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
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