenia (ANC &lt;0.5 × 109/L), and 43 % for thrombopenia (platelets &lt;50 × 109/L). Conversely, the probability that filgrastim strictly dominated pegfilgrastim for neutropenia (ANC &lt;0.5 × 109/L) is 5 %. Conclusion This study found no evidence that the use of pegfilgrastim is associated with greater cost in lymphoma and myeloma patients after high-dose chemotherapy and PBSC transplantation.
  • [hal-01300673] Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    12 avril 2016
    The DownSide Risk (DSR) model for portfolio optimisation allows to overcome the drawbacks of the classical Mean-Variance model concerning the asymmetry of returns and the risk perception of investors. This model optimization deals with a positive definite matrix that is endogenous with respect to portfolio weights. This aspect makes the problem far more difficult to handle. For this purpose, Athayde (2001) developed a new recursive minimization procedure that ensures the convergence to the solution. However, when a finite number of observations is available, the portfolio frontier presents some discontinuity and is not very smooth. In order to overcome that, Athayde (2003) proposed a Mean Kernel estimation of the returns, so as to create a smoother portfolio frontier. This technique provides an effect similar to the case in which continuous observations are available. In this paper, Athayde model is reformulated and clarified. Then, taking advantage on the robustness of the median, another nonparametric approach based on Median Kernel returns estimation is proposed in order to construct a portfolio frontier. A new version of Athayde's algorithm will be exhibited. Finally, the properties of this improved portfolio frontier are studied and analysed on the French Stock Market. Keywords DownSide Risk · Kernel Method · Mean Nonparametric Estimation · Median Nonparametric Estimation · Portefolio Efficient Frontier · Semi-Variance.
  • [hal-01141228] Tree-based censored regression with applications in insurance
    12 septembre 2016
    We propose a regression tree procedure to estimate the conditional distribution of a variable which is not directly observed due to censoring. The model that we consider is motivated by applications in insurance , including the analysis of guarantees that involve durations, and claim reserving. We derive consistency results for our procedure, and for the selection of an optimal subtree using a pruning strategy. These theoretical results are supported by a simulation study, and two applications involving insurance datasets. The first concerns income protection insurance, while the second deals with reserving in third-party liability insurance.
  • [hal-00712897] Stochastic and Tychastic Approaches to Guaranteed ALM Problem
    28 juin 2012
    Unlike traditional valuation methods, viability theory provides tools for eradicating the risk, by determining the minimum initial capital that would meet the commitments of the investor, regardless market developments. In this study, we compare two approaches to risk assessment within a framework of asset-liability management (ALM) of a guaranteed fund. The optimal allocation of assets for such funds is determined initially by the classical portfolio insurance (thus with a statistical evaluation of risk) and then in a second step, by tools of viability theory. Although the results from the two approaches are not strictly comparable in terms of numerical point of view (as in both cases the goals are different in nature), this study offers, on a practical example of ALM management, two radically different philosophies: one is the statistical evaluation of risk, based on probabilistic models, while the other one eradicates risk, using viability theory.
  • [hal-04964899] A Rejection-Based Model of Partial Service Termination and its Impact on Unprofitable Customers
    25 février 2025
    This research examines partial service termination (PST) as a strategy that allows companies to deliberately cease providing unprofitable customers with certain services while maintaining relationships with those customers. Through a preliminary qualitative study, a quasi-experiment, and two scenario-based experiments, this research contributes to the intentional service failures literature by demonstrating negative customer reactions to PST. First, the results showed that PST increases the probability of customers terminating their other contracts by 2.14 times while increasing their propensity to spread negative word-of-mouth (nWOM). Second, using belongingness theory, we identify the key underlying psychological process behind PST: customers interpret PST as a threat to their need to belong in relationships with companies, which is reflected in their feelings of rejection and anger. Third, relationship breadth and three recovery tactics (i.e., monetary compensation, explanations, and support in finding alternatives) were identified as contingent variables that buffer the negative consequences of PST. Customers with high relationship breadth are less likely to terminate other contracts and bad-mouth following PST. This is likely because high relationship breadth reduces perceived rejection following PST. Furthermore, a combination of monetary compensation, explanations, and support in finding alternatives represents the most efficient recovery approach to reduce anger.
  • [hal-01152263] Arbres de régression et de classification (CART)
    15 mai 2015
    Ces outils fournissent de nouvelles méthodes pour répondre aux problématiques des assureurs, notamment pour l'analyse des comportements des assurés et des prospects. Ils permettent de construire des classes de risques.
  • [hal-04283660] Le recours au travail indépendant en début de carrière
    7 avril 2025
    Le pourcentage de jeunes ayant eu au moins un épisode de travail indépendant au cours des sept premières années post-scolarité a doublé en 12 ans. Un recours plus tardif au travail indépendant dans les trajectoires professionnelles des jeunes est néanmoins observé, mais au profit d’une plus grande pérennité de leur première activité entrepreneuriale. Ces évolutions peuvent être attribuées à des changements de structure de la population des sortants du système éducatif (niveau d’études, PCS des parents, autonomie résidentielle, etc.) et à des modifications du comportement des jeunes.
  • [hal-04979167] L'auto-protection influence-t-elle les choix d'assurance des individus ? Une étude expérimentale
    6 mars 2025
    À 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-01923798] Extremes for multivariate expectiles
    24 janvier 2025
    Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature. Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator of extreme multivariate expectiles in the Fréchet domain of attraction case with asymptotic independence, or for comonotonic marginal distributions.
  • [hal-04894037] The Alpha‐Heston stochastic volatility model
    17 janvier 2025
    Abstract We introduce an affine extension of the Heston model, called the ‐Heston model, where the instantaneous variance process contains a jump part driven by ‐stable processes with . In this framework, we examine the implied volatility and its asymptotic behavior for both asset and VIX options. Furthermore, we study the jump clustering phenomenon observed on the market. We provide a jump cluster decomposition for the variance process where each cluster is induced by a “mother jump” representing a triggering shock followed by “secondary jumps” characterizing the contagion impact.