fr
en
Publications du Laboratoire SAF
Publications antérieures ou hors HAL :
2017
Boulier J.F., Brexit, an un, paru dans Option Finance, Mai 2017
Boulier J.F., Quelle nouvelle crise nous menace, et comment s'en prémunir ?, paru dans Gestion de Fortune, Juin 2017
Boulier J.F., M&M, paru dans Option Finance le 19 juin 2017
Boulier J.F., Chronique d'une très grande crise (couverture), aux éditions MA éditions - ESKA, Avril 2017
Boulier J.F., Long Term Savings Performances: The 40 year track record of Afer funds, paru dans Bankers, Markets & Investors n°146 (janvier-février 2017)
Viot C, Benraïss-Noailles L (2017), Qu’en est-il de l’attractivité des entreprises low-cost ? Le rôle du Capital-Marque Employeur, Revue Française de Gestion, Numéro spécial Low cost, (accepté le 29 mai 2017), à paraître
2016
Boulier J.F., Les frontières seront-elles efficientes ? , paru dans Risques n°108 (décembre 2016)
Boulier J.F., Brexit et conséquences, paru dans Option Finance (Octobre 2016)
Boulier J.F., Fierté française, paru dans Le Revenu (Septembre 2016)
2015
Decision thresholds and changes in risk for preventive treatmentHealth Economics, DOI: 10.1002/hec.3127.
C. COURBAGE, B. REY
Phase-type aging modeling for health dependent costs
Insurance : Mathematics and Economics
M. GOVORUN, G. LATOUCHE, S. LOISEL
Un modèle de projection pour des contrats de retraite dans le cadre de l’ORSA
Bulletin Français d’Actuariat, vol. 14, n°28.
F. BONNIN, F. COMBES, F. PLACNHET, M. TAMMAR
M. Kacem, C. Lefèvre, S. Loisel. (2015). Convex extrema for nonincreasing discrete distributions: Effects of convexity constraints, Journal of Mathematical Analysis and Applications 423, 1774-1791.
J.Tomas and F.Planchet. (2015), Prospective mortality tables: taking heterogeneity into account, Insurance : Mathematics & Economics.
On tail dependence coefficients of transformed multivariate Archimedean copulas, Fuzzy Sets and Systems, Available online 5 September 2015, ISSN 0165-0114,http://dx.doi.org/10.1016/j.fss.2015.08.030.
E. DI BERNARDINO, D. RULLIERE
On the estimation of Pareto fronts from the point of view of copula theory
Information Sciences, Volume 324, 10 December 2015, Pages 270-285, ISSN 0020-0255, http://dx.doi.org/10.1016/j.ins.2015.06.037.
M. BINOIS, D. RULLIERE, O. ROUSTANT
Estimation of multivariate critical layers: Applications to rainfall data (2015)
Journal SFDS, vol. 156, no.1, pp 11–50, ISSN 2102-6238.
E. DI BERNARDINO, D; RULLIERE
A paraitre
Index for predicting insurance claims from wind storms with an application in France, Risk Analysis
A.MORNET, T.OPITZ, M.LUZI, S.LOISEL (2015)
A. Boumezoued, N. El Karoui, S. Loisel, (2015). Measuring mortality heterogeneity with multi-state models and interval-censored data, Working paper Preprint sur Hal.
E. Debonneuil, S. Loisel, F. Planchet, (2015). Do actuaries believe in longevity deceleration?, Working paper Preprint sur Hal.
P.O. Goffard, S. Loisel, D. Pommeret. Polynomial approximations for bivariate aggregate claims amount probability distributions, soumis.
P.O. Goffard, S. Loisel, D. Pommeret. A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model, en révision dans Journal of Computational and Applied Mathematics.
V. Maume-Deschamps, D. Rullière, K. Saïd. On capital allocation by minimizing multivariate risk indicators. Soumis.
N.El Karoui, Y. Salhi, S. Loisel, Robust Detection of Unobservable Disorder Time in Poisson Rate, preprint 2015, soumis.
O. Lopez, X. Milhaud, P. Thérond. (2015), Consistency of tree-based estimators in censored regression with applications in insurance. Preprint
O. Lopez, X. Milhaud, P. Therond. Consistency of tree-based estimators in censored regression with applications in insurance
Discrete Schur-constant models
Journal of Multivariate Analysis
A. CASTANER, M.M, CLARAMUNT, C. LEFEVRE, S. LOISEL
Viot C. (2015), Le dialogue marque-client : une réalité ? La revue des marques, n° 82, Octobre, 58-62.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, J. Tomas. [2014c] Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat, vol. 14, n°27.
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents - Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, 13(27), 5-28.Q. Guibert, M. Juillard, T-O. Nteukam, F. Planchet. (2014) Solvabilité Prospective en Assurance -Méthodes quantitatives pour l'ORSA, Paris : Economica.
F. Planchet, J. Tomas. (2014b) Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal, Volume 4, Issue 2, pp 247-279, doi: 10.1007/s13385-014-0095-y.
F. Planchet, J. Tomas. (2014a) Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal, doi: 10.1080/03461238.2014.925496.
F. Bonnin, M. Juillard, F. Planchet. (2014) Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z
Properties of a risk measure derived from the expected area in red
Insurance : Mathematics and Economics, Vol.55, 191-199
S. LOISEL, J. TRUFIN
Benchmark values for higher order coefficients of relative risk aversion,
Theory and Decision, Vol.76, 81-94.
M. DENUIT, B. REY
Some characteristics of an equity security next-year impairment,
Review of Quantitative Finance and Accounting, february, 1-25.
J.AZZAZ, S.LOISEL, P.THEROND
A survey of some recent results on Risk Theory,
ESAIM Proceedings, 44, 322-337.
F.AVRAM, R. BIARD, Ch. DUTANG, S. LOISEL, L. RABEHASAINA
A paraitre
Convex extrema for nonincreasing discrete distributions : effects of convexity constaints, JMAA.
M.KACEM, C.LEFEVRE, S.LOISEL (2014)
Risk indicators with several lines of business : comparison, asymptotic behavior and applications to optimal reserve allocation, annales de l’ISUP
P.CENAC, S.LOISEL, V.MAUME-DESCHAMPS, C.PRIEUR (2014)
Ruin problems with worsening risks or with infinite mean claims, Stochastic models.
D.KORTSCHAK, S.LOISEL, P.RIBEREAU (2014)
F. Bonnin, A. De Clermont-Tonnerre, F. Planchet, D. Sapone, M. Tammar. (2014) Valeur économique de dettes subordonnées pour des sociétés non-vie, Les cahiers de recherche de l’ISFA, n° 2014.15.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on Aalen Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance, Les cahiers de recherche de l’ISFA, n°2014.14.
Y. Laïdy, F. Planchet. (2014) Calibrating LMN Model to Compute Best Estimates in Life Insurance, Les cahiers de recherche de l’ISFA, n°2014.13.
T. O. Nteukam, F. Planchet, J. Ren. (2014) Internal Model in Life insurance: Application of Least Square Monte-Carlo in Risk Assessment, Les cahiers de recherche de l’ISFA, n°2014.12.
H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks : The Longevity Nominal Choosing Swaptions, en révision à IME.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on AalenJohansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance. Soumis Life Time Data Analysis.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
t, J. Tomas. [2014c] Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat, vol. 14, n°27.
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin
Q. Guibert, F. Planchet. (2014) Construction de lois d'expérience en présence d'évènements concurrents - Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, 13(27), 5-28.Q. Guibert, M. Juillard, T-O. Nteukam, F. Planchet. (2014) Solvabilité Prospective en Assurance -Méthodes quantitatives pour l'ORSA, Paris : Economica.
F. Planchet, J. Tomas. (2014b) Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal, Volume 4, Issue 2, pp 247-279, doi: 10.1007/s13385-014-0095-y.
F. Planchet, J. Tomas. (2014a) Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal, doi: 10.1080/03461238.2014.925496.
F. Bonnin, M. Juillard, F. Planchet. (2014) Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z
Properties of a risk measure derived from the expected area in red
Insurance : Mathematics and Economics, Vol.55, 191-199
S. LOISEL, J. TRUFIN
Benchmark values for higher order coefficients of relative risk aversion,
Theory and Decision, Vol.76, 81-94.
M. DENUIT, B. REY
Some characteristics of an equity security next-year impairment,
Review of Quantitative Finance and Accounting, february, 1-25.
J.AZZAZ, S.LOISEL, P.THEROND
A survey of some recent results on Risk Theory,
ESAIM Proceedings, 44, 322-337.
F.AVRAM, R. BIARD, Ch. DUTANG, S. LOISEL, L. RABEHASAINA
A paraitre
Convex extrema for nonincreasing discrete distributions : effects of convexity constaints, JMAA.
M.KACEM, C.LEFEVRE, S.LOISEL (2014)
Risk indicators with several lines of business : comparison, asymptotic behavior and applications to optimal reserve allocation, annales de l’ISUP
P.CENAC, S.LOISEL, V.MAUME-DESCHAMPS, C.PRIEUR (2014)
Ruin problems with worsening risks or with infinite mean claims, Stochastic models.
D.KORTSCHAK, S.LOISEL, P.RIBEREAU (2014)
F. Bonnin, A. De Clermont-Tonnerre, F. Planchet, D. Sapone, M. Tammar. (2014) Valeur économique de dettes subordonnées pour des sociétés non-vie, Les cahiers de recherche de l’ISFA, n° 2014.15.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on Aalen Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance, Les cahiers de recherche de l’ISFA, n°2014.14.
Y. Laïdy, F. Planchet. (2014) Calibrating LMN Model to Compute Best Estimates in Life Insurance, Les cahiers de recherche de l’ISFA, n°2014.13.
T. O. Nteukam, F. Planchet, J. Ren. (2014) Internal Model in Life insurance: Application of Least Square Monte-Carlo in Risk Assessment, Les cahiers de recherche de l’ISFA, n°2014.12.
H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks : The Longevity Nominal Choosing Swaptions, en révision à IME.
Q. Guibert, F. Planchet. (2014) Non-Parametric Inference of Transition Probabilities Based on AalenJohansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance. Soumis Life Time Data Analysis.
Viot C., Le Roux A., Kremer F. (2014), Attitude envers l’achat de contrefaçons : déterminants et effet sur l’intention d’achat, Recherches et Applications en Marketing, 29, 2, 3-33.
Viot C., Benraïss-Noailles L (2014), Employeurs, Démarquez-vous. La marque employeur, un gisement de valeur inexploité ?, Management International, 18, 3, 1-22.
2013
The « A+B/u » rule for discrete and continuous time risk models with dependence,Insurance : Mathematics and Economics, 53, issue 3, 774-785.
Ch. DUTANG, C. LEFEVRE, S. LOISEL
On multiply monotone distributions, continuous or discrete, with applications,
Journal of Applied Probability, 50(3), 603-907.
C. LEFEVRE, S. LOISEL
Impact of climate change on heat wave risks,
Risks, 1(3), 176-191
R.BIARD, C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, S.LOISEL
On certain transformations of Archimedean copulas : Application to the non-parametric estimation of their generators,
Dependence Modeling, Vol.1, 1-36
E. DI BERNARDINO, D.RULLIERE
Another look at risk apportionment,
Journal of Mathematical Economics, 49, 335-343.
M. DENUIT, B. REY
On multivariate extensions of value-at-risk,
Journal of multivariate analysis, 119, 32-46.
A. COUSIN, E. DI BERNARDINO
On finite-time ruin probabilities with dependence between reinsurance cycles and the claim arrival process,
Scandinavian Actuarial Journal, Vol. 2013, Issue 3, 163-185.
M. BARGES, S. LOISEL & X. VENEL
The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCAILLET, D. DOROBANTU, D. RULLIERE
Solvency assessment within the ORSA framework : issues and quantitative methodologies,
Bulletin Français d’Actuariat, Vol.13, n°25, janvier-juin, 35-71.
L. DEVINEAU, J. VEDANI
An extension of Davis and Lo’s contagion model,
Quantitative Finance, vol.13, 3, 407-420, (DOI) 10.1080/14697688.2012.727015.
A. COUSIN, D. DOROBANTU, D. RULLIÈRE
The density of the ruin time for a renewal-reward process perturbed by a diffusion,
Applied Mathematics Letters, 26, 108-112, (DOI) 10.1016/j.aml.2012.04.003.
C. BLANCHET-SCALLIET, D. DOROBANTU, D. RULLIÈRE
Exploring or reducing noise? A global optimization algorithm in the presence of noise,
Structural and Multidisciplinary Optimization, vol.47, 6, 921-936, (DOI) 10.1007/s00158-012-0874-5.
D. RULLIERE, A. FALEH, F. PLANCHET, W. YOUSSEF
Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory,
Insurance: Mathematics and Economics, Vol.53(1), 190-205.
E. DI BERNARDINO, D. RULLIERE
L’évaluation du travail dans les établissements de santé publics : déstabilisation des acteurs et remise en question des valeurs,
Entreprises et Humanisme, n°309, 16p.
S.BERTEZENE, B. DUBRION
Moderniser les pratiques d’évaluation du travail dans la fonction publique : analyse exploratoire du cas d’un hôpital public,
Formation Emploi, Vol.1, n°121, 83-105.
S.BERTEZENE, B. DUBRION
Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social,
Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE
Cost effectiveness of pegfilgrastrim versus filgrastim after high-dose chemotherapy and autologous stem cell transplantation in patients with lymphoma and myeloma (an economic evaluation of the PALM Trial),
Applied Health Economics and Health Policy, (DOI) 10.1007/s40258-013-0011-7.
L. PERRIER, A. LEFRANC, D. PROL, P. QUITTET, A. SCHMIDT-TANGUY, C. SIANI, C. DE PERETTI
Quadratic hedging : an actuarial view extended to solvency control,
European Actuarial Journal, (DOI) 10.1007/s13385-013-0066-8.
R. NORBERG
Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, Vol.17, 197-222, (DOI) 10.1008/s00780-012-0182-3.
R. NORBERG
Some new classes of stationary max-stable random fields,
Statistics and Probability Letters, 83, 1496-1503.
C. ROBERT
Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustements,
Bulletin Français d’Actuariat, Vol.13, n°25, 73-102.
J. TRUFIN, S. LOISEL
Competition among non-life insurers under solvency constraints : a game-theoretic approach,
European Journal of Operational Research, 31(3), 702-711.
C. DUTANG, H. ALBRECHER, S. LOISEL
A paraitre
The bottom-up top-down puzzle solved, CreditFlux.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)
Dynamic hedging of portfolio credit risk in a Markov copula model, forthcoming in Journal of Optimization Theory and Applications.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)
A bottom-up dynamic model of portfolio credit risk with stochastic intensities and random recoveries, accepted for publication in Communiction in Statistics – Theory and methods.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2013)
Some mixing properties of conditionally mixing processes, accepted, to appear in Communication in Statistics : Theory and methods.
M. KACEM, S. LOISEL, V. MAUME-DESCHAMPS (2013)
Estimation of the parameters of a Markov-modulated loss process in insurance, accepted, to appear in Insurance : Mathematics and Economics.
A. GUILLOU, S. LOISEL, G. STUPFLER (2013)
Regards croisés sur les infections nosocomiales : de la responsabilité juridique à l’évaluation des coûts, Droit, Déontologie et Soins, à paraître.
S.BERTEZENE, D. RONDEAU (2013)
Prevention and Precaution, chapter of book, The Handbook of Insurance (édition révisée), Kluwer Academic Publishers, A paraître.
Ch. COURBAGE, B. REY, N. TREICH (2013)
Le contrôle et le pilotage de la performance éthique : résultats de recherches-interventions dans le secteur médico-social, Management et Avenir, n°65, novembre, 17p.
S.BERTEZENE (2013)
Automatic declustering of rare events, to appear in Biometrika.
C. ROBERT (2013)
Estimating the efficient price from the order flow : a Brownian Cox process approach, to appear in Stocastic Processes and their Applications.
S. DELATTRE, C. ROBERT, M. ROSENBAUM (2013)
Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework, to appear in Insurance : Mathematics and Economics.
C. ROBERT (2013)
On multiply monotone distributions, continuous or discrete, with applications, accepted, to appear in Journal of Applied Probability.
C. LEFEVRE, S. LOISEL (2013)
Quels sont les effets des pédagogies actives dans l’apprentissage de l’entrepreunariat ? Etude des changements de perceptions des élèves ingénieurs et managers à l’issue de la formation M.I.M.E (Méthode d’Initiation au Métier d’Entrepreneur), La revue de l’Entrepreneuriat, A paraître.
M. SALGADO, O. TOUTAIN (2013)
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb and face-to-face in travel surveys : comparability, challenges,
Transportation, 1-25
C. BAYART, P. BONNEL
Delta-Hedging Correlation Risk ?
Review of Derivatives Research, 15(1), 25-56
A. COUSIN, S. CREPEY & Y. HANG KAN
Understanding, modelling and managing longevity risk : key issues and main challenges,
Scandinavian Actuarial Journal, Vol. 2012, n°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI
Iterative adjustment of survival functions by compositions of probability distortions,
The Geneva Risk and Insurance Review, 37, 156-179, (DOI) 10.1057/grir.2011.7.
A. BIENVENÜE, D. RULLIÈRE
The effect of derivative instrument use on capital market risk : evidence from banks in developed and emerging countries,
Frontiers in Finance and Economics, Vol.9, n°2, 85-121.
M.R. KEFFALA, C. DE PERETTI, C.Y. CHAN
Corporate Governance and Voluntary Recognition of ESOs Expenses,
The Empirical Economics Letters, Vol.11, n°5.
C.Y. CHAN, S.L. SU, C. DE PERETTI
La confiance, levier de l’engagement dans les PME en forte croissance,
Revue Française de Gestion, Vol.5, n°224, 65-84.
E. BELLIATO, C. CHAMPAGNE DE LABRIOLLE, I. PRIM-ALLAZ, M. SEVILLE
On relative and partial risk attitudes : theory and implications,
Economic Theory, 50, 151-167.
W.H. CHIU, L. EECKHOUDT, B. REY
Intérêt du modèle « Hurdle » pour la comparaison des comportements de mobilité déclarée dans un protocole d’enquête mixte,
Recherche Transports Sécurité, 28, 33-45.
C. BAYART, P. BONNEL
Optimal stopping for Markov processes and decreasing affine functions, Romanian
Journal of Pure and Applied Mathematics, 56, 4, 283-294.
D. DOROBANTU
Empirical Test of the Efficiency of the UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach,
Journal of Empirical Finance, Volume 19, Issue 1, January, 162-174. Impact Factor: 0.807. Social Science Research Network Working Paper Series 1546355.
C.Y. CHAN, C. DE PERETTI, Z. QIAO, W.K. WONG
Stochastic and Tychastic Approaches to Guaranteed ALM Problem,
Bulletin Français d’Actuariat, vol. 12, n°23.
J.P. AUBIN, L. CHEN, O. DORDAN, A. FALEH, G. LEZAN, F. PLANCHET
Pricing of Parisian options for a jumpdiffusion model with two-sided jumps,
Applied Mathematical Finance, 19(2), 97-129.
H. ALBRECHER, D. KORTSCHAK, X. ZHOU
On semiparametric estimation of ruin probabilities in the classical risk model,
Scandinavian Actuarial Journal, 1-26, iFirst article.
E. MASIELLO
Priority setting in health care and higher order degree change in risk,
Journal of Health Economics, 31, 484-489.
C. COURBAGE, B. REY
Optimal prevention and other risks in a two-period model,
Mathematical Social Sciences, 63, 213-217.
C. COURBAGE, B. REY
A quadratic hedging approach to comparison of catastrophe indices, International,
Journal of Theoretical and Applied Finance, Vol.15, Issue 4, (DOI) 10.1142/s0219024912500306.
R. NORBERG, O. SAVINA
Risk and insurability of storm damages to residential buildings in Austria,
The Geneva Papers on Risk and Insurance - Issues and Practice.
F. PRETTENTHLER, H. ALBRECHER, J. KOBERL, D. KORTSCHAK
Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, (DOI) 10.1007/s00780-012-0182-3.
R. NORBERG
Risk processes with dependence and premium adjusted to solvency targets.
European Actuarial Journal, Vol.2, Issue 1, 1-20 (DOI) 10.1007/s13385-012-0046-4.
C. CONSTANTINESCU, V. MAUME-DESCHAMPS, R. NORBERG
Some multivariate risk indicators ; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm,
Statistics and Risk Modeling, 29 (1), 47-71.
P. CENAC, C. PRIEUR, V. MAUME-DESCHAMPS
A paraitre
Présentation du marché de l'assurance vie en Afrique subsaharienne francophone, Assurances et gestion des risques, A paraître.
A. KAMEGA, F. PLANCHET (2012)
Quadratic Hedging by an Influent Informed Investor, à paraître dans Stochastics : An International Journal of Probability and Stochastic Processes.
A. EYRAUD-LOISEL (2012)
Are Fieller and bootstrap methods really equivalent for calculating confidence regions for ratios: an application to the MPIS data, Health; Decision and Management, à paraître.
C. SIANI, C. DE PERETTI (2012)
Understanding, modelling and managing longevity risk : key issues and main challenges, Scandinavian Actuarial Journal, Vol. 2012, N°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI (2012)
A bottom-up dynamic model of portfolio credit risk, Part I : Markov copula perspective, forthcoming in recent advances in financial engineering – World scientific.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
A bottom-up dynamic model of portfolio credit risk, Part II : common-shock interpretation, calibration and hedging issues, forthcoming in recent advances in financial engineering – world scientific
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.
Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.
Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.
Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
N° 47 - Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
eb and face-to-face in travel surveys : comparability, challenges,
Transportation, 1-25
C. BAYART, P. BONNEL
Delta-Hedging Correlation Risk ?
Review of Derivatives Research, 15(1), 25-56
A. COUSIN, S. CREPEY & Y. HANG KAN
Understanding, modelling and managing longevity risk : key issues and main challenges,
Scandinavian Actuarial Journal, Vol. 2012, n°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI
Iterative adjustment of survival functions by compositions of probability distortions,
The Geneva Risk and Insurance Review, 37, 156-179, (DOI) 10.1057/grir.2011.7.
A. BIENVENÜE, D. RULLIÈRE
The effect of derivative instrument use on capital market risk : evidence from banks in developed and emerging countries,
Frontiers in Finance and Economics, Vol.9, n°2, 85-121.
M.R. KEFFALA, C. DE PERETTI, C.Y. CHAN
Corporate Governance and Voluntary Recognition of ESOs Expenses,
The Empirical Economics Letters, Vol.11, n°5.
C.Y. CHAN, S.L. SU, C. DE PERETTI
La confiance, levier de l’engagement dans les PME en forte croissance,
Revue Française de Gestion, Vol.5, n°224, 65-84.
E. BELLIATO, C. CHAMPAGNE DE LABRIOLLE, I. PRIM-ALLAZ, M. SEVILLE
On relative and partial risk attitudes : theory and implications,
Economic Theory, 50, 151-167.
W.H. CHIU, L. EECKHOUDT, B. REY
Intérêt du modèle « Hurdle » pour la comparaison des comportements de mobilité déclarée dans un protocole d’enquête mixte,
Recherche Transports Sécurité, 28, 33-45.
C. BAYART, P. BONNEL
Optimal stopping for Markov processes and decreasing affine functions, Romanian
Journal of Pure and Applied Mathematics, 56, 4, 283-294.
D. DOROBANTU
Empirical Test of the Efficiency of the UK Covered Warrants Market: Stochastic Dominance and Likelihood Ratio Test Approach,
Journal of Empirical Finance, Volume 19, Issue 1, January, 162-174. Impact Factor: 0.807. Social Science Research Network Working Paper Series 1546355.
C.Y. CHAN, C. DE PERETTI, Z. QIAO, W.K. WONG
Stochastic and Tychastic Approaches to Guaranteed ALM Problem,
Bulletin Français d’Actuariat, vol. 12, n°23.
J.P. AUBIN, L. CHEN, O. DORDAN, A. FALEH, G. LEZAN, F. PLANCHET
Pricing of Parisian options for a jumpdiffusion model with two-sided jumps,
Applied Mathematical Finance, 19(2), 97-129.
H. ALBRECHER, D. KORTSCHAK, X. ZHOU
On semiparametric estimation of ruin probabilities in the classical risk model,
Scandinavian Actuarial Journal, 1-26, iFirst article.
E. MASIELLO
Priority setting in health care and higher order degree change in risk,
Journal of Health Economics, 31, 484-489.
C. COURBAGE, B. REY
Optimal prevention and other risks in a two-period model,
Mathematical Social Sciences, 63, 213-217.
C. COURBAGE, B. REY
A quadratic hedging approach to comparison of catastrophe indices, International,
Journal of Theoretical and Applied Finance, Vol.15, Issue 4, (DOI) 10.1142/s0219024912500306.
R. NORBERG, O. SAVINA
Risk and insurability of storm damages to residential buildings in Austria,
The Geneva Papers on Risk and Insurance - Issues and Practice.
F. PRETTENTHLER, H. ALBRECHER, J. KOBERL, D. KORTSCHAK
Optimal hedging of demographic risk in life insurance,
Finance and Stochastics, (DOI) 10.1007/s00780-012-0182-3.
R. NORBERG
Risk processes with dependence and premium adjusted to solvency targets.
European Actuarial Journal, Vol.2, Issue 1, 1-20 (DOI) 10.1007/s13385-012-0046-4.
C. CONSTANTINESCU, V. MAUME-DESCHAMPS, R. NORBERG
Some multivariate risk indicators ; minimization by using a Kiefer-Wolfowitz approach to the mirror stochastic algorithm,
Statistics and Risk Modeling, 29 (1), 47-71.
P. CENAC, C. PRIEUR, V. MAUME-DESCHAMPS
A paraitre
Présentation du marché de l'assurance vie en Afrique subsaharienne francophone, Assurances et gestion des risques, A paraître.
A. KAMEGA, F. PLANCHET (2012)
Quadratic Hedging by an Influent Informed Investor, à paraître dans Stochastics : An International Journal of Probability and Stochastic Processes.
A. EYRAUD-LOISEL (2012)
Are Fieller and bootstrap methods really equivalent for calculating confidence regions for ratios: an application to the MPIS data, Health; Decision and Management, à paraître.
C. SIANI, C. DE PERETTI (2012)
Understanding, modelling and managing longevity risk : key issues and main challenges, Scandinavian Actuarial Journal, Vol. 2012, N°3, 203-231.
P. BARRIEU, H. BENSUSAN, N. EL KAROUI, C. HILLAIRET, S. LOISEL, C. RAVANELLI, Y. SALHI (2012)
A bottom-up dynamic model of portfolio credit risk, Part I : Markov copula perspective, forthcoming in recent advances in financial engineering – World scientific.
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
A bottom-up dynamic model of portfolio credit risk, Part II : common-shock interpretation, calibration and hedging issues, forthcoming in recent advances in financial engineering – world scientific
A. COUSIN, T. BIELECKI, S. CREPEY, A. HERBERTSSON (2012)
Kremer F., Viot C. (2012), How Store brands build retailer brand image and store loyalty, International Journal of Retail and Distribution Management, 40, 7, 528-543.
Benraïss-Noailles L., Viot C. (2012), Intégration des médias sociaux dans les stratégies de recherche d’emploi et de recrutement, Revue Française de Gestion, Numéro spécial « Entreprises et vie privée », 38, 224, 125-138.
Viot C. (2012), Endossement, pseudo endossement et co-endossement d’une marque patronymique : potentiel et intérêt pour une stratégie marketing, Décisions Marketing, 66, Avril-Juin, 21-33.
Viot C., G. Bressolles (2012) Les agents virtuels intelligents : quels atouts pour la relation client ? Décision Marketing, 65, Janvier-Mars, 45-56.
Viot C. (2012), Subjective knowledge, product attributes and consideration set: the wine case, International Journal of Wine Business Research, 24, 3, 219-248.
Benraïss-Noailles L., Viot C. (2012), Les jeunes, les recruteurs et les réseaux sociaux, Personnel, 528, Mars-Avril, 64-65.
2011
Subsampling weakly dependent times series and application to extremes,Test, 20, 499-502.
P. DOUKHAN, S. PROHL & C. ROBERT
Risk models based on time series for count random variables
Insurance : Mathematics and Economics, 48, 19–28.
H. COSSETTE, E. MARCEAU, F. TOUREILLE
A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones.
Journal of Financial Econometrics, 9, 344-366.
C. ROBERT, M. ROSENBAUM (2011)
Comment mettre œuvre un ‘encadrement’ plus éthique des personnes âgées au sein des établissements médico-sociaux ?,
Forum, n°134, décembre, 14p.
S. BERTEZENE
Quality and non-quality in the health sector,
Sinergie, n°85/11, 16 p. pp. 15-31.
S. BERTEZENE, J. MARTIN
Note of caution when interpreting parameters of the distribution of excesses,
Water Resources, 34, 1215–1221.
P. RIBEREAU, P. NAVEAU, A. GUILLOU
Quelle structure de dépendance pour un générateur de scénarios économiques en assurance ?,
Bulletin Français d’Actuariat, vol. 11, n°22.
K. ARMEL, F. PLANCHET, A. KAMEGA
Is the consumption-income ratio stationary ? Evidence from a non-linear panel unit root test for OECD and non-OECD countries, Manchester School, forthcoming,
Impact Factor, 0.333.
C. STUWART, M. CERRATO, C. DE PERETTI
Polynomial structures in rank statistics distributions,
Journal of Statistical Planning and Inference, 141, 1380-1393.
C. LEFEVRE, P. PICARD
Option Hedging by an Influential Informed Investor,
Applied Stochastic Models in Business and Industry, 27, 707-722.
A. EYRAUD-LOISEL
Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, volume 11, Issue 12, 1773-1791.
A.COUSIN, J.P. LAURENT, J.D. FERMANIAN
Model risk and determination of economic capital in the Solvency 2 project,
International Review of Applied Financial Issues and Economics, Vol. 3, Issue 2.
F. PLANCHET, P. THÉROND
Hétérogénéité : mesure du risque d'estimation dans le cas d’une modélisation intégrant des facteurs observables,
Bulletin Français d’Actuariat, vol. 11, n°21.
A. KAMEGA, F. PLANCHET
Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee,
Insurance: Mathematics and Economics, Volume 48, Issue 2, pp. 161-175.
T.O. NTEUKAM, F. PLANCHET, P. THÉROND
Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Mangement,
European Actuarial Journal, Vol. 1, 131-157.
M. CHAUVIGNY, L. DEVINEAU, S. LOISEL, V. MAUME-DESCHAMPS
First passage time law for some Lévy processes with compound Poisson : Existence of a density,
Bernoulli 17(4), 1127-1135.
L. COUTIN, D. DOROBANTU
A propos de la tempérance,
Revue Economique, Vol. 62, 751-764.
D. CRAINICH, L. EECKHOUDT, B. REY
Risk vulnerability: a graphical interpretation,
Theory and Decision, 71, 227-234.
L. EECKHOUDT, B. REY
Transparency matters: Price formation in presence of order preferencing,
Journal of Financial Markets, 14, 227-258.
L. LESCOURRET, C. ROBERT
Surrender triggers in life insurance : classification and risk predictions,
Bulletin Français d’Actuariat, 11 (22), 5-48.
X. MILHAUD, S. LOISEL, V. MAUME-DESCHAMPS
Impacts of jumps and stochastic interest rates on the fair costs of guaranteed minimum death benefit contracts,
The Geneva Risk and Insurance Review, 36, 51-73.
F. QUITTARD-PINON, R. RANDRIANARIVONY
A new approach for the dynamics of ultra high frequency data : the model with uncertainty zones,
Journal of Financial Econometrics, 9(2), 344-366,
C. ROBERT, M. ROSENBAUM
Tous sur scène ! Comment le théâtre peut-il aider à former les cadres ?
Gestion, Volume 35/Numéro 4.
M. SALGADO
Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings,
Applied Stochastic Models in Business and Industry, 27, 503-518.
R. BIARD, C. LEFEVRE, S. LOISEL, H.N. NAGARAJA
Adjustment coefficient for risk processes in some dependent contexts,
Methodology and Computing in Applied Probability, 13 (4), 695-721.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS
A paraitre
From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital, to appear in European Journal of Operational Research.
S. LOISEL, X. MILHAUD (2011)
Second order tail asymptotics for the sum of dependent, tailindependent regularly varying risks, Accepted: Extremes.
D. KORTSCHAK (2011)
Explicit ruin formulas for models with dependence among risks, to appear in Insurance : Mathematics and Economics.
H. ALBRECHER, C. CONSTANTINESCU, S. LOISEL (2011)
Moments of a compound Poisson models with dependence based on the FGM copula and discounted claims, to appear in ASTIN Bulletin.
M. BARGES, H. COSSETTE, S. LOISEL, E. MARCEAU (2011)
Iterative adjustment of survival functions by compositions of probability distortions, to appear in Geneva Risk and Insurance Review.
A. BIENVENUE, D. RULLIERE (2011)
Ruin probabilities in models with a Markov chain dependence structure, Accepted: Scandinavian Actuarial Journal.
C. CONSTANTINESCU, D. KORTSCHAK, V. MAUME-DESCHAMPS (2011)
Plug-in estimation of level sets in a non compact setting with applications in multivariate risk theory. accepté pour publication à ESAIM P&S.
E. DI BERNARDINO, T. LALOE, V. MAUME-DESCHAMPS, C. PRIEUR (2011)
Viot C. (2011), Can brand identity predict brand extension’s success or failure? Journal of Product & Brand Management, 20, 3, 216-227.
2010
Exchange Option when One Underlying Can Jump,Finance, vol 31, N°1/2010, 33-53.
F. QUITTARD-PINON, R. RANDRIANARIVONY
Protection of Life Insurance Companies in a Market-based Framework,
North American Actuarial Journal, vol 14, N° 1, 131-151.
F. QUITTARD-PINON, C. BERNARD, O. LE COURTOIS
Fair costs of guaranteed minimum death benefit contracts,
Mathematical and Statistical Methods for Actuarial Sciences and Finance, M. Corraza and C. Pizzi Eds, Springer Verlag, 283-293.
F. QUITTARD-PINON, R. RANDRIANARIVONY
Enquête déplacements web – face-à-face : quelle comparabilité ?,
Cahiers Scientifiques du Transport, 57, 141-167.
C. BAYART, P. BONNEL
Le potentiel du web pour les enquêtes de mobilité,
Courrier des Statistiques, 129, 6p.
C. BAYART, P. BONNEL
L’impact du mode d’enquête sur la mesure des comportements de mobilité,
Economie et Statistique, n° 437.
C. BAYART, P. BONNEL
Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes,
Journal of Mathematical Analysis and Applications, Vol. 367(2), 535-549.
R. BIARD, S. LOISEL, C. MACCI, N. VERAVERBEKE
Nonparametric statistical analysis of an upper bound of the ruin probability under large claims,
Extrêmes, Vol. 13, n° 4, 439-461.
P.L. CONTI, E. MASIELLO
Applications de techniques stochastiques pour l'analyse prospective de l'impact comptable du risque de taux,
Bulletin Français d’Actuariat, vol. 11, n°21.
F. BONNIN, F. PLANCHET, M. JUILLARD
La mesure du prix de marché du risque : quels outils pour une utilisation dans les modèles en assurance ?
Assurances et gestion des risques, Vol.78 (3/4).
A. CAJA, F. PLANCHET
Les générateurs de Scénarios Économiques : de la conception à la mesure de la qualité. Assurances et gestion des risques,
Insurance and Risk Management Journal, Montreal, Vol.78, 1-2.
A. FALEH, F. PLANCHET, D. RULLIERE
On the efficient evaluation of ruin probabilities for completely monotone claim size distributions,
Journal of Computational and Applied Mathematics, 233(10), 2724-2736.
H. ALBRECHER, F. AVRAM, D. KORTSCHAK
An asymptotic expansion for the tail of compound sums of Burr distributed random variables,
Statistics and Probability Letters, 80(78), 612-620.
D. KORTSCHAK, H. ALBRECHER
Quasi-Monte Carlo Techniques and Rare Event Sampling.Schweiz,
Aktuarver, Mitt., (1-2), 56-70.
J. HARTINGER, D. KORTSCHAK
Higher order expansions for compound distributions and ruin probabilities with subexponential claims,
Scandinavian Actuarial Journal, 110(2), 105-135.
H. ALBRECHER, C. HIPP, D. KORTSCHAK
Discrete-time risk models based on time series for count random variables,
Astin Bulletin, 40(1), 123-150.
H. COSSETTE, E. MARCEAU, V. MAUME-DESCHAMPS
On non-monetary measures in the face of risks and the sign of the derivatives,
Bulletin of Economic Research, 62, 295-304.
C. COURBAGE, B. REY
Some consequences of correlation aversion in decision science,
Annals of Operations Research, 176, 259-269.
M. DENUIT, L. EECKHOUDT, B. REY
Prudence, temperance, edginess and risk apportionment as decreasing sensitivity to detrimental changes,
Mathematical Social Sciences, Vol. 60, 137-143.
M. DENUIT, B. REY
L’horizon temporel dans Solvabilité 2,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 43-62.
A. DERIEN
Testing the type of a semi-martingale: Ito against multifractal,
Electronic Journal of Statistics, 4, 1300-1323.
L. DUVERNET, C. ROBERT, M. ROSENBAUM
Graphical methods for investigating the finite-sample properties of confidence regions,
Computational Statistics and Data Analysis, 54, 262-271.
C. DE PERETTI, C. SIANI
Credit risk premia and quadratic BSDEs with a single jump,
International Journal of Theoretical and Applied Finance, 13, 1103-1129.
S. ANKIRCHNER, A. EYRAUD-LOISEL, M. ROYER-CARENZI
BSDEs with random terminal time under enlarged filtration. American-style options hedging by an insider,
Random Operators and Stochastic Equations, Volume 18, Issue 2, 141-163.
A. EYRAUD-LOISEL, M. ROYER-CARENZI
Hedging Default Risks of CDOs in Markovian Contagion Models,
Quantitative Finance, 1-19.
J-P. LAURENT, A. COUSIN, J-D. FERMANIAN
Stationary-excess operator and convex stochastic orders,
Insurance : Mathematics and Economics, Vol. 47, 64-75.
C. LEFEVRE, S. LOISEL
Preserving preference rankings under non financial background risk,
Journal of the Operational Research Society, 61, 1302-1308.
Y. MALEVERGNE, B. REY
Les comportements de rachat en assurance vie en regime de croisière et en période de crise,
Risques, n° 83, Septembre.
X. MILHAUD, M.P. GONON, S. LOISEL
Approximations comonotones pour le prix d’une option d’achat Européenne en présence de dividendes discrets,
Bulletin Français d’Actuariat, Vol. 10, n° 19, 5-42.
P.A. PATARD, J.C. AUGROS
On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring,
Statistics and Probability Letters, 80, 134-142.
C. ROBERT
On the microstructural hedging error. SIAM
Journal of Financial Mathematics, 1, 427-453.
C. ROBERT, M. ROSENBAUM
On the limiting spectral distribution of the covariance matrices of time-lagged processes,
Journal of Multivariate Analysis, 101, 2434-2451.
C. ROBERT, M. ROSENBAUM
A paraitre
Hedging of defaultable contingent claims using BSDE with uncertain time horizon, Bulletin Français d’Actuariat, à paraître.
C. BLANCHET-SCALLIET, A. EYRAUD-LOISEL, M. ROYER-CARENZI (2010)
2009
Asymptotic results for the sum of dependent non-identically distributed random variables,Methodology and Computing in Applied Probability, 11, 279-306.
D. KORTSCHAK, H. ALBRECHER
On ruin probability and aggregate claim representations for Pareto claim size distributions,
Insurance: Mathematics and Economics, 45(3): 362-373.
H. ALBRECHER, D. KORTSCHAK
On the efficiency of the Asmussen-Kroeseestimators and its application to stop-loss transforms Blatter DGVFM 30(2), 363-377.
J. HARTINGER, D. KORTSCHAK
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied Probability, 11, 425-441.
C. LEFEVRE, S. LOISEL
TVaR-based capital allocation with copulas,
Insurance : Mathematics and Economics, Vol. 45, 348-361.
M. BARGES, H. COSSETTE, E. MARCEAU
Mastering performance through quality and networking, Total Quality,
Management, Vol. 21, n°4, pp.413-428.
S. BERTEZENE, J. MARTIN
Maîtriser la performance par la qualité et l'organisation réticulaire: l'exemple des établissements médico-sociaux,
Revue Marocaine de Commerce et de Gestion.
S. BERTEZENE, J. MARTIN
A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework,
Journal of Derivatives, Vol. 16, n°4, 9-37.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT
Regularity of the Euclid algorithm, application to the analysis of fast GCD algorithm,
Journal of Symbolic Computation, 44, n°7, 726-767.
E. CESARATTO, J. CLEMENT, B. DAIREAUX, L. LHOTE, V. MAUME-DESCHAMPS, B. VALLEE
Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula ?
Bulletin Français d’Actuariat, Vol. 9, n° 18, 107-145.
L. DEVINEAU, S. LOISEL
Construction d’un algorithme d’accélération de la méthode des « simulations dans les simulations » pour le calcul du capital économique Solvabilité II,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 189-222.
L. DEVINEAU, S. LOISEL
Optimal strategies in a risky debt context,
An International Journal of Probability and Stochastics Processes, Vol. 81, Nos. 3-4,269-277.
D. DOROBANTU, M. MANCINO, M. PONTIER
Mesure des risques de marché et de souscription vie en situation d’information incomplète pour un portefeuille de prévoyance,
Bulletin Français d’Actuariat, Vol. 9, n° 18, 79-105.
J.P. FELIX, F. PLANCHET
Estimating Copula Densities through Wavelets,
Insurance: Mathematics and Economics, 44, 170-181.
C. GENEST, E. MASIELLO, K. TRIBOULAY
A strong hysteretic model for Okun’s law: theory and preliminary investigation,
International Review of Applied Economics, Vol. 3, Issue 4, July 2009, 445-462.
D. LANG, C. DE PERETTI
Finite-time ruin probabilities for discrete, possibly dependent, claim severities,
Methodology and Computing in Applied probability, Vol. 11, n° 3, 425-441.
C. LEFEVRE, S. LOISEL
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes,
Insurance: Mathematics and Economics, Vol. 45, Issue 3, 374-381.
S. LOISEL, C. MAZZA, D. RULLIERE
Sensitivity analysis and density estimation for finite-time ruin probabilities,
Journal of Computational and Applied Mathematics, Vol. 230, n° 1, 107-120.
S. LOISEL, N. PRIVAULT
On cross risk vulnerability,
Insurance: Mathematics and Economics, Vol. 45, 224-229.
Y. MALEVERGNE, B. REY
Rentes en cours de service : un nouveau critère d'allocation d'actif,
Bulletin Français d'Actuariat, Vol. 9, n° 17, 37-69.
F. PLANCHET, P. THEROND
Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution,
Journal of Statistical Planning and Inference, 139, 3288-3309.
C. ROBERT
Inference for the limiting cluster size distribution of extreme values,
The Annals of Statistics, 37, 271-310.
C. ROBERT
A sliding blocks estimator for the extremal index,
Electronic Journal of Statistics, 3, 993–1020.
C. ROBERT, J. SEGERS, C. FERRO
Tourism destination competitiveness: The french regions case,
European Journal of Tourism Research, Vol.2, No.2.
E. ROBINOT, L. BOTTI, N. PEYPOCH, B. SOLONANDRASANA
Les jeux d'entreprises : un outil de formation au management,
Revue Éducation Permanente, n° 178/2009-1, 143-150.
M. SALGADO
Gestion stratégique d’un fonds de pension en temps continu,
Bulletin Français d’Actuariat, Vol. 9, n° 17, 110-153.
M. TALFI
2008
On finite-time ruin probabilities for classical risk models,Scandinavian Actuarial Journal 1, 41-60.
C. LEFEVRE, S. LOISEL
Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationary assumptions are relaxed,
Insurance: Mathematics and Economics, 43, 412-421.
R. BIARD, C. LEFEVRE, S. LOISEL
Spectral risk measures and portfolio selection,
Journal of Banking and Finance, Vol. 32, n°9, 1870-1882.
A. ADAM, M. HOUKARI, J-P. LAURENT
Pricing derivatives with barriers in a stochastic interest rate environment,
Journal of Economic Dynamics and Control, 32, 2903-2938.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON
On the willingness to pay to reduce risks of small losses,
Journal of Economics, 95, 75-82.
C. COURBAGE, B. REY
Comparison results for exchangeable credit risk portfolios,
Insurance: Mathematics and Economics, Vol. 42, n°3, 1118-1127.
A. COUSIN, J-P. LAURENT
Actuar : An R Package for Actuarial Science,
Journal of Statistical Software, Volume 25, Issue 7.
C. DUTANG, V. GOULET, M. PIGEON
Fair valuation of participating life insurance contracts with jumps risk,
The Geneva Review on Risk and Insurance Theory, Vol. 33, 106-136.
O. LE COURTOIS, F. QUITTARD-PINON
On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level,
Bulletin Français d'Actuariat, No. 15, Vol. 9.
W. FISHER, S. LOISEL, S. WANG
Mortality fluctuations modelling with a shared frailty approach,
Life & Pensions, octobre, 39-44.
S. FULLA, J-P. LAURENT
Exponential inequalities for VLMC empirical trees. ESAIM Prob. Stat., 12, 119-229.
A. GALVES, V. MAUME-DESCHAMPS, B. SCHMITT
The optimal capital structure of the firm with stable Lévy asset returns,
Decisions in Economics and Finance, 31, 51-72.
O. LE COURTOIS, F. QUITTARD-PINON
Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin,
Insurance: Mathematics and Economics, Volume 42, Issue 2, April, 746-762.
S. LOISEL, C. MAZZA, D. RULLIERE
Perturbations extrêmes sur la dérive de mortalité anticipée,
Assurances et Gestion des Risques, Vol. 76(3)
F. PLANCHET, M. JUILLARD, P. THEROND
Valuing Options in Jump Diffusion Models using Generalized Fourier Analysis,
Banque & Marchés, n° 97, novembre-décembre.
F. QUITTARD-PINON, R. RANDRIANANIVONY
Calibrage d’options pour trois modèles mixtes diffusions et sauts,
Revue Finance, vol. 29, n° 2, 103-130.
F. QUITTARD-PINON, R. RANDRIANANIVONY
How to price efficiently European options in some geometric Lévy processes models,
International Journal of Business, vol. 13, n° 4, 301-314.
F. QUITTARD-PINON, R. RANDRIANANIVONY
Tails of random sums of a heavy-tailed number of light-tailed terms,
Insurance: Mathematics and Economics, 43, 85-92.
C. ROBERT, J. SEGERS
Estimating the multivariate extremal index function,
Bernoulli, 14, 1027-1064.
C. ROBERT
Le théâtre, un outil de formation au management,
Revue Française de Gestion, Vol. 34/181, 77-96.
M. SALGADO
IFRS, solvabilité 2, embedded value : quel traitement du risque ?
Bulletin Français d’Actuariat, vol. 8, n° 15, janvier-juin, 67-96.
P. THEROND
2007
Contrôle interne, contrôle externe et qualité : le cas des services et établissements sociaux et médico-sociaux,Economie et Management, juin, 8 p.
S. BERTEZENE
Comment mesurer l’éthique dans les services et établissements sociaux et médico-sociaux ?
Droit Déontologie et Santé, septembre, 15 p.
S. BERTEZENE, J.J. NILLES
Beyond the Gaussian Copula: Stochastic and Local Correlation,
Journal of Credit Risk, Vol. 3, n°1, 31-62.
X. BURTSCHELL, J. GREGORY, J-P. LAURENT
Precautionary Saving in the Presence of Other Risks,
Economic Theory, 32: 414-424.
C. COURBAGE, B. REY
Negative binomial version of the Lee-Carter model for mortality forecasting,
Applied Stochastic Models in Business and Industry. Volume 23, Issue 5, 385-401.
A. DELWARDE, M. DENUIT, C. PARTRAT
A good sign for multivariate risk taking,
Management Science, 53: 117-124.
L. EECKHOUDT, B. REY, H. SCHLESINGER
Time to ruin, insolvency penalties and dividends in a Markov-modulated multirisk model with common shocks,
Bulletin Français d'Actuariat, No. 14, Vol. 8, 4-24.
S. LOISEL
Outils numériques pour la simulation Monte Carlo des produits dérivés complexes,
Bulletin Français d’Actuariat, vol. 8, n° 14, 74-117.
P.A. PATARD
Construction de tables de mortalité prospectives : le cas des petites populations,
Bulletin Français d'Actuariat, Vol. 7, n° 14, 118-146.
F. PLANCHET, V. LELIEUR
L’utilisation des splines bi-dimensionnels pour l'estimation de lois de maintien en arrêt de travail,
Bulletin Français d’Actuariat, Vol. 7, n° 13.
F. PLANCHET, P. WINTER
Stochastic stability of some state-dependent growth-collapse processes,
Advances in Applied Probability, 39, 1-32.
C. ROBERT
Analysing the performance of bootstrap neural tests for conditional heteroskedascity in ARCH-M models,
Computational Statistics & Data Analysis, Vol. 51, Issue 5, February, 2442-2460.
C. SIANI, C. DE PERETTI
Provisions et capital de solvabilité d'une compagnie d'assurance : méthodologie d'utilisation de Value-at-Risk,
Assurances et Gestion des Risques, Vol. 74 (4).
P. THEROND, F. PLANCHET
2006
A nonhomogeneous risk model for insurance,Computers and Mathematics with Applications, 51, 325-334.
C. LEFEVRE, Ph. PICARD
Le point sur les options parisiennes et leurs applications,
Banque & Marchés n°82.
C. BERNARD, O. LE COURTOIS
Development and pricing of a new participating contract,
North American Actuarial Journal, 10(4), 179-195.
C. BERNARD, O. LE COURTOIS, F. QUITTARD-PINON
Alternative Risk Measures for Alternative Investments,
Journal of Risk, Vol. 8, n°4, 1-32.
A. CHABAANE, J-P. LAURENT, Y. MALEVERGNE, F. TURPIN
Prudence and optimal prevention for health risks,
Health Economics, Vol 15, n°12, 1323-1327.
Ch. COURBAGE, B. REY
Decision-making with the incremental cost-effectiveness ratio under uncertainty, Health and System Science, SAS - 9/2006, Information decision patient, 111-145.
C. DE PERETTI, C. SIANI
Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model, Asia-Pacific
Financial Markets, 13, 11- 39.
O. LE COURTOIS, F. QUITTARD-PINON
Extreme dependence of multivariate catastrophic losses,
Scandinavian Actuarial Journal, 2006-4, 203-225.
L. LESCOURRET, C. ROBERT
On the pricing of power and other polynomial options,
Journal of Derivatives, Vol. 13, n°4: 61-71.
S. MACOVSCHI, F. QUITTARD-PINON
On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns,
Applied Financial Economics, Vol. 16, n° 3, 271 – 289.
Y. MALEVERGNE, V. PISARENKO, D. SORNETTE
Exponential inequalities and functional estimations for weak dependent data; applications to dynamical systems,
Stochastics and Dynamics, 6, no. 4, 535-560.
V. MAUME-DESCHAMPS
Exponential inequalities and estimation of conditional probabilities, Lect. notes in Stat.,
Springer, Vol. 187, 123-140.
V. MAUME-DESCHAMPS
Étude du risque systématique de mortalité,
Assurances et Gestion des Risques, Vol. 74 (3).
F. PLANCHET, L. FAUCILLON, M. JUILLARD
Mesure de l'incertitude tendancielle sur la mortalité – application à un régime de rentes,
Assurances et Gestion des Risques, Vol 75 (3).
F. PLANCHET, M. JUILLARD
Backward stochastic differential equations with jumps and related non-linear expectations,
Stochastic Processes and Their Applications, Vol. 116, n°10, 1358-1376.
M. ROYER
Fieller's method performance in problematic cases for decision-making,
Health and System Science, SAS - 9/2006, Information decision patient, 205-226.
C. SIANI, C. DE PERETTI
Flux RSS HAL
- [hal-03714661] Les leviers d'adoption des objets connectés : une différenciation par le type d'objet5 juillet 2022Les objets connectés (OC), capables de collecter, d'analyser et de produire des données, font à présent partie de notre quotidien. Si leur potentiel de développement en font des produits largement courtisés par les entreprises, les déterminants de leur adoption par les consommateurs restent peu connus. Cette recherche questionne la pertinence de différents leviers dans l'adoption de deux grands types d'OC : les « wearables » (montre connectée) et les objets de mobilité (assurance automobile connectée). La Théorie du Comportement Planifié offre un cadre d'analyse pertinent, mais la prise en compte de nouvelles variables telles que la passion des gadgets est indispensable pour expliquer l'intention d'adopter ces objets aux multiples facettes. Une étude empirique menée auprès de 362 répondants montre que les déterminants de l'adoption des OC ne sont pas les mêmes selon la nature de l'objet et l'estimation d'un modèle d'équations structurelles met en évidence le rôle modérateur du type d'objet.
- [hal-01955227] Contribution of alcohol use disorders to the burden of dementia in France 2008–13: a nationwide retrospective cohort study14 décembre 2018BACKGROUND: Dementia is a prevalent condition, affecting 5-7% of people aged 60 years and older, and a leading cause of disability in people aged 60 years and older globally. We aimed to examine the association between alcohol use disorders and dementia risk, with an emphasis on early-onset dementia (<65 years). METHODS: We analysed a nationwide retrospective cohort of all adult (≥20 years) patients admitted to hospital in metropolitan France between 2008 and 2013. The primary exposure was alcohol use disorders and the main outcome was dementia, both defined by International Classification of Diseases, tenth revision discharge diagnosis codes. Characteristics of early-onset dementia were studied among prevalent cases in 2008-13. Associations of alcohol use disorders and other risk factors with dementia onset were analysed in multivariate Cox models among patients admitted to hospital in 2011-13 with no record of dementia in 2008-10. FINDINGS: Of 31 624 156 adults discharged from French hospitals between 2008 and 2013, 1 109 343 were diagnosed with dementia and were included in the analyses. Of the 57 353 (5·2%) cases of early-onset dementia, most were either alcohol-related by definition (22 338 [38·9%]) or had an additional diagnosis of alcohol use disorders (10 115 [17·6%]). Alcohol use disorders were the strongest modifiable risk factor for dementia onset, with an adjusted hazard ratio of 3·34 (95% CI 3·28-3·41) for women and 3·36 (3·31-3·41) for men. Alcohol use disorders remained associated with dementia onset for both sexes (adjusted hazard ratios >1·7) in sensitivity analyses on dementia case definition (including Alzheimer's disease) or older study populations. Also, alcohol use disorders were significantly associated with all other risk factors for dementia onset (all p<0·0001). INTERPRETATION: Alcohol use disorders were a major risk factor for onset of all types of dementia, and especially early-onset dementia. Thus, screening for heavy drinking should be part of regular medical care, with intervention or treatment being offered when necessary. Additionally, other alcohol policies should be considered to reduce heavy drinking in the general population. FUNDING: None.
- [hal-04875595] Predictive models to estimate utility from clinical questionnaires in schizophrenia: findings from EuroSC9 janvier 2025Objective The clinical symptoms of schizophrenia are associated with serious social, quality of life and functioning alterations. Typically, data on health utilities are not available in clinical studies in schizophrenia. This makes the economic evaluation of schizophrenia treatments challenging. The purpose of this article was to provide a mapping function to predict unobserved utility values in patients with schizophrenia from the available clinical and socio-demographic information. Methods The analysis was performed using data from EuroSC, a 2-year, multi-centre, cohort study conducted in France (N = 288), Germany (N = 618), and the UK (N = 302), totalling 1208 patients. Utility was calculated based on the EQ-5D questionnaire. The relationships between the utility values and the patients’ socio-demographic and clinical characteristics (Positive and Negative Syndrome Scale—PANSS, Calgary Depression Scale for Schizophrenia—CDSS, Global Assessment of Functioning—GAF, extra-pyramidal symptoms measured by Barnes Akathisia Scale—BAS, age, sex, country, antipsychotic type) were modelled using a random and a fixed individual effects panel linear model. Results The analysis demonstrated the prediction ability of the used parameters for estimating utility measures in patients with schizophrenia. Although there are small variations between countries, the same variables appear to be the key predictors. From a clinical perspective, age, gender, psychopathology, and depression were the most important predictors associated with the EQ-5D. Conclusion This paper proposed a reliable, robust and easy-to-apply mapping method to estimate EQ-5D utilities based on demographic and clinical measures in schizophrenia.
- [halshs-01784310] [Methods for the analysis and treatment of cost data by micro- and gross-costing approaches]3 mai 2018This work addresses the analysis of individual cost data in the setting of interventional or observational studies using statistical analysis software once the costs per patient have been estimated. It is in fact necessary to be able to present and describe data in an appropriate manner in each of the studied health strategies and to test whether the difference in costs observed between treatment groups is due to chance or not. Furthermore, cost analysis differs from conventional statistical analysis in that cost data have a certain number of specific properties, including their use by health decision-makers. This work also addresses the difficulties that generally arise in regard to the distribution of cost; it explains why the mathematical average constitutes the only relevant measure for economists; and it outlines which analyses are required for inter-strategy cost comparisons. It also covers the issue of missing or censored data, features that are inherent to information collected regarding costs and to sensitivity analyses.
- [hal-04875619] Cost Effectiveness of Pegfilgrastim Versus Filgrastim After High-Dose Chemotherapy and Autologous Stem Cell Transplantation in Patients with Lymphoma and Myeloma9 janvier 2025Background Use of the recombinant human granulocyte colony-stimulating factor (rhG-CSF) filgrastim accelerates neutrophil recovery following myelosuppressive chemotherapy. Since filgrastim requires multiple daily administrations, forms of rhG-CSF with a longer half life, including pegfilgrastim, have been developed. Pegfilgrastim is safe and effective in supporting neutrophil recovery and reducing febrile neutropenia after conventional chemotherapy. Pegfilgrastim has also been successfully used to support patients undergoing peripheral blood stem cell (PBSC) transplantation for haematological malignancies. To our knowledge, no cost-effectiveness analysis (CEA) of pegfilgrastim in this setting has been published yet. Objective We undertook a CEA to compare a single injection of pegfilgrastim versus repeated administrations of filgrastim in patients who had undergone PBSC transplantation for lymphoma or myeloma. The CEA was set in France and covered a period of 100 ± 10 days from transplant. Methods The CEA was designed as part of an open-label, multicentre, randomized phase II trial. Costs were assessed from the hospital’s point of view and are expressed in 2009 euros. Costs computation focused on inpatient, outpatient, and home care. Costs in the two arms of the study were compared using the Mann–Whitney test. When differences were statistically significant, multiple regression analyses were performed in order to identify cost drivers. Incremental cost-effectiveness ratios (ICER) were calculated for the major endpoints of the trial; i.e., duration of febrile neutropenia (absolute neutrophil count [ANC] <0.5 × 109/L and temperature ≥38 °C), duration of neutropenia (ANC <1.0 × 109/L and ANC <0.5 × 109/L), duration of thrombopenia (platelets <50 × 109/L and <20 × 109/L), and days with a temperature ≥38 °C). Uncertainty around the ICER was captured by a probabilistic analysis using a non-parametric bootstrap method. Results 151 patients were enrolled at ten French centres from October 2008 to September 2009. The mean total cost in the pegfilgrastim arm of the study (n = 74) was €25,024 (SD 9,945). That in the filgrastim arm (n = 76) was €28,700 (SD 20,597). Pegfilgrastim strictly dominated filgrastim for days of febrile neutropenia avoided, days of neutropenia (ANC <1.0 × 109/L) avoided, days of thrombopenia (platelets <20 × 109/L) avoided, and days with temperature ≥38 °C) avoided. Pegfilgrastim was less costly and less effective than filgrastim for the number of days with ANC <0.5 × 109/L avoided and the number of days with platelets <50.0 × 109/L avoided. Taking uncertainty into account, the probabilities that pegfilgrastim strictly dominated filgrastim were 67 % for febrile neutropenia, 86 % for neutropenia (ANC <1.0 × 109/L), 59 % for thrombopenia (platelets <20 × 109/L), 86 % for temperature ≥38 °C, 32 % for neutropenia (ANC <0.5 × 109/L), and 43 % for thrombopenia (platelets <50 × 109/L). Conversely, the probability that filgrastim strictly dominated pegfilgrastim for neutropenia (ANC <0.5 × 109/L) is 5 %. Conclusion This study found no evidence that the use of pegfilgrastim is associated with greater cost in lymphoma and myeloma patients after high-dose chemotherapy and PBSC transplantation.
- [hal-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-02278733] Mesure du risque de perte d’autonomie totale en France métropolitaine4 septembre 2019Ce papier s’intéresse à la construction de loi d’incidence pour la perte d’autonomie totale sur la période 2010-2012 à partir des données des bases nationales d’hospitalisation (PMSI 2008-2013). Nos résultats sont décomposés selon deux types de dépendance : dépendance cognitive (ou démence) et dépendance physique. Les femmes présentent un risque légèrement plus important d’entrée en démence, alors que le risque lié à la dépendance physique est plus marqué chez les hommes. L’incidence en dépendance « toutes causes » est comparable entre hommes et femmes. Les résultats suggèrent un ralentissement de l’incidence aux delà de 90 ans et une convergence des hommes et des femmes aux grands âges. Les implications de ces résultats pour l’extrapolation aux grands âges sont discutées.
- [hal-01771351] Cationic phosphonolipids containing quaternary phosphonium and arsonium groups for DNA transfection with good efficiency and low cellular toxicity19 avril 2018Replacing the ammonium polar head in cationic lipids 1 (A = N) by a phosphonium or an arsonium group (A=P, As) improves their properties as synthetic vectors for DNA transfection. The increased volume of the cationic head is supposed to modify the interactions of the vector with the solvent and DNA.
- [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-03230075] L’intégration des canaux de distribution en contexte de transition digitale : une relecture par la théorie des ressources19 mai 2021De nombreux distributeurs s’engagent dans une stratégie d’intégration des canaux sous la pression du consommateur qui souhaite désormais une expérience d’achat intégrée. L’intégration des canaux s’inscrit dans le contexte de la transition digitale de l’entreprise et afin de l’aborder, il est nécessaire de se situer à un niveau stratégique. En effet, l’intégration des canaux s’accompagne nécessairement d’une collaboration inter-fonctionnelle. En se basant sur le cadre de la théorie des ressources (RBV), cet article se propose de répondre à la question de recherche suivante : quelles sont les ressources mobilisées par les distributeurs en vue d’une intégration réussie ? Ainsi, l’analyse des ressources mobilisées par les distributeurs est réalisée à partir de la classification des ressources logistiques de Duong et Paché (2015) qui est utilisée comme grille de lecture après adaptation au contexte de l’intégration des canaux. Une étude qualitative exploratoire reposant sur six cas met au jour les ressources déployées dans leurs stratégies d’intégration par des distributeurs français et canadiens dans trois secteurs. Les résultats montrent que les distributeurs mobilisent cinq ressources : des ressources technologiques, organisationnelles, physiques, relationnelles et d’expertise. Cette recherche confronte, pour la première fois, la grille de Duong et Paché (2015) à un terrain empirique et élargit son application au-delà de son contexte d’origine, la logistique. D’un point de vue théorique, cet article fait émerger et structure une réflexion autour des ressources nécessaires au déploiement d’une stratégie omnicanal. D’un point de vue managérial, il souligne la diversité des ressources qui sous-tend les stratégies d’intégration des canaux et fournit aux équipes dirigeantes un outil permettant d’établir un diagnostic des ressources.
- [hal-00937071] Impact of Climate Change on HeatWave Risk27 janvier 2014We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of climate change on heat wave risk. Numerical illustrations are given.
- [hal-01616178] A survey of some recent results on Risk Theory13 octobre 2017The goal of this paper is to give recent results in risk theory presented at the Conference "Journée MAS 2012" which took place in Clermont Ferrand. After a brief state of the art on ruin theory, we explore some particular aspects and recent results. One presents matrix exponential approximations of the ruin probability. Then we present asymptotics of the ruin probability based on mixing properties of the claims distribution. Finally, the multivariate case, motivated by reinsurance, is presented and some contemporary results (closed forms and asymptotics) are given.
- [halshs-01670155] Being Treated In Higher Volume Hospitals Leads To Longer Progression-Free Survival For Epithelial Ovarian Carcinoma Patients in the Rhone-Alpes region of France6 février 2018Background: To investigate the relationship between hospital volume activities and the survival for Epithelial Ovarian Carcinoma (EOC) patients in France.
- [hal-04936065] Creation of a Spatiotemporal Algorithm and Application to COVID-19 Data8 février 2025This study offers an in-depth analysis of the COVID-19 pandemic's trajectory in several member countries of the European Union (EU) in order to assess similarities in their crisis experiences. We also examine data from the United States to facilitate a larger comparison across continents. We introduce our new approach, which uses a spatiotemporal algorithm to identify five distinct and recurring phases that each country underwent at different times during the COVID-19 pandemic. These stages include: Comfort Period, characterized by minimal COVID-19 activity and limited impacts; Preventive Situation, demonstrating the implementation of proactive measures, with relatively low numbers of cases, deaths, and Intensive Care Unit (ICU) admissions; Worrying Situation, is defined by high levels of concern and preparation as deaths and cases begin to rise and reach substantial levels; Panic Situation, marked by a high number of deaths relative to the number of cases and a rise in ICU admissions, denoting a critical and alarming period of the pandemic; and finally, Epidemic Control Situation, distinguished by limited numbers of COVID-19 deaths despite a high number of new cases. By examining these phases, we identify the various waves of the pandemic, indicating periods where the health crisis had a significant impact. This comparative analysis highlights the time lags between countries as they transitioned through these different critical stages and navigated the waves of the COVID-19 pandemic.
- [hal-02476291] Trends in the Control Strategies for Occupational Exposure to Carcinogenic, Mutagenic, and Reprotoxic Chemicals in France (2003-2010)12 février 2020European directives stipulate that French employers take all available measures to reduce the use of carcinogenic, mutagenic, and reprotoxic (CMR) chemicals. Our study explores the trends for the various control measures that are available to employees exposed to CMR agents, at two time points (2003 and 2010).Our study assessed data from the 2003 and the 2010 French national cross-sectional survey of occupational hazards (SUMER). The availability of collective protections (source-based controls and general ventilation) and personal protective equipment (PPE) was explored. Trends in the availability of protective measures were studied using multilevel logistic regressions.Exposure situations without any protective measures decreased considerably between 2003 and 2010 (29.9% versus 17.9%, respectively). The increase in the proportion of exposure situations involving source-based controls (e.g. an isolation chamber and local exhaust ventilation) was, however, much less. Multiple regression analysis showed that the protection strategies depended on the job characteristics (e.g. work schedules, the employment contract, and the occupation) as well as the size of the company. There were noticeable changes between 2003 and 2010. For example, differences in protections available between full-time and part-time workers disappeared in the 7-year period, whereas those between executives/managers and other employees increased, as did the gaps between large and small companies.Although the overall increase in exposure situations involving protective measures masks a number of differences in exposure between employee categories, it is a step in the right direction. Source-based controls appeared to be implemented more for exposures with the longest durations, and PPE was very often combined with collective protections, which is what is currently recommended.
- [hal-02055149] MESURE DU RISQUE DE PERTE D'AUTONOMIE TOTALE EN FRANCE MÉTROPOLITAINE3 mars 2019Ce papier s'intéresse à la construction de loi d'incidence pour la perte d'autonomie totale sur la période 2010-2012 à partir des données des bases nationales d'hospitalisation (PMSI 2008-2013). Nos résultats sont décomposés selon deux types de dépendance : dépendance cognitive (ou démence) et dépendance physique. Les femmes présentent un risque légèrement plus important d'entrée en démence, alors que le risque lié à la dépendance physique est plus marqué chez les hommes. L'incidence en dépendance « toutes causes » est comparable entre hommes et femmes. Les résultats suggèrent un ralentissement de l'incidence aux delà de 90 ans et une convergence des hommes et des femmes aux grands âges. Les implications de ces résultats pour l'extrapolation aux grands âges sont discutées.
- [hal-04875628] Neural Tests for Conditional Heteroskedasticity in ARCH-M Models16 décembre 2025This paper deals with tests for detecting conditional heteroskedasticity in ARCH-M models using three kinds of methods: neural networks techniques, bootstrap methods and both combined.As regards the ARCH models, Péguin-Feissolle (2000) developed tests based on the modelling techniques with neural network. However, as regards the ARCH-M models, a nuisance parameter is not identified and the tests are not applicable. To solve this problem, we propose to adapt these neural tests to Davies procedure (1987) leading to new tests. The performance of these latter tests are compared with those of Bera and Ra test (1995).However, Bera and Ra test has not really satisfactory performance and suffer from serious size distortion. Our neural test will have the same problem. To solve this second problem, without loss of power, we apply parametric and nonparametric bootstrap methods on the underlying test statistics.Lastly, to examine the size and the power properties of the tests in small samples, Monte Carlo simulations are carried out with various standard and non-standard models for conditional heteroskedasticity as to illustrate a variety of situations. In addition, the graphical presentation of Davidson and MacKinnon (1998a) is used to show the "true" power of the tests and not only the (nominal) power, as it is often the case, that can be meaningless.
- [hal-04602826] Estimating Disease-Free Life Expectancy Based on Clinical Data from the French Hospital Discharge Database6 juin 2024The development of health indicators to measure healthy life expectancy (HLE) is an active field of research aimed at summarizing the health of a population. Although many health indicators have emerged in the literature as critical metrics in public health assessments, the methods and data to conduct this evaluation vary considerably in nature and quality. Traditionally, health data collection relies on population surveys. However, these studies, typically of limited size, encompass only a small yet representative segment of the population. This limitation can necessitate the separate estimation of incidence and mortality rates, significantly restricting the available analysis methods. In this article, we leverage an extract from the French National Hospital Discharge database to define health indicators. Our analysis focuses on the resulting Disease-Free Life Expectancy (Dis-FLE) indicator, which provides insights based on the hospital trajectory of each patient admitted to hospital in France during 2008–2013. Through this research, we illustrate the advantages and disadvantages of employing large clinical datasets as the foundation for more robust health indicators. We shed light on the opportunities that such data offer for a more comprehensive understanding of the health status of a population. In particular, we estimate age-dependent hazard rates associated with sex, alcohol abuse, tobacco consumption, and obesity, as well as geographic location. Simultaneously, we delve into the challenges and limitations that arise when adopting such a data-driven approach.
- [halshs-03978273] Analyzing the Difficulties of Continuing Physical Activity during the COVID-19 Crisis in France8 février 2023Physical activity (PA) and limiting sedentary behavior have been recognized as healthpromoting behaviors for many years. Since the COVID-19 pandemic, changes in lifestyle habits have occurred, causing disparities in PA practice. This article aimed to examine the characteristics of French adults who self-reported having difficulties in continuing their exercise practices during the pandemic. Multivariate logistic regressions were used to test whether certain demographic, morphologic, behavioral (sleep, sedentary lifestyle, extent of household chores), and exercise-related variables were significant predictors of experiencing such difficulties, based on data from an online survey of insurance company members. Difficulties in PA practice were found in 57% of the population surveyed. Several factors were identified as predictors of experiencing difficulties, including a high BMI, the type and number of physical activities usually practiced before lockdown, as well as the number of times per week dedicated to PA. For the employed population, specific factors were additionally decisive: sex, time spent in front of screens, and sleeping. Our results will allow public health policy makers and stakeholders in PA and prevention to better target populations in difficulty during periods of disruption, such as that of the pandemic; thus, allowing them to propose structural or organizational solutions for the continuity of PA practice.
- [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.
- [emse-00699607] Model risk in the pricing of weather derivatives14 février 2024Temperature modelling is a major issue for valuation of weather derivatives. Goodness of fit is usually assessed from historical data. However, estimation errors can result in large price uncertainty that may be problematic for practical applications. In this paper, we consider a temperature ARMA model and quantify the price uncertainties for weather Futures and weather options. Each price is seen as a random variable (which is a function of the parameters estimator), and we assess price uncertainty by giving confidence intervals. In addition, we look for sources of uncertainty, and point out the major defects of the model.
- [emse-00744904] A Bootstrap approach to the price uncertainty of weather derivatives24 octobre 2012This paper investigates price uncertainties in weather derivatives contracts through a bootstrap approach. Futures prices are computed under a periodic ARMA model in an actuarial framework for two different locations, Paris and Chicago. We show that statistical errors may lead to substantial uncertainties on futures prices with confidence intervals up to 10% of the assessed prices.
- [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-00412977] A link between wave governed random motions and ruin processes10 juin 2026This article establishes a link between hitting times associated with the risk process (time of ruin) and wave governed random motions, which are widely used in physics. Concerning risk theory, another link holds between processes corresponding to models called positive and negative risk sums. Some classical results appear to be strongly interconnected. An original algorithm is proposed for computing finite-time ruin probabilities in renewal non-Poissonian risk model with exponential claims. Concerning wave-governed random motions, we analyze the distribution of the maxima of the processes. New bounds are directly derived from risk theory and appear to be more accurate than the ones proposed recently in the probabilistic literature. Finally, we propose applications of these notions in finance.
- [hal-01582574] Adaptive Robust Control Under Model Uncertainty6 septembre 2017In this paper we propose a new methodology for solving an uncertain stochastic Marko-vian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under consideration can be solved in terms of associated adaptive robust Bellman equation. The success of our approach is to the great extend owed to the recursive methodology for construction of relevant confidence regions. We illustrate our methodology by considering an optimal portfolio allocation problem, and we compare results obtained using the adaptive robust control method with some other existing methods.
- [hal-00870492] Density approach in modelling successive defaults24 octobre 2013We apply the default density framework developed in El Karoui et al. \cite{ejj1} to modelling of multiple defaults, which can be adapted to both top-down and bottom-up models. We present general pricing results and establish links with the classical intensity approach. Explicit models are also proposed by using the methods of change of probability measure or dynamic copula.
- [hal-01205753] Dynamics of multivariate default system in random environment16 novembre 2016We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with the density approach in the credit risk modelling. In the particular case where no environmental information is concerned, we pay a special attention to the phenomenon of system weakened by failures as in the classical reliability system.
- [hal-00768526] Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions21 décembre 2012In this paper, we introduce a new structured financial product: the so-called Life Nominal Chooser Swaption (LNCS). Thanks to such a contract, insurers could keep pure longevity risk and transfer a great part of interest rate risk underlying annuity portfolios to financial markets. Before the issuance of the contract, the insurer determines a confidence band of survival curves for her portfolio. An interest rate hedge is set up, based on swaption mechanisms. The bank uses this band as well as an interest rate model to price the product. At the end of the first period (e.g. 8 to 10 years), the insurer has the right to enter into an interest rate swap with the bank, where the nominal is adjusted to her (re-forecasted) needs. She chooses (inside the band) the survival curve that better fits her anticipation of future mortality of her portfolio (during 15 to 20 more years, say) given the information available at that time. We use a population dynamics longevity model and a classical two-factor interest rate model %two-factor Heath-Jarrow-Morton (HJM) model for interest rates to price this product. Numerical results show that the option offered to the insurer (in terms of choice of nominal) is not too expensive in many real-world cases. We also discuss the pros and the cons of the product and of our methodology. This structure enables insurers and financial institutions to remain in their initial field of expertise.
- [hal-00417800] Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges16 juillet 2010This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry.
- [hal-00712897] Stochastic and Tychastic Approaches to Guaranteed ALM Problem28 juin 2012Unlike traditional valuation methods, viability theory provides tools for eradicating the risk, by determining the minimum initial capital that would meet the commitments of the investor, regardless market developments. In this study, we compare two approaches to risk assessment within a framework of asset-liability management (ALM) of a guaranteed fund. The optimal allocation of assets for such funds is determined initially by the classical portfolio insurance (thus with a statistical evaluation of risk) and then in a second step, by tools of viability theory. Although the results from the two approaches are not strictly comparable in terms of numerical point of view (as in both cases the goals are different in nature), this study offers, on a practical example of ALM management, two radically different philosophies: one is the statistical evaluation of risk, based on probabilistic models, while the other one eradicates risk, using viability theory.
- [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-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.
- [halshs-01663724] Workshop Synthesis: Comparing and Combining Survey Modes15 décembre 2017This paper summarizes the discussions held during an in-depth six-hour workshop on the challenges of combining data from different survey modes with the anticipated aim of identifying current research needs. The main theme of the workshop was mixing survey modes as a way to meet the challenge of low response rates. However, the use of multi-mode surveys introduces new sources of bias: not all households have access to certain survey media (coverage bias); the response rate using one or another of the survey modes is correlated with social demographics (non-response bias); the sampling frame is dependent on the mode (sampling bias) or the instrument itself may affect the responses (measurement bias). The aim of this report is present the workshop's discussion on the identification of research needs with related to combining data from different survey modes.
- [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-01366013] A strong hysteretic model of Okun’s Law: theory and a preliminary investigation14 septembre 2016This paper presents a 'strong hysteretic' version of Okun's Law, that is, a version of the law in which 'history matters.' In this version of the link between fluctuations in unemployment and growth, the most important past growth shock exerts an influence on the current unemployment rate. A theoretical framework is proposed in order to lay the foundations of this version of Okun's Law. In this framework, the hysteresis property arises because a large number of heterogeneous firms discontinuously adjust their activity levels in response to fluctuations in the rate of growth. The foundations having been laid, a method for empirically testing our hysteretic Okun's Law is presented. An algorithm permits construction of a hysteresis operator, which synthesizes, for every moment, the growth shocks that have remained in the memory bank of the unemployment rate. Empirical tests are conducted to assess the empirical relevance of this version of Okun's Law, as compared to the more familiar linear relationship. Empirical results consistent with hysteresis are found for several of the countries in our sample.
- [hal-01840057] Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities16 juillet 2018The attractiveness of insurance saving products is driven, among others, by dividends payments to policyholders and participation in profits. These are mainly constrained by regulatory measures on profit-sharing on the basis of statutory accounts. Moreover, since both prudential and financial reporting regulation require market consistent best estimate measurement of insurance liabilities, cash-flows projection models have to be used for such a purpose in order to derive the underlying financial incomes. Such models are based on Monte-Carlo techniques. The latter should simulate future accounting profit and losses needed for profit-sharing mechanisms. In this paper we deal with impairment losses on equity securities for financial portfolios which rely on instrument-by-instrument assessment (when projection models consider groups of shares). Our motivation is to describe the joint distribution of market value and impairment provision of a book of equity securities, with regard to the French accounting rules for depreciation. The results we obtain enable to improve the ability of projection models to represent such an asymmetric mechanism. Formally, an impairment loss is recognized for an equity instrument if there has been a significant and prolonged decline in its market value below the carrying cost (acquisition value). Such constraints are formalized using an assumption on the dynamics of the equity, and leads to a complex option-like pay-off. Using this formulation, we propose analytical formulas for some quantitative measurements related the impairments losses of a book of financial equities. These are derived on a general framework and some tractable example are illustrated. We also investigate the operational implementation of these formulas and compare their computational time to a basic simulation approach.
- [hal-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 .
- [halshs-03353458] Priority setting in health care and higher order degree change in risk24 septembre 2021[...]