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Stéphane Loisel
(Stephane Loisel)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2020. "Optimal prevention strategies in the classical risk model," Post-Print hal-02314899, HAL.

    Cited by:

    1. Romain Gauchon & Stéphane Loisel & Jean-Louis Rullière & Julien Trufin, 2020. "Optimal prevention of large risks with two types of claims," Post-Print hal-02314914, HAL.

  2. Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020. "Bounding Basis-Risk Using s-convex Orders on Beta-unimodal Distributions," Post-Print hal-02611227, HAL.

    Cited by:

    1. Hansjörg Albrecher & José Carlos Araujo-Acuna, 2022. "On The Randomized Schmitter Problem," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 515-535, June.

  3. Anna Castañer & M. Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2019. "Partially Schur-constant models," Post-Print hal-01998057, HAL.

    Cited by:

    1. Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.

  4. Hansjoerg Albrecher & Antoine Bommier & Damir Filipović & Pablo Koch-Medina & Stéphane Loisel & Hato Schmeiser, 2019. "Insurance: Models, Digitalization, and Data Science," Swiss Finance Institute Research Paper Series 19-26, Swiss Finance Institute.

    Cited by:

    1. Ilaria Colivicchi & Gianluca Iannucci, 2023. "The Environmental Responsibility of Firms and Insurance Coverage in an Evolutionary Game," Dynamic Games and Applications, Springer, vol. 13(3), pages 801-818, September.
    2. Martin Eling & Davide Nuessle & Julian Staubli, 2022. "The impact of artificial intelligence along the insurance value chain and on the insurability of risks," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 47(2), pages 205-241, April.
    3. Christopher Blier-Wong & Hélène Cossette & Luc Lamontagne & Etienne Marceau, 2020. "Machine Learning in P&C Insurance: A Review for Pricing and Reserving," Risks, MDPI, vol. 9(1), pages 1-26, December.
    4. Arthur Charpentier & Lariosse Kouakou & Matthias Lowe & Philipp Ratz & Franck Vermet, 2021. "Collaborative Insurance Sustainability and Network Structure," Papers 2107.02764, arXiv.org, revised Sep 2022.
    5. Antonella Cappiello, 2020. "The Digital (R)evolution of Insurance Business Models," American Journal of Economics and Business Administration, Science Publications, vol. 12(1), pages 1-13, January.

  5. David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.

    Cited by:

    1. Menoncin, Francesco & Regis, Luca, 2020. "Optimal life-cycle labour supply, consumption, and investment: The role of longevity-linked assets," Journal of Banking & Finance, Elsevier, vol. 120(C).
    2. Zhiping Huang & Michael Sherris & Andrés M. Villegas & Jonathan Ziveyi, 2022. "Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models," Risks, MDPI, vol. 10(9), pages 1-28, September.

  6. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2018. "Markov Property in Discrete Schur-constant Models," Post-Print hal-01995775, HAL.

    Cited by:

    1. Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.
    2. Kolev, Nikolai & Mulinacci, Sabrina, 2022. "New characterizations of bivariate discrete Schur-constant models," Statistics & Probability Letters, Elsevier, vol. 180(C).
    3. Anna Castañer & M. Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2019. "Partially Schur-constant models," Post-Print hal-01998057, HAL.

  7. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Post-Print hal-01995767, HAL.

    Cited by:

    1. Muhsin Tamturk, 2023. "Quantum Computing in Insurance Capital Modelling," Mathematics, MDPI, vol. 11(3), pages 1-13, January.
    2. Muhsin Tamturk & Dominic Cortis & Mark Farrell, 2020. "Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19," Risks, MDPI, vol. 8(4), pages 1-13, December.
    3. Tautvydas Kuras & Jonas Sprindys & Jonas Šiaulys, 2020. "Martingale Approach to Derive Lundberg-Type Inequalities," Mathematics, MDPI, vol. 8(10), pages 1-18, October.

  8. Hansjoerg Albrecher & Daniel Bauer & Paul Embrechts & Damir Filipović & Pablo Koch-Medina & Ralf Korn & Stéphane Loisel & Antoon Pelsser & Frank Schiller & Hato Schmeiser & Joël Wagner, 2017. "Asset-Liability Management for Long-Term Insurance Business," Swiss Finance Institute Research Paper Series 17-69, Swiss Finance Institute, revised Jan 2018.

    Cited by:

    1. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2021. "Insurance valuation: A two-step generalised regression approach," Post-Print hal-03043244, HAL.
    2. Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Nov 2023.
    3. Karim Barigou & Valeria Bignozzi & Andreas Tsanakas, 2020. "Insurance valuation: A two-step generalised regression approach," Papers 2012.04364, arXiv.org, revised Nov 2021.
    4. Aigner, Philipp, 2023. "Identifying scenarios for the own risk and solvency assessment of insurance companies," ICIR Working Paper Series 48/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    5. Bauer, Daniel & Zanjani, George, 2021. "Economic capital and RAROC in a dynamic model," Journal of Banking & Finance, Elsevier, vol. 125(C).
    6. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
    7. Delong, Łukasz & Dhaene, Jan & Barigou, Karim, 2019. "Fair valuation of insurance liability cash-flow streams in continuous time: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 196-208.
    8. Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.

  9. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2017. "On finite exchangeable sequences and their dependence," Post-Print hal-01995790, HAL.

    Cited by:

    1. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2018. "Markov Property in Discrete Schur-constant Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 1003-1012, September.

  10. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.

    Cited by:

    1. Paul Doukhan & Joseph Rynkiewicz & Yahia Salhi, 2021. "Optimal Neighborhood Selection for AR-ARCH Random Fields with Application to Mortality," Stats, MDPI, vol. 5(1), pages 1-26, December.
    2. Arnold, Séverine & Glushko, Viktoriya, 2021. "Cause-specific mortality rates: Common trends and differences," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 294-308.
    3. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    4. Jarner, Søren F. & Jallbjørn, Snorre, 2020. "Pitfalls and merits of cointegration-based mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 80-93.
    5. Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.

  11. Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2017. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Post-Print hal-01242023, HAL.

    Cited by:

    1. Karim Barigou & Daniel Linders & Fan Yang, 2021. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Papers 2109.13796, arXiv.org, revised Mar 2022.
    2. Florian Gach & Simon Hochgerner & Eva Kienbacher & Gabriel Schachinger, 2023. "Mean-field Libor market model and valuation of long term guarantees," Papers 2310.09022, arXiv.org, revised Nov 2023.
    3. Diana Dorobantu & Yahia Salhi & Pierre-E. Thérond, 2020. "Modelling Net Carrying Amount of Shares for Market Consistent Valuation of Life Insurance Liabilities," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 711-745, June.
    4. Anna Maria Gambaro & Riccardo Casalini & Gianluca Fusai & Alessandro Ghilarducci, 2019. "A market-consistent framework for the fair evaluation of insurance contracts under Solvency II," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 157-187, June.
    5. Derrick W. H. Fung & David Jou & Ai Ju Shao & Jason J. H. Yeh, 2021. "The informativeness of embedded value reporting to stock price," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5341-5376, December.
    6. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
    7. Francesco Strati & Luca G. Trussoni, 2020. "Exact cash-account deflator for the G2++ model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-14, March.
    8. Pierre-Edouard Arrouy & Alexandre Boumezoued & Bernard Lapeyre & Sophian Mehalla, 2022. "Economic Scenario Generators: a risk management tool for insurance," Post-Print hal-03671943, HAL.
    9. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
    10. Karim Barigou & Daniël Linders & Fan Yang, 2022. "Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation," Post-Print hal-03327710, HAL.
    11. Fabrice Borel-Mathurin & Julien Vedani, 2019. "Market-consistent valuation: a step towards calculation stability," Working Papers hal-02282378, HAL.
    12. Sascha Desmettre & Simon Hochgerner & Sanela Omerovic & Stefan Thonhauser, 2021. "A mean-field extension of the LIBOR market model," Papers 2109.10779, arXiv.org.
    13. Kladívko, Kamil & Rusý, Tomáš, 2023. "Maximum likelihood estimation of the Hull–White model," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 227-247.
    14. Florian Gach & Simon Hochgerner, 2021. "Estimation of future discretionary benefits in traditional life insurance," Papers 2101.06077, arXiv.org, revised Jul 2022.

  12. Borel-Mathurin, Fabrice & Loisel, Stephane & Segers, Johan, 2017. "Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views," LIDAM Discussion Papers ISBA 2017006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

    Cited by:

    1. Aurélien Violon & Dominique Durant & Oana Toader, 2018. "The Impact of the Identification of GSIBs on their Business Model," Débats économiques et financiers 33, Banque de France.
    2. Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017. "Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views," EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.
    3. Cyril Pouvelle., 2022. "An Analysis of Financial Conglomerate Resilience: A Perspective on bancassurance in France [Une analyse de la résilience des conglomérats financiers : Une perspective sur la bancassurance en France," Débats économiques et financiers 39, Banque de France.
    4. Dina Manolache Aurora Elena, 2019. "Stress and scenario tests in the context of a Romanian non-life insurance company," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 13(1), pages 149-161, May.
    5. Monnet, Eric & , & Ungaro, Stefano, 2021. "The Real Effects of Bank Runs. Evidence from the French Great Depression (1930-1931)," CEPR Discussion Papers 16054, C.E.P.R. Discussion Papers.

  13. Hansjoerg Albrecher & Paul Embrechts & Damir Filipović & Glenn W. Harrison & Pablo Koch-Medina & Stéphane Loisel & Paolo Vanini & Joël Wagner, 2016. "Old-Age Provision: Past, Present, Future," Swiss Finance Institute Research Paper Series 16-55, Swiss Finance Institute.

    Cited by:

    1. Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge, 2022. "Mortality modeling and regression with matrix distributions," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 68-87.

  14. Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016. "Wind Storm Risk Management," Working Papers hal-01299692, HAL.

    Cited by:

    1. Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017. "Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views," EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.

  15. Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2015. "Index for predicting insurance claims from wind storms with an application in France," Post-Print hal-01081758, HAL.

    Cited by:

    1. Alexandre Mornet & Thomas Opitz & Michel Luzi & Stéphane Loisel, 2016. "Wind Storm Risk Management," Working Papers hal-01299692, HAL.

  16. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.

    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Jackie Li & Jia Liu, 2020. "A modified extreme value perspective on best-performance life expectancy," Journal of Population Research, Springer, vol. 37(4), pages 345-375, December.
    3. Edouard Debonneuil & Anne Eyraud-Loisel & Frédéric Planchet, 2018. "Can Pension Funds Partially Manage Longevity Risk by Investing in a Longevity Megafund?," Risks, MDPI, vol. 6(3), pages 1-27, July.

  17. F. Borel-Mathurin & P.-E. Darpeix & Q. Guibert & S. Loisel, 2015. "Main determinants of profit sharing policy in the French life insurance industry," Débats économiques et financiers 17, Banque de France.

    Cited by:

    1. Aurélien Violon & Dominique Durant & Oana Toader, 2018. "The Impact of the Identification of GSIBs on their Business Model," Débats économiques et financiers 33, Banque de France.
    2. Bravo, Jorge Miguel & El Mekkaoui de Freitas, Najat, 2018. "Valuation of longevity-linked life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 212-229.
    3. Chen, Shi & Zhao, Yonghong & Huang, Fu-Wei & Wang, Bin & Lin, Jyh-Horng, 2024. "Carbon leakage perspective: Unveiling policy dilemmas in emission trading and carbon tariffs under insurer green finance," Energy Economics, Elsevier, vol. 130(C).
    4. Srbinoski Bojan & Strozzi Fernanda & Poposki Klime & Born Patricia H., 2020. "Trends in Life Insurance Demand and Lapse Literature," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(2), pages 1-46, July.
    5. Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017. "Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views," EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.
    6. Cyril Pouvelle., 2022. "An Analysis of Financial Conglomerate Resilience: A Perspective on bancassurance in France [Une analyse de la résilience des conglomérats financiers : Une perspective sur la bancassurance en France," Débats économiques et financiers 39, Banque de France.
    7. Kok, Christoffer & Pancaro, Cosimo & Berdin, Elia, 2017. "A stochastic forward-looking model to assess the profitability and solvency of European insurers," Working Paper Series 2028, European Central Bank.
    8. Aur'elien Alfonsi & Adel Cherchali & Jose Arturo Infante Acevedo, 2019. "A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula," Papers 1908.00811, arXiv.org.
    9. Monnet, Eric & , & Ungaro, Stefano, 2021. "The Real Effects of Bank Runs. Evidence from the French Great Depression (1930-1931)," CEPR Discussion Papers 16054, C.E.P.R. Discussion Papers.
    10. B. Camara & F.-D. Castellani & H. Fraisse & L. Frey & C. Héam & L. Labonne & V. Martin, 2015. "MERCURE : A Macroprudential Stress Testing Model developed at the ACPR," Débats économiques et financiers 19, Banque de France.
    11. J. Hombert & V. Lyonnet, 2017. "Intergenerational Risk Sharing in Life Insurance: Evidence from France," Débats économiques et financiers 30, Banque de France.

  18. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2015. "A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model," Post-Print hal-00853680, HAL.

    Cited by:

    1. Pierre-Olivier Goffard & Stéphane Loisel & Denys Pommeret, 2017. "Polynomial Approximations for Bivariate Aggregate Claims Amount Probability Distributions," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 151-174, March.

  19. Anna Castañer & Maria Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2015. "Discrete Schur-constant models," Post-Print hal-01081756, HAL.

    Cited by:

    1. Aoudia, Djilali Ait & Marchand, Éric & Perron, François, 2016. "Counts of Bernoulli success strings in a multivariate framework," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 1-10.
    2. Anna Castañer & M. Mercè Claramunt, 2019. "Equilibrium Distributions and Discrete Schur-constant Models," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 449-459, June.
    3. Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.
    4. Kolev, Nikolai & Mulinacci, Sabrina, 2022. "New characterizations of bivariate discrete Schur-constant models," Statistics & Probability Letters, Elsevier, vol. 180(C).
    5. Anna Castañer & M. Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2019. "Partially Schur-constant models," Post-Print hal-01998057, HAL.
    6. Jones, M.C. & Marchand, Éric, 2019. "Multivariate discrete distributions via sums and shares," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 83-93.
    7. Ta, Bao Quoc & Van, Chung Pham, 2017. "Some properties of bivariate Schur-constant distributions," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 69-76.
    8. Anna Casta~ner & M Merc`e Claramunt, 2017. "Equilibrium distributions and discrete Schur-constant models," Papers 1709.09955, arXiv.org.
    9. Peyhardi, Jean & Fernique, Pierre & Durand, Jean-Baptiste, 2021. "Splitting models for multivariate count data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    10. Anna Castañer & M Mercè Claramunt, 2017. "Equilibrium distributions and discrete Schur-constant models," Working Papers hal-01593552, HAL.
    11. Claude Lefèvre & Stéphane Loisel & Sergey Utev, 2018. "Markov Property in Discrete Schur-constant Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 1003-1012, September.

  20. Julien Azzaz & Stéphane Loisel & Pierre-Emmanuel Thérond, 2015. "Some characteristics of an equity security next-year impairment," Post-Print hal-00820929, HAL.

    Cited by:

    1. Diana Dorobantu & Yahia Salhi & Pierre-E. Thérond, 2020. "Modelling Net Carrying Amount of Shares for Market Consistent Valuation of Life Insurance Liabilities," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 711-745, June.
    2. Achim Luminita-Georgiana & Mitoi Elena & Turlea Ioan-Codrut, 2021. "A methodological approach to developing and validating IFRS 9 -LGD parameters," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 15(1), pages 683-694, December.
    3. Yahia Salhi & Pierre-Emmanuel Thérond, 2017. "Alarm System for Credit Losses Impairment under IFRS 9," Post-Print hal-00927391, HAL.

  21. Maria Govorun & Guy Latouche & Stéphane Loisel, 2015. "Phase-type aging modeling for health dependent costs," Post-Print hal-01084274, HAL.

    Cited by:

    1. Fuino, Michel & Wagner, Joël, 2018. "Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 51-70.
    2. Khouzeima Moutanabbir & Hassan Abdelrahman, 2022. "Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1093-1118, June.

  22. Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.

    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Eva Boj del Val & M. Mercè Claramunt Bielsa & Xavier Varea Soler, 2020. "Role of Private Long-Term Care Insurance in Financial Sustainability for an Aging Society," Sustainability, MDPI, vol. 12(21), pages 1-21, October.
    3. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    4. Mohamed Amine Lkabous & Jean-François Renaud, 2018. "A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model," Risks, MDPI, vol. 6(3), pages 1-11, August.
    5. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    6. Hirbod Assa & Manuel Morales & Hassan Omidi Firouzi, 2016. "On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory," Risks, MDPI, vol. 4(3), pages 1-20, August.
    7. Guérin, Hélène & Renaud, Jean-François, 2017. "On the distribution of cumulative Parisian ruin," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 116-123.
    8. Jiandong Ren & Kristina Sendova & Ričardas Zitikis, 2019. "Special Issue “Risk, Ruin and Survival: Decision Making in Insurance and Finance”," Risks, MDPI, vol. 7(3), pages 1-7, September.

  23. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.

    Cited by:

    1. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2017. "Impact of Dependence on Some Multivariate Risk Indicators," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 395-427, June.
    2. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2015. "A risk management approach to capital allocation," Working Papers hal-01163180, HAL.
    3. Véronique Maume-Deschamps & Didier Rullière & Khalil Said, 2016. "On a capital allocation by minimizing multivariate risk indicators," Post-Print hal-01082559, HAL.
    4. Cuberos A. & Masiello E. & Maume-Deschamps V., 2015. "High level quantile approximations of sums of risks," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, October.

  24. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.

    Cited by:

    1. Constantinescu Corina D. & Kozubowski Tomasz J. & Qian Haoyu H., 2019. "Probability of ruin in discrete insurance risk model with dependent Pareto claims," Dependence Modeling, De Gruyter, vol. 7(1), pages 215-233, January.
    2. Buddana Amrutha & Kozubowski Tomasz J., 2014. "Discrete Pareto Distributions," Stochastics and Quality Control, De Gruyter, vol. 29(2), pages 143-156, December.
    3. Youri Raaijmakers & Hansjörg Albrecher & Onno Boxma, 2019. "The Single Server Queue with Mixing Dependencies," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1023-1044, December.
    4. Badía, F.G. & Sangüesa, C. & Cha, J.H., 2014. "Stochastic comparison of multivariate conditionally dependent mixtures," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 82-94.
    5. Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and maximum of dependent Pareto risks," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 136-156.

  25. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.

    Cited by:

    1. Denuit, Michel M., 2018. "Risk apportionment and multiply monotone targets," Mathematical Social Sciences, Elsevier, vol. 92(C), pages 74-77.
    2. Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014. "A separation theorem for the weak s-convex orders," LIDAM Reprints ISBA 2014043, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Anna Castañer & M. Mercè Claramunt, 2019. "Equilibrium Distributions and Discrete Schur-constant Models," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 449-459, June.
    4. Claude Lefèvre & Stéphane Loisel & Pierre Montesinos, 2020. "Bounding basis risk using s-convex orders on Beta-unimodal distributions," Working Papers hal-02611208, HAL.
    5. Anna Castañer & M. Mercè Claramunt & Claude Lefèvre & Stéphane Loisel, 2019. "Partially Schur-constant models," Post-Print hal-01998057, HAL.
    6. Giguelay, J. & Huet, S., 2018. "Testing k-monotonicity of a discrete distribution. Application to the estimation of the number of classes in a population," Computational Statistics & Data Analysis, Elsevier, vol. 127(C), pages 96-115.
    7. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
    8. Anna Casta~ner & M Merc`e Claramunt, 2017. "Equilibrium distributions and discrete Schur-constant models," Papers 1709.09955, arXiv.org.
    9. Peyhardi, Jean & Fernique, Pierre & Durand, Jean-Baptiste, 2021. "Splitting models for multivariate count data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    10. Balabdaoui, Fadoua & Kulagina, Yulia, 2020. "Completely monotone distributions: Mixing, approximation and estimation of number of species," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
    11. Anna Castañer & M Mercè Claramunt, 2017. "Equilibrium distributions and discrete Schur-constant models," Working Papers hal-01593552, HAL.
    12. Denuit, Michel, 2016. "Risk Apportionment and Multiply Monotone Targets," LIDAM Discussion Papers ISBA 2016044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

  26. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on HeatWave Risk," Post-Print hal-00937071, HAL.

    Cited by:

    1. Georgia Warren-Myers & Gideon Aschwanden & Franz Fuerst & Andy Krause, 2018. "Estimating the Potential Risks of Sea Level Rise for Public and Private Property Ownership, Occupation and Management," Risks, MDPI, vol. 6(2), pages 1-21, April.

  27. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.

    Cited by:

    1. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
    2. Osatakul, Dhiti & Li, Shuanming & Wu, Xueyuan, 2023. "Discrete-time risk models with surplus-dependent premium corrections," Applied Mathematics and Computation, Elsevier, vol. 437(C).
    3. Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
    4. Li, Shu & Landriault, David & Lemieux, Christiane, 2015. "A risk model with varying premiums: Its risk management implications," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 38-46.

  28. Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-00746245, HAL.

    Cited by:

    1. Asimit, Alexandru V. & Boonen, Tim J. & Chi, Yichun & Chong, Wing Fung, 2021. "Risk sharing with multiple indemnity environments," European Journal of Operational Research, Elsevier, vol. 295(2), pages 587-603.
    2. Malinovskii, Vsevolod K., 2015. "Business planning for a profit-seeking insurer under deficiency of information," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 215-226.
    3. Asmussen, Søren & Christensen, Bent Jesper & Thøgersen, Julie, 2019. "Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 92-100.
    4. Mourdoukoutas, Fotios & Boonen, Tim J. & Koo, Bonsoo & Pantelous, Athanasios A., 2021. "Pricing in a competitive stochastic insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 44-56.
    5. Chen, Lv & Shen, Yang & Su, Jianxi, 2020. "A continuous-time theory of reinsurance chains," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 129-146.
    6. Boonen, Tim J. & Pantelous, Athanasios A. & Wu, Renchao, 2018. "Non-cooperative dynamic games for general insurance markets," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 123-135.
    7. Runze Yang & Ruigang Zhang, 2022. "Environmental Pollution Liability Insurance and Corporate Performance: Evidence from China in the Perspective of Green Development," IJERPH, MDPI, vol. 19(19), pages 1-18, September.
    8. Dalit Daily-Amir & Hansjörg Albrecher & Martin Bladt & Joël Wagner, 2019. "On Market Share Drivers in the Swiss Mandatory Health Insurance Sector," Risks, MDPI, vol. 7(4), pages 1-25, November.
    9. Mendonça, Francisco V. & Catalão-Lopes, Margarida & Marinho, Rui Tato & Figueira, José Rui, 2020. "Improving medical decision-making with a management science game theory approach to liver transplantation," Omega, Elsevier, vol. 94(C).
    10. Alavi Fard, Farzad & Sy, Malick & Ivanov, Dmitry, 2019. "Optimal overbooking strategies in the airlines using dynamic programming approach in continuous time," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 128(C), pages 384-399.
    11. Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin, 2023. "Reinsurance games with two reinsurers: Tree versus chain," European Journal of Operational Research, Elsevier, vol. 310(2), pages 928-941.
    12. Boonen, Tim J., 2016. "Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator," European Journal of Operational Research, Elsevier, vol. 250(3), pages 955-965.
    13. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    14. José Daniel López-Barrientos & Ekaterina Viktorovna Gromova & Ekaterina Sergeevna Miroshnichenko, 2020. "Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations," Mathematics, MDPI, vol. 8(7), pages 1-29, July.
    15. Claire Mouminoux & Christophe Dutang & Stéphane Loisel & Hansjoerg Albrecher, 2022. "On a Markovian Game Model for Competitive Insurance Pricing," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1061-1091, June.
    16. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    17. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015. "On finite-time ruin probabilities in a generalized dual risk model with dependence," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148.
    18. Cheung, Ka Chun & Yam, Sheung Chi Phillip & Zhang, Yiying, 2019. "Risk-adjusted Bowley reinsurance under distorted probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 64-72.
    19. Søren Asmussen & Bent Jesper Christensen & Julie Thøgersen, 2019. "Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation," Risks, MDPI, vol. 7(2), pages 1-23, May.

  29. Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.

    Cited by:

    1. Benjamin Avanzi & Jos'e-Luis P'erez & Bernard Wong & Kazutoshi Yamazaki, 2016. "On optimal joint reflective and refractive dividend strategies in spectrally positive L\'evy models," Papers 1607.01902, arXiv.org, revised Nov 2016.
    2. Avanzi, Benjamin & Pérez, José-Luis & Wong, Bernard & Yamazaki, Kazutoshi, 2017. "On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 148-162.
    3. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
    4. Dila Puspita & Adam Kolkiewicz & Ken Seng Tan, 2020. "Discrete Time Ruin Probability for Takaful (Islamic Insurance) with Investment and Qard-Hasan (Benevolent Loan) Activities," JRFM, MDPI, vol. 13(9), pages 1-24, September.
    5. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
    6. Y. A. Oyetayo & O. A. Abass, 2020. "Underwriting Capacity and Financial Performance on Non-Life Insurance Companies in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(2), pages 73-80, June.
    7. Yuguang Fan & Philip S. Griffin & Ross Maller & Alexander Szimayer & Tiandong Wang, 2017. "The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation," Risks, MDPI, vol. 5(1), pages 1-27, January.
    8. Benjamin Avanzi & Vincent Tu & Bernard Wong, 2016. "A Note on Realistic Dividends in Actuarial Surplus Models," Risks, MDPI, vol. 4(4), pages 1-9, October.

  30. Pauline Barrieu & Harry Bensusan & Nicole El Karoui & Caroline Hillairet & Stéphane Loisel & Claudia Ravanelli & Yahia Salhi, 2012. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00417800, HAL.

    Cited by:

    1. Edouard Debonneuil & Stéphane Loisel & Frédéric Planchet, 2015. "Do actuaries believe in longevity deceleration?," Working Papers hal-01219270, HAL.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    3. Tsai, Pei-Hsuan & Wang, Ying-Wei & Chang, Wen-Chang, 2023. "Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwan's banking industry," Socio-Economic Planning Sciences, Elsevier, vol. 86(C).
    4. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    5. Bohm, Thomas & Waldvogel, Felix, 2012. "Etablierung eines außerbörslichen Kapitalmarktes für das Langlebigkeitsrisiko," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-02, University of Bayreuth, Chair of Finance and Banking.
    6. Risk, J. & Ludkovski, M., 2016. "Statistical emulators for pricing and hedging longevity risk products," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 45-60.
    7. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    8. Karim Barigou & Stéphane Loisel & Yahia Salhi, 2020. "Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect," Risks, MDPI, vol. 9(1), pages 1-18, December.
    9. Lydia Dutton & Athanasios A. Pantelous & Malgorzata Seklecka, 2020. "The impact of economic growth in mortality modelling for selected OECD countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 533-550, April.
    10. Kulinskaya, Elena & Gitsels, Lisanne A. & Bakbergenuly, Ilyas & Wright, Nigel R., 2020. "Calculation of changes in life expectancy based on proportional hazards model of an intervention," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 27-35.
    11. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
    12. Guibert, Quentin & Lopez, Olivier & Piette, Pierrick, 2019. "Forecasting mortality rate improvements with a high-dimensional VAR," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 255-272.
    13. Feng, Lingbing & Shi, Yanlin & Chang, Le, 2021. "Forecasting mortality with a hyperbolic spatial temporal VAR model," International Journal of Forecasting, Elsevier, vol. 37(1), pages 255-273.
    14. Yahia Salhi & Pierre-Emmanuel Thérond & Julien Tomas, 2016. "A Credibility Approach of the Makeham Mortality Law," Post-Print hal-01232683, HAL.
    15. Hong Li & Yang Lu, 2016. "Coherent Forecasting Of Mortality Rates: A Sparse Vector-Autoregression Approach," Post-Print halshs-02418954, HAL.
    16. Man Chung Fung & Gareth W. Peters & Pavel V. Shevchenko, 2017. "Cohort effects in mortality modelling: a Bayesian state-space approach," Papers 1703.08282, arXiv.org.
    17. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    18. Clemente De Rosa & Elisa Luciano & Luca Regis, 2017. "Basis risk in static versus dynamic longevity-risk hedging," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2017(4), pages 343-365, April.
    19. Ekheden, Erland & Hössjer, Ola, 2015. "Multivariate time series modeling, estimation and prediction of mortalities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 156-171.
    20. Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2018. "Mortality/longevity Risk-Minimization with or without securitization," Papers 1805.11844, arXiv.org.
    21. Schmeck, Maren Diane & Schmidli, Hanspeter, 2019. "Mortality Options: the Point of View of an Insurer," Center for Mathematical Economics Working Papers 616, Center for Mathematical Economics, Bielefeld University.
    22. Tahir Choulli & Catherine Daveloose & Michèle Vanmaele, 2021. "Mortality/Longevity Risk-Minimization with or without Securitization," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
    23. Katrien Antonio & Anastasios Bardoutsos & Wilbert Ouburg, 2015. "Bayesian Poisson log-bilinear models for mortality projections with multiple populations," BAFFI CAREFIN Working Papers 1505, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    24. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 423-448, June.
    25. Anna Rita Bacinello & An Chen & Thorsten Sehner & Pietro Millossovich, 2021. "On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk," Risks, MDPI, vol. 9(1), pages 1-18, January.
    26. Schmeck, Maren Diane & Schmidli, Hanspeter, 2021. "Mortality options: The point of view of an insurer," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 98-115.
    27. Rachel WINGENBACH & Jong-Min KIM & Hojin JUNG, 2020. "Living Longer in High Longevity Risk," JODE - Journal of Demographic Economics, Cambridge University Press, vol. 86(1), pages 47-86, March.
    28. Helena Aro & Teemu Pennanen, 2013. "Liability-driven investment in longevity risk management," Papers 1307.8261, arXiv.org.
    29. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.
    30. Menoncin, Francesco & Regis, Luca, 2017. "Longevity-linked assets and pre-retirement consumption/portfolio decisions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 75-86.
    31. Pauline Milaure Ngugnie Diffouo & Pierre Devolder, 2020. "Longevity Risk Measurement of Life Annuity Products," Risks, MDPI, vol. 8(1), pages 1-16, March.
    32. Tat Wing Wong & Mei Choi Chiu & Hoi Ying Wong, 2017. "Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 987-1023, September.
    33. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
    34. Yanlin Shi, 2021. "Forecasting mortality rates with the adaptive spatial temporal autoregressive model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 528-546, April.
    35. Albrecher, Hansjörg & Bladt, Martin & Bladt, Mogens & Yslas, Jorge, 2022. "Mortality modeling and regression with matrix distributions," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 68-87.
    36. Yahia Salhi & Stéphane Loisel, 2017. "Basis risk modelling: a co-integration based approach," Post-Print hal-00746859, HAL.
    37. Francesco Menoncin & Luca Regis, 2015. "Longevity assets and pre-retirement consumption/portfolio decisions," Working Papers 2/2015, IMT School for Advanced Studies Lucca, revised May 2015.
    38. Christophette Blanchet-Scalliet & Diana Dorobantu & Yahia Salhi, 2019. "A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives," Post-Print hal-01258645, HAL.
    39. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.
    40. James Risk & Michael Ludkovski, 2015. "Statistical Emulators for Pricing and Hedging Longevity Risk Products," Papers 1508.00310, arXiv.org, revised Sep 2015.
    41. Lledó, Josep & Pavía, Jose M. & Morillas-Jurado, Francisco G., 2019. "Incorporating big microdata in life table construction: A hypothesis-free estimator," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 138-150.

  31. Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.

    Cited by:

    1. Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou, 2016. "On bivariate lifetime modelling in life insurance applications," Papers 1601.04351, arXiv.org.
    2. Yujuan Huang & Jing Li & Hengyu Liu & Wenguang Yu, 2021. "Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method," Mathematics, MDPI, vol. 9(9), pages 1-17, April.
    3. Constantinescu Corina D. & Kozubowski Tomasz J. & Qian Haoyu H., 2019. "Probability of ruin in discrete insurance risk model with dependent Pareto claims," Dependence Modeling, De Gruyter, vol. 7(1), pages 215-233, January.
    4. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
    5. Olena Ragulina & Jonas Šiaulys, 2020. "Upper Bounds and Explicit Formulas for the Ruin Probability in the Risk Model with Stochastic Premiums and a Multi-Layer Dividend Strategy," Mathematics, MDPI, vol. 8(11), pages 1-35, October.
    6. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    7. Caroline Hillairet & Ying Jiao, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers 2017-75, Center for Research in Economics and Statistics.
    8. Xie, Jiehua & Lin, Feng & Yang, Jingping, 2017. "On a generalization of Archimedean copula family," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 121-129.
    9. Manel Kacem & Stéphane Loisel & Véronique Maume-Deschamps, 2016. "Some mixing properties of conditionally independent processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(5), pages 1241-1259, March.
    10. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
    11. Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.
    12. Youri Raaijmakers & Hansjörg Albrecher & Onno Boxma, 2019. "The Single Server Queue with Mixing Dependencies," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1023-1044, December.
    13. Sharifah Farah Syed Yusoff Alhabshi & Zamira Hasanah Zamzuri & Siti Norafidah Mohd Ramli, 2021. "Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time," Risks, MDPI, vol. 9(6), pages 1-21, June.
    14. Corina Constantinescu & Suhang Dai & Weihong Ni & Zbigniew Palmowski, 2016. "Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window," Risks, MDPI, vol. 4(2), pages 1-23, June.
    15. Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
    16. Vadim Semenikhine & Edward Furman & Jianxi Su, 2018. "On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance," Risks, MDPI, vol. 6(3), pages 1-20, August.
    17. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Papers 2103.10989, arXiv.org.
    18. Marri, Fouad & Moutanabbir, Khouzeima, 2022. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 75-90.
    19. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Copulas and related properties," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 109-121.
    20. Dacorogna, Michel & Elbahtouri, Laila & Kratz, Marie, 2015. "Explicit diversifiction benefit for dependent risks," ESSEC Working Papers WP1522, ESSEC Research Center, ESSEC Business School.
    21. Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
    22. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
    23. Muhsin Tamturk & Dominic Cortis & Mark Farrell, 2020. "Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19," Risks, MDPI, vol. 8(4), pages 1-13, December.
    24. Zhang, Jianjun & Qiu, Chunjuan & Wu, Xianyi, 2018. "Bayesian ratemaking with common effects modeled by mixture of Polya tree processes," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 87-94.
    25. Fouad Marri & Franck Adékambi & Khouzeima Moutanabbir, 2018. "Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models," Risks, MDPI, vol. 6(3), pages 1-17, August.
    26. Moshe Kelner & Zinoviy Landsman & Udi E. Makov, 2021. "Compound Archimedean Copulas," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 126-126, June.
    27. Emilio Gómez-Déniz & José María Sarabia & Enrique Calderín-Ojeda, 2019. "Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem," Risks, MDPI, vol. 7(2), pages 1-16, June.
    28. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2018. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Post-Print hal-01561987, HAL.
    29. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
    30. Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Copulas and related properties," Papers 1610.02126, arXiv.org.
    31. Lazarova, M.D. & Minkova, L.D., 2017. "I-Delaporte process and applications," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 133(C), pages 135-141.
    32. Emilio Gómez-Déniz & Jorge V. Pérez-Rodríguez & Simón Sosvilla-Rivero, 2022. "Analyzing How the Social Security Reserve Fund in Spain Affects the Sustainability of the Pension System," Risks, MDPI, vol. 10(6), pages 1-17, June.
    33. Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
    34. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Working Papers hal-03169291, HAL.
    35. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    36. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Distributional properties," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 56-68.
    37. Enkelejd Hashorva & Lanpeng Ji, 2014. "Random Shifting and Scaling of Insurance Risks," Risks, MDPI, vol. 2(3), pages 1-12, July.
    38. Cuberos A. & Masiello E. & Maume-Deschamps V., 2015. "High level quantile approximations of sums of risks," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-18, October.
    39. Caroline Hillairet & Ying Jiao & Anthony R'eveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Papers 1707.05061, arXiv.org.
    40. Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and maximum of dependent Pareto risks," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 136-156.
    41. Furman, Edward & Kye, Yisub & Su, Jianxi, 2021. "Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 153-167.
    42. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2015. "On finite-time ruin probabilities in a generalized dual risk model with dependence," European Journal of Operational Research, Elsevier, vol. 242(1), pages 134-148.
    43. Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.
    44. Zhimin Zhang & Hailiang Yang & Hu Yang, 2012. "On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 973-995, December.
    45. Furman, Edward & Kuznetsov, Alexey & Zitikis, Ričardas, 2018. "Weighted risk capital allocations in the presence of systematic risk," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 75-81.
    46. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
    47. Carole Bernard & Silvana M. Pesenti & Steven Vanduffel, 2022. "Robust Distortion Risk Measures," Papers 2205.08850, arXiv.org, revised Mar 2023.

  32. Stéphane Loisel, 2011. "On ruin models with dependent risks," Post-Print hal-00671926, HAL.

    Cited by:

    1. Furman, Edward & Kye, Yisub & Su, Jianxi, 2021. "Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 153-167.

  33. Stéphane Loisel, 2011. "Understanding and managing longevity risk," Post-Print hal-00589695, HAL.

    Cited by:

    1. D’Amato, Valeria & Haberman, Steven & Piscopo, Gabriella & Russolillo, Maria, 2012. "Modelling dependent data for longevity projections," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 694-701.

  34. Stéphane Loisel, 2011. "Surrender risk and correlation crises," Post-Print hal-00671919, HAL.

    Cited by:

    1. Zhao, Yixing & Mamon, Rogemar & Gao, Huan, 2018. "A two-decrement model for the valuation and risk measurement of a guaranteed annuity option," Econometrics and Statistics, Elsevier, vol. 8(C), pages 231-249.
    2. Jir^o Akahori & Yuuki Ida & Maho Nishida & Shuji Tamada, 2020. "The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk," Papers 2012.09606, arXiv.org.
    3. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 14(4), pages 392-413, August.
    4. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. "Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry," PSE-Ecole d'économie de Paris (Postprint) hal-01955047, HAL.
    5. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
    6. Feodoria, Mark & Förstemann, Till, 2015. "Lethal lapses: How a positive interest rate shock might stress German life insurers," Discussion Papers 12/2015, Deutsche Bundesbank.
    7. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    8. Francesca Biagini & Tobias Huber & Johannes G. Jaspersen & Andrea Mazzon, 2021. "Estimating extreme cancellation rates in life insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 971-1000, December.
    9. Mark Kiermayer, 2021. "Modeling surrender risk in life insurance: theoretical and experimental insight," Papers 2101.11590, arXiv.org, revised Aug 2021.
    10. Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.
    11. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    12. Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-01616156, HAL.
    13. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, vol. 4(4), pages 1-36, November.
    14. Debbie Kusch Falden & Anna Kamille Nyegaard, 2021. "Retrospective Reserves and Bonus with Policyholder Behavior," Risks, MDPI, vol. 9(1), pages 1-28, January.

  35. Xavier Milhaud & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?," Post-Print hal-00450003, HAL.

    Cited by:

    1. Mathias Valla & Xavier Milhaud & Anani Ayodélé Olympio, 2023. "Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies," Post-Print hal-03903047, HAL.
    2. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. "Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry," PSE-Ecole d'économie de Paris (Postprint) hal-01955047, HAL.
    3. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
    4. Christophe Dutang, 2012. "The customer, the insurer and the market," Post-Print hal-01616152, HAL.
    5. Gemmo, Irina & Götz, Martin, 2016. "Life insurance and demographic change: An empirical analysis of surrender decisions based on panel data," ICIR Working Paper Series 24/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    6. Francesca Biagini & Tobias Huber & Johannes G. Jaspersen & Andrea Mazzon, 2021. "Estimating extreme cancellation rates in life insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 971-1000, December.
    7. Lu Yu & Jiang Cheng & Tzuting Lin, 2019. "Life insurance lapse behaviour: evidence from China," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 44(4), pages 653-678, October.
    8. Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.
    9. victor Lyonnet, 2018. "Asset-liability management in life insurance: Evidence from France," Working Papers 2018-12, Center for Research in Economics and Statistics.
    10. Gemmo, Irina & Götz, Martin, 2016. "Life insurance and demographic change: An empirical analysis of surrender decisions based on panel data," SAFE Working Paper Series 240, Leibniz Institute for Financial Research SAFE.

  36. Stéphane Loisel, 2011. "Explicit ruin probabilities with dependent risks," Post-Print hal-00671923, HAL.

    Cited by:

    1. Claude Lefèvre & Matthieu Simon, 2021. "Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 317-339, March.
    2. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Papers 2103.10989, arXiv.org.

  37. Mathieu Bargès & Hélène Cossette & Stéphane Loisel & Etienne Marceau, 2011. "On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," Post-Print hal-00426502, HAL.

    Cited by:

    1. Li, Yaohan & Dong, You & Guo, Hongyuan, 2023. "Copula-based multivariate renewal model for life-cycle analysis of civil infrastructure considering multiple dependent deterioration processes," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
    2. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2023. "Risk aggregation with FGM copulas," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 102-120.
    3. Sharifah Farah Syed Yusoff Alhabshi & Zamira Hasanah Zamzuri & Siti Norafidah Mohd Ramli, 2021. "Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time," Risks, MDPI, vol. 9(6), pages 1-21, June.
    4. Blier-Wong, Christopher & Cossette, Hélène & Marceau, Etienne, 2022. "Stochastic representation of FGM copulas using multivariate Bernoulli random variables," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
    5. Dominik Kortschak & Stéphane Loisel & Pierre Ribereau, 2014. "Ruin problems with worsening risks or with infinite mean claims," Post-Print hal-00735843, HAL.
    6. Ghislain Léveillé & Ilie-Radu Mitric & Victor Côté, 2018. "Effects of the Age Process on Aggregate Discounted Claims," Risks, MDPI, vol. 6(4), pages 1-17, September.
    7. Fouad Marri & Franck Adékambi & Khouzeima Moutanabbir, 2018. "Moments of Compound Renewal Sums with Dependent Risks Using Mixing Exponential Models," Risks, MDPI, vol. 6(3), pages 1-17, August.
    8. Siti Norafidah Mohd Ramli & Jiwook Jang, 2014. "Neumann Series on the Recursive Moments of Copula-Dependent Aggregate Discounted Claims," Risks, MDPI, vol. 2(2), pages 1-16, May.
    9. Woo, Jae-Kyung & Cheung, Eric C.K., 2013. "A note on discounted compound renewal sums under dependency," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179.
    10. Albrecher, Hansjörg & Cheung, Eric C.K. & Liu, Haibo & Woo, Jae-Kyung, 2022. "A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 96-118.
    11. Lefèvre, Claude & Picard, Philippe, 2011. "A new look at the homogeneous risk model," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.
    12. Shuanming Li & Yi Lu, 2018. "On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment," Risks, MDPI, vol. 6(2), pages 1-16, May.
    13. Zhao, Xiaobing & Zhou, Xian, 2012. "Copula models for insurance claim numbers with excess zeros and time-dependence," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 191-199.
    14. Marri, Fouad & Furman, Edward, 2012. "Pricing compound Poisson processes with the Farlie–Gumbel–Morgenstern dependence structure," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 151-157.

  38. Stéphane Loisel & Xavier Milhaud, 2011. "From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital," Post-Print hal-00502847, HAL.

    Cited by:

    1. Zhao, Yixing & Mamon, Rogemar & Gao, Huan, 2018. "A two-decrement model for the valuation and risk measurement of a guaranteed annuity option," Econometrics and Statistics, Elsevier, vol. 8(C), pages 231-249.
    2. Jir^o Akahori & Yuuki Ida & Maho Nishida & Shuji Tamada, 2020. "The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk," Papers 2012.09606, arXiv.org.
    3. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 14(4), pages 392-413, August.
    4. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. "Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry," PSE-Ecole d'économie de Paris (Postprint) hal-01955047, HAL.
    5. Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
    6. Feodoria, Mark & Förstemann, Till, 2015. "Lethal lapses: How a positive interest rate shock might stress German life insurers," Discussion Papers 12/2015, Deutsche Bundesbank.
    7. Harry Bensusan & Nicole El Karoui & Stéphane Loisel & Yahia Salhi, 2016. "Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions," Post-Print hal-00768526, HAL.
    8. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.
    9. Francesca Biagini & Tobias Huber & Johannes G. Jaspersen & Andrea Mazzon, 2021. "Estimating extreme cancellation rates in life insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 971-1000, December.
    10. Mark Kiermayer, 2021. "Modeling surrender risk in life insurance: theoretical and experimental insight," Papers 2101.11590, arXiv.org, revised Aug 2021.
    11. Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.
    12. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.
    13. Christophe Dutang & Hansjoerg Albrecher & Stéphane Loisel, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," Post-Print hal-01616156, HAL.
    14. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, vol. 4(4), pages 1-36, November.
    15. Debbie Kusch Falden & Anna Kamille Nyegaard, 2021. "Retrospective Reserves and Bonus with Policyholder Behavior," Risks, MDPI, vol. 9(1), pages 1-28, January.

  39. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.

    Cited by:

    1. Julia Eisenberg & Lukas Fabrykowski & Maren Diane Schmeck, 2021. "Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model," Risks, MDPI, vol. 9(4), pages 1-25, April.
    2. Eisenberg, Julia & Fabrykowski, Lukas & Schmeck, Maren Diane, 2021. "Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model," Center for Mathematical Economics Working Papers 648, Center for Mathematical Economics, Bielefeld University.

  40. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.

    Cited by:

    1. Michael Ludkovski & James Risk, 2017. "Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement," Papers 1710.05204, arXiv.org, revised May 2018.
    2. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
    3. Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
    4. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
    5. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.

  41. Romain Biard & Claude Lefèvre & Stéphane Loisel & Haikady Nagaraja, 2011. "Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings," Post-Print hal-00409418, HAL.

    Cited by:

    1. Li, Xiaohu & Wu, Jintang, 2014. "Asymptotic tail behavior of Poisson shot-noise processes with interdependence between shock and arrival time," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 15-26.
    2. Søren Asmussen & Romain Biard, 2011. "Ruin probabilities for a regenerative Poisson gap generated risk process," Post-Print hal-00569254, HAL.
    3. Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.

  42. Stéphane Loisel, 2011. "Explicit ruin formulas for dependent risks," Post-Print hal-00600093, HAL.

    Cited by:

    1. Yujuan Huang & Jing Li & Hengyu Liu & Wenguang Yu, 2021. "Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method," Mathematics, MDPI, vol. 9(9), pages 1-17, April.
    2. Caroline Hillairet & Ying Jiao, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers 2017-75, Center for Research in Economics and Statistics.
    3. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
    4. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Distributional properties," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 56-68.

  43. Stéphane Loisel, 2010. "Joint modeling of portfolio experienced and national mortality: A co-integration based approach," Post-Print hal-00502852, HAL.

    Cited by:

    1. Enrico Biffis & David Blake & Lorenzo Pitotti & Ariel Sun, 2016. "The Cost of Counterparty Risk and Collateralization in Longevity Swaps," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 387-419, June.
    2. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.

  44. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.

    Cited by:

    1. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
    2. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. "Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry," PSE-Ecole d'économie de Paris (Postprint) hal-01955047, HAL.

  45. Stéphane Loisel & Pierre Arnal & Romain Durand, 2010. "Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA," Working Papers hal-00502848, HAL.

    Cited by:

    1. Barsotti, Flavia & Milhaud, Xavier & Salhi, Yahia, 2016. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 317-331.

  46. Claude Lefèvre & Stéphane Loisel, 2010. "Stationary-excess operator and convex stochastic orders," Post-Print hal-00442047, HAL.

    Cited by:

    1. Denuit, Michel & Liu, Liqun & Meyer, Jack, 2014. "A separation theorem for the weak s-convex orders," LIDAM Reprints ISBA 2014043, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Anna Castañer & M. Mercè Claramunt, 2019. "Equilibrium Distributions and Discrete Schur-constant Models," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 449-459, June.
    3. Manel Kacem & Claude Lefèvre & Stéphane Loisel, 2013. "Convex extrema for nonincreasing discrete distributions: effects of convexity constraints," Working Papers hal-00912942, HAL.
    4. Anna Casta~ner & M Merc`e Claramunt, 2017. "Equilibrium distributions and discrete Schur-constant models," Papers 1709.09955, arXiv.org.
    5. Anna Castañer & M Mercè Claramunt, 2017. "Equilibrium distributions and discrete Schur-constant models," Working Papers hal-01593552, HAL.
    6. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.

  47. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.

    Cited by:

    1. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    2. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    3. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.
    4. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    5. Landriault, David & Renaud, Jean-François & Zhou, Xiaowen, 2011. "Occupation times of spectrally negative Lévy processes with applications," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2629-2641, November.
    6. Cénac P. & Maume-Deschamps V. & Prieur C., 2012. "Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

  48. Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print hal-00403662, HAL.

    Cited by:

    1. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
    2. Eling, Martin & Jung, Kwangmin, 2020. "Risk aggregation in non-life insurance: Standard models vs. internal models," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 183-198.
    3. Xavier Milhaud & Victorien Poncelet & Clement Saillard, 2018. "Operational Choices for Risk Aggregation in Insurance: PSDization and SCR Sensitivity," Risks, MDPI, vol. 6(2), pages 1-23, April.
    4. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
    5. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
    6. Mezőfi, Balázs & Niedermayer, Andras & Niedermayer, Daniel & Süli, Balázs Márton, 2017. "Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 164-171.
    7. Asier Garayeta & J. Inaki De La Pena & Ivan Iturricastillo, 2014. "Pragmatic Solutions for Solvency Capital Requirements at Life Insurance Companies: The Case of Spain," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 5(4), pages 39-51, July.
    8. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Papers 1309.7222, arXiv.org, revised Dec 2013.
    9. Dominique Guegan & Bertrand K. Hassani, 2019. "Risk Measurement," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02119256, HAL.
    10. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Working Papers hal-00744351, HAL.
    11. Pauline Milaure Ngugnie Diffouo & Pierre Devolder, 2020. "Longevity Risk Measurement of Life Annuity Products," Risks, MDPI, vol. 8(1), pages 1-16, March.
    12. Julien Vedani & Fabien Ramaharobandro, 2013. "Continuous compliance: a proxy-based monitoring framework," Working Papers hal-00866531, HAL.
    13. Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee, 2018. "Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management," JRFM, MDPI, vol. 11(4), pages 1-23, October.
    14. Fabrice Borel-Mathurin & Julien Vedani, 2019. "Market-consistent valuation: a step towards calculation stability," Working Papers hal-02282378, HAL.
    15. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Papers 1210.6000, arXiv.org, revised Oct 2012.
    16. Arbenz, Philipp & Hummel, Christoph & Mainik, Georg, 2012. "Copula based hierarchical risk aggregation through sample reordering," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 122-133.

  49. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.

    Cited by:

    1. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    2. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
    3. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
    4. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.

  50. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.

    Cited by:

    1. Goffard, Pierre-Olivier & Lefèvre, Claude, 2018. "Duality in ruin problems for ordered risk models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52.
    2. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Zhao, Shouqi, 2016. "On the evaluation of finite-time ruin probabilities in a dependent risk model," Applied Mathematics and Computation, Elsevier, vol. 275(C), pages 268-286.
    3. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
    4. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
    5. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
    6. Andrius Grigutis & Jonas Šiaulys, 2020. "Ultimate Time Survival Probability in Three-Risk Discrete Time Risk Model," Mathematics, MDPI, vol. 8(2), pages 1-30, January.
    7. Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2017. "On the First Crossing of Two Boundaries by an Order Statistics Risk Process," Risks, MDPI, vol. 5(3), pages 1-14, August.
    8. Claude Lefèvre & Philippe Picard, 2014. "Ruin Probabilities for Risk Models with Ordered Claim Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 16(4), pages 885-905, December.
    9. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
    10. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    11. Lefèvre, Claude & Picard, Philippe, 2011. "A new look at the homogeneous risk model," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.
    12. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    13. Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2019. "Ruin and Deficit Under Claim Arrivals with the Order Statistics Property," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 511-530, June.
    14. Bihao Su & Chenglong Xu & Jingchao Li, 2022. "A Deep Neural Network Approach to Solving for Seal’s Type Partial Integro-Differential Equation," Mathematics, MDPI, vol. 10(9), pages 1-21, May.

  51. Stéphane Loisel, 2009. "A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins," Working Papers hal-00375715, HAL.

    Cited by:

    1. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, June.

  52. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.

    Cited by:

    1. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
    2. Fabrice Borel-Mathurin & Nicole El Karoui & Stéphane Loisel & Julien Vedani, 2020. "Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments," Working Papers hal-02905181, HAL.
    3. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    4. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.

  53. Laurent Devineau & Stéphane Loisel, 2009. "Construction d'un algorithme d'accélération de la méthode des «simulations dans les simulations» pour le calcul du capital économique Solvabilité II," Post-Print hal-00365363, HAL.

    Cited by:

    1. Nteukam T., Oberlain & Planchet, Frédéric, 2012. "Stochastic evaluation of life insurance contracts: Model point on asset trajectories and measurement of the error related to aggregation," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 624-631.
    2. Matthieu Chauvigny & Laurent Devineau & Stéphane Loisel & Véronique Maume-Deschamps, 2011. "Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management," Post-Print hal-00517766, HAL.
    3. Nicole El Karoui & Stéphane Loisel & Jean-Luc Prigent & Julien Vedani, 2017. "Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions," Post-Print hal-01242023, HAL.
    4. Laurent Devineau & Pierre-Edouard Arrouy & Paul Bonnefoy & Alexandre Boumezoued, 2017. "Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion," Working Papers hal-01521491, HAL.
    5. Fort Gersende & Gobet Emmanuel & Moulines Eric, 2017. "MCMC design-based non-parametric regression for rare event. Application to nested risk computations," Monte Carlo Methods and Applications, De Gruyter, vol. 23(1), pages 21-42, March.

  54. Stéphane Loisel & Christian Mazza & Didier Rullière, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Post-Print hal-00168714, HAL.

    Cited by:

    1. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    2. Stéphane Loisel & Nicolas Privault, 2009. "Sensitivity analysis and density estimation for finite-time ruin probabilities," Post-Print hal-00201347, HAL.
    3. Touazi, A. & Benouaret, Z. & Aissani, D. & Adjabi, S., 2017. "Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 78-83.
    4. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
    5. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    6. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
    7. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    8. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.

  55. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.

    Cited by:

    1. Irmina Czarna & Zbigniew Palmowski, 2009. "De Finetti's dividend problem and impulse control for a two-dimensional insurance risk process," Papers 0906.2100, arXiv.org, revised Feb 2011.
    2. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    3. Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Kam Pui Wat & Kam Chuen Yuen & Wai Keung Li & Xueyuan Wu, 2018. "On the Compound Binomial Risk Model with Delayed Claims and Randomized Dividends," Risks, MDPI, vol. 6(1), pages 1-13, January.
    5. Lanpeng Ji & Chunsheng Zhang, 2014. "A Duality Result for the Generalized Erlang Risk Model," Risks, MDPI, vol. 2(4), pages 1-11, November.
    6. Christophe Dutang & Claude Lefèvre & Stéphane Loisel, 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Post-Print hal-00746251, HAL.
    7. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
    8. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
    9. Andrius Grigutis & Jonas Šiaulys, 2020. "Ultimate Time Survival Probability in Three-Risk Discrete Time Risk Model," Mathematics, MDPI, vol. 8(2), pages 1-30, January.
    10. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
    11. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
    12. Edita Kizinevič & Jonas Šiaulys, 2018. "The Exponential Estimate of the Ultimate Ruin Probability for the Non-Homogeneous Renewal Risk Model," Risks, MDPI, vol. 6(1), pages 1-17, March.
    13. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    14. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    15. Yi Lu, 2016. "On the Evaluation of Expected Penalties at Claim Instants That Cause Ruin in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 237-255, March.
    16. Gathy, Maude & Lefèvre, Claude, 2010. "On the Lagrangian Katz family of distributions as a claim frequency model," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 76-83, August.
    17. Hamed Amini & Zhongyuan Cao & Andreea Minca & Agn`es Sulem, 2023. "Ruin Probabilities for Risk Processes in Stochastic Networks," Papers 2302.06668, arXiv.org.
    18. Li, Shuanming & Lu, Yi, 2017. "Distributional study of finite-time ruin related problems for the classical risk model," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 319-330.
    19. Lee, Wing Yan & Li, Xiaolong & Liu, Fangda & Shi, Yifan & Yam, Sheung Chi Phillip, 2021. "A Fourier-cosine method for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 256-267.
    20. Yuen, Fei Lung & Lee, Wing Yan & Fung, Derrick W.H., 2020. "A cyclic approach on classical ruin model," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 104-110.
    21. Serkan Eryilmaz, 2014. "On Distributions of Runs in the Compound Binomial Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 149-159, March.

  56. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.

    Cited by:

    1. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    2. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
    3. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
    4. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    5. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    6. Xiaohu Li & Jintang Wu & Jinsen Zhuang, 2015. "Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 463-477, June.
    7. Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.
    8. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    9. Geoffrey Nichil & Pierre Vallois, 2019. "Solvency Need Resulting from Reserving Risk in a ORSA Context," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 567-592, June.

  57. Stéphane Loisel, 2008. "Inter-age correlation in stochastic mortality models," Post-Print hal-00397267, HAL.

    Cited by:

    1. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.

  58. Stéphane Loisel, 2008. "In the core of longevity risk: hidden dependence in stochastic mortality models and cut‐offs in prices of longevity swaps," Post-Print hal-00397260, HAL.

    Cited by:

    1. Paul Doukhan & Joseph Rynkiewicz & Yahia Salhi, 2021. "Optimal Neighborhood Selection for AR-ARCH Random Fields with Application to Mortality," Stats, MDPI, vol. 5(1), pages 1-26, December.
    2. Chou-Wen Wang & Sharon S. Yang, 2013. "Pricing Survivor Derivatives With Cohort Mortality Dependence Under the Lee–Carter Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1027-1056, December.
    3. Carlo Maccheroni & Samuel Nocito, 2017. "Backtesting the Lee–Carter and the Cairns–Blake–Dowd Stochastic Mortality Models on Italian Death Rates," Risks, MDPI, vol. 5(3), pages 1-23, July.
    4. Apostolos Bozikas & Ioannis Badounas & Georgios Pitselis, 2022. "Pricing Longevity Bonds under a Credibility Framework with Limited Available Data," Risks, MDPI, vol. 10(5), pages 1-15, May.
    5. Rihab Bedoui & Islem Kedidi, 2018. "Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models," Working Papers hal-01678050, HAL.

  59. Stéphane Loisel, 2008. "From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM," Post-Print hal-00379422, HAL.

    Cited by:

    1. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
    2. Georgios Marinakos & Sophia Daskalaki & Theodoros Ntrinias, 2014. "Defensive financial decisions support for retailers in Greek pharmaceutical industry," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(3), pages 525-551, September.

  60. Wayne Fisher & Stéphane Loisel & Shaun Wang, 2008. "On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level," Post-Print hal-00268841, HAL.

    Cited by:

    1. Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print hal-00403662, HAL.

  61. Stéphane Loisel, 2007. "Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks," Post-Print hal-00165776, HAL.

    Cited by:

    1. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2020. "Asymptotics and Approximations of Ruin Probabilities for Multivariate Risk Processes in a Markovian Environment," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 927-948, September.
    2. Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019. "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 87-97.
    3. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.

  62. Stéphane Loisel, 2006. "Differentiation of some functionals of risk processes and optimal reserve allocation," Post-Print hal-00397278, HAL.

    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
    3. Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    5. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    6. Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019. "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 87-97.
    7. Mohamed Amine Lkabous & Jean-François Renaud, 2018. "A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model," Risks, MDPI, vol. 6(3), pages 1-11, August.
    8. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.
    9. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    10. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
    11. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    12. Zhu, Jinxia & Yang, Hailiang, 2009. "On differentiability of ruin functions under Markov-modulated models," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1673-1695, May.
    13. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
    14. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.
    15. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    16. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    17. Macci, Claudio, 2008. "Large deviations for the time-integrated negative parts of some processes," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 75-83, January.
    18. Cénac P. & Maume-Deschamps V. & Prieur C., 2012. "Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

  63. Stéphane Loisel, 2005. "Differentiation of functionals of risk processes and optimal reserve allocation," Post-Print hal-00397288, HAL.

    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
    3. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    4. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    5. Mohamed Amine Lkabous & Jean-François Renaud, 2018. "A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model," Risks, MDPI, vol. 6(3), pages 1-11, August.
    6. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.
    7. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    8. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
    9. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    10. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
    11. Zhu, Jinxia & Yang, Hailiang, 2009. "On differentiability of ruin functions under Markov-modulated models," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1673-1695, May.
    12. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
    13. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.
    14. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    15. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    16. Macci, Claudio, 2008. "Large deviations for the time-integrated negative parts of some processes," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 75-83, January.
    17. Cénac P. & Maume-Deschamps V. & Prieur C., 2012. "Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

  64. Stéphane Loisel, 2005. "Differentiation of some functionals of risk processes," Post-Print hal-00157739, HAL.

    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
    3. Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    5. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    6. Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019. "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 87-97.
    7. Mohamed Amine Lkabous & Jean-François Renaud, 2018. "A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model," Risks, MDPI, vol. 6(3), pages 1-11, August.
    8. Liu, Jingchen & Woo, Jae-Kyung, 2014. "Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 1-9.
    9. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    10. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
    11. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    12. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
    13. Zhu, Jinxia & Yang, Hailiang, 2009. "On differentiability of ruin functions under Markov-modulated models," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1673-1695, May.
    14. Peggy Cénac & Stéphane Loisel & Véronique Maume-Deschamps & Clémentine Prieur, 2014. "Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation," Post-Print hal-00816894, HAL.
    15. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.
    16. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    17. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    18. Macci, Claudio, 2008. "Large deviations for the time-integrated negative parts of some processes," Statistics & Probability Letters, Elsevier, vol. 78(1), pages 75-83, January.
    19. Cénac P. & Maume-Deschamps V. & Prieur C., 2012. "Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

  65. Stéphane Loisel, 2005. "Differentiation of some functionals of multidimensional risk processes and determination of optimal reserve allocation," Post-Print hal-00397287, HAL.

    Cited by:

    1. Lkabous, Mohamed Amine & Wang, Zijia, 2023. "On the area in the red of Lévy risk processes and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 257-278.
    2. Florin Avram & Sooie-Hoe Loke, 2018. "On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics," Risks, MDPI, vol. 6(2), pages 1-18, April.
    3. Denuit, Michel & Robert, Christian Y., 2022. "Dynamic conditional mean risk sharing in the compound Poisson surplus model," LIDAM Discussion Papers ISBA 2022034, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Denuit, Michel & Robert, Christian Y., 2023. "Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 23-32.
    5. Julien Callant & Julien Trufin & Pierre Zuyderhoff, 2022. "Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 595-611, June.
    6. Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019. "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 87-97.
    7. Mohamed Amine Lkabous & Jean-François Renaud, 2018. "A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model," Risks, MDPI, vol. 6(3), pages 1-11, August.
    8. Cossette, Hélène & Marceau, Etienne & Trufin, Julien & Zuyderhoff, Pierre, 2020. "Ruin-based risk measures in discrete-time risk models," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 246-261.
    9. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.
    10. Esther Frostig & Adva Keren–Pinhasik, 2017. "Parisian ruin in the dual model with applications to the G/M/1 queue," Queueing Systems: Theory and Applications, Springer, vol. 86(3), pages 261-275, August.
    11. Cénac P. & Maume-Deschamps V. & Prieur C., 2012. "Some multivariate risk indicators: Minimization by using a Kiefer–Wolfowitz approach to the mirror stochastic algorithm," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 47-72, March.

  66. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.

    Cited by:

    1. Pierre-Olivier Goffard, 2019. "Two-Sided Exit Problems in the Ordered Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 539-549, June.
    2. Yuan, Haili & Hu, Yijun, 2008. "Absolute ruin in the compound Poisson risk model with constant dividend barrier," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2086-2094, October.

  67. Didier Rullière & Stéphane Loisel, 2004. "Another look at the Picard-Lefèvre formula for finite-time ruin probabilities," Post-Print hal-00379412, HAL.

    Cited by:

    1. Goffard, Pierre-Olivier & Lefèvre, Claude, 2018. "Duality in ruin problems for ordered risk models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52.
    2. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    3. Claude Lefèvre & Philippe Picard, 2013. "Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach," Risks, MDPI, vol. 1(3), pages 1-21, December.
    4. Christophette Blanchet-Scalliet & Diana Dorobantu & Didier Rullière, 2013. "The density of the ruin time for a renewal-reward process perturbed by a diffusion," Post-Print hal-00625099, HAL.
    5. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
    6. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.
    7. Stéphane Loisel & Hans-U. Gerber, 2012. "Why ruin theory should be of interest for insurance practitioners and risk managers nowadays," Post-Print hal-00746231, HAL.
    8. Julien Trufin & Stéphane Loisel, 2013. "Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments," Post-Print hal-00426790, HAL.
    9. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
    10. Mathieu Bargès & Stéphane Loisel & Xavier Venel, 2011. "On finite-time ruin probabilities with reinsurance cycles influenced by large claims," Post-Print hal-00430178, HAL.
    11. Li Qin & Susan M. Pitts, 2012. "Nonparametric Estimation of the Finite-Time Survival Probability with Zero Initial Capital in the Classical Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 14(4), pages 919-936, December.
    12. Pierre-Olivier Goffard & Claude Lefèvre, 2018. "Duality in ruin problems for ordered risk models," Post-Print hal-01398910, HAL.
    13. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    14. Tamturk, Muhsin & Utev, Sergey, 2018. "Ruin probability via Quantum Mechanics Approach," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74.
    15. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Working Papers hal-00744351, HAL.
    16. Claude Lefèvre & Stéphane Loisel, 2008. "On Finite-Time Ruin Probabilities for Classical Risk Models," Post-Print hal-00168958, HAL.
    17. Zhang, Huiming & Liu, Yunxiao & Li, Bo, 2014. "Notes on discrete compound Poisson model with applications to risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 325-336.
    18. Li, Shuanming & Lu, Yi, 2017. "Distributional study of finite-time ruin related problems for the classical risk model," Applied Mathematics and Computation, Elsevier, vol. 315(C), pages 319-330.
    19. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    20. Mazza, Christian & Rulliere, Didier, 2004. "A link between wave governed random motions and ruin processes," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 205-222, October.
    21. Julien Vedani & Laurent Devineau, 2012. "Solvency assessment within the ORSA framework: issues and quantitative methodologies," Papers 1210.6000, arXiv.org, revised Oct 2012.
    22. Didier Rullière & Stéphane Loisel, 2005. "The win-first probability under interest force," Post-Print hal-00165791, HAL.

  68. Stéphane Loisel, 2004. "Ruin theory with K lines of business," Post-Print hal-00379417, HAL.

    Cited by:

    1. Delsing, G.A. & Mandjes, M.R.H. & Spreij, P.J.C. & Winands, E.M.M., 2019. "An optimization approach to adaptive multi-dimensional capital management," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 87-97.
    2. Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.
    3. G. A. Delsing & M. R. H. Mandjes & P. J. C. Spreij & E. M. M. Winands, 2018. "An optimization approach to adaptive multi-dimensional capital management," Papers 1812.08435, arXiv.org.

Articles

  1. Gauchon, Romain & Loisel, Stéphane & Rullière, Jean-Louis & Trufin, Julien, 2020. "Optimal prevention strategies in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 202-208.
    See citations under working paper version above.
  2. Castañer, Anna & Claramunt, M. Mercè & Lefèvre, Claude & Loisel, Stéphane, 2019. "Partially Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 172(C), pages 47-58.
    See citations under working paper version above.
  3. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. "Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(3), pages 420-455, July.
    See citations under working paper version above.
  4. Debonneuil, Edouard & Loisel, Stéphane & Planchet, Frédéric, 2018. "Do actuaries believe in longevity deceleration?," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 325-338.
    See citations under working paper version above.
  5. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Risks, MDPI, vol. 6(3), pages 1-17, September.
    See citations under working paper version above.
  6. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    See citations under working paper version above.
  7. Govorun, Maria & Latouche, Guy & Loisel, Stéphane, 2015. "Phase-type aging modeling for health dependent costs," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 173-183.
    See citations under working paper version above.
  8. Castañer, A. & Claramunt, M.M. & Lefèvre, C. & Loisel, S., 2015. "Discrete Schur-constant models," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 343-362.
    See citations under working paper version above.
  9. Julien Azzaz & Stéphane Loisel & Pierre-E. Thérond, 2015. "Some characteristics of an equity security next-year impairment," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 111-135, July.
    See citations under working paper version above.
  10. Loisel, Stéphane & Trufin, Julien, 2014. "Properties of a risk measure derived from the expected area in red," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 191-199.
    See citations under working paper version above.
  11. Romain Biard & Christophette Blanchet-Scalliet & Anne Eyraud-Loisel & Stéphane Loisel, 2013. "Impact of Climate Change on Heat Wave Risk," Risks, MDPI, vol. 1(3), pages 1-16, December.
    See citations under working paper version above.
  12. Dutang, C. & Lefèvre, C. & Loisel, S., 2013. "On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 774-785.
    See citations under working paper version above.
  13. Dutang, Christophe & Albrecher, Hansjoerg & Loisel, Stéphane, 2013. "Competition among non-life insurers under solvency constraints: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 231(3), pages 702-711.
    See citations under working paper version above.
  14. Guillou, Armelle & Loisel, Stéphane & Stupfler, Gilles, 2013. "Estimation of the parameters of a Markov-modulated loss process in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 388-404.

    Cited by:

    1. F. Baltazar-Larios & Luz Judith R. Esparza, 2022. "Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 571-593, June.
    2. Gajek, Lesław & Rudź, Marcin, 2018. "Banach Contraction Principle and ruin probabilities in regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 45-53.
    3. Benjamin Avanzi & Greg Taylor & Bernard Wong & Alan Xian, 2020. "Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework," Papers 2003.13888, arXiv.org, revised May 2020.
    4. Lesław Gajek & Marcin Rudź, 2020. "Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1493-1506, December.
    5. Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Xian, Alan, 2021. "Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework," European Journal of Operational Research, Elsevier, vol. 290(1), pages 177-195.
    6. Lesław Gajek & Marcin Rudź, 2020. "Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1507-1528, December.
    7. Lesław Gajek & Marcin Rudź, 2018. "Risk-switching insolvency models," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 129-146.
    8. Gajek, Lesław & Rudź, Marcin, 2017. "A generalization of Gerber’s inequality for ruin probabilities in risk-switching models," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 236-240.

  15. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
    See citations under working paper version above.
  16. Bargès, Mathieu & Cossette, Hélène & Loisel, Stéphane & Marceau, Étienne, 2011. "On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula," ASTIN Bulletin, Cambridge University Press, vol. 41(1), pages 215-238, May.
    See citations under working paper version above.
  17. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
    See citations under working paper version above.
  18. Romain Biard & Claude Lefèvre & Stéphane Loisel & Haikady N. Nagaraja, 2011. "Asymptotic finite‐time ruin probabilities for a class of path‐dependent heavy‐tailed claim amounts using Poisson spacings," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(5), pages 503-518, September.
    See citations under working paper version above.
  19. Lefèvre, Claude & Loisel, Stéphane, 2010. "Stationary-excess operator and convex stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 64-75, August.
    See citations under working paper version above.
  20. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 374-381, December.
    See citations under working paper version above.
  21. Loisel, Stéphane & Mazza, Christian & Rullière, Didier, 2008. "Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 746-762, April.
    See citations under working paper version above.
  22. Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008. "Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December.

    Cited by:

    1. Claude Lefèvre & Stéphane Loisel, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Methodology and Computing in Applied Probability, Springer, vol. 11(3), pages 425-441, September.
    2. Loisel, Stéphane & Milhaud, Xavier, 2011. "From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital," European Journal of Operational Research, Elsevier, vol. 214(2), pages 348-357, October.
    3. Stéphane Loisel & Christian Mazza & Didier Rullière, 2009. "Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes," Post-Print hal-00168716, HAL.
    4. Romain Biard, 2013. "Asymptotic multivariate finite-time ruin probabilities with heavy-tailed claim amounts: Impact of dependence and optimal reserve allocation," Post-Print hal-00538571, HAL.
    5. Laurent Devineau & Stéphane Loisel, 2009. "Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?," Post-Print hal-00403662, HAL.
    6. Romain Biard & Stéphane Loisel & Claudio Macci & Noel Veraverbeke, 2010. "Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation," Post-Print hal-00372525, HAL.
    7. Xiaohu Li & Jintang Wu & Jinsen Zhuang, 2015. "Asymptotic Multivariate Finite-time Ruin Probability with Statistically Dependent Heavy-tailed Claims," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 463-477, June.
    8. Chen, Yiqing & Yuen, Kam C., 2012. "Precise large deviations of aggregate claims in a size-dependent renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 457-461.
    9. Florin Avram & Romain Biard & Christophe Dutang & Stéphane Loisel & Landy Rabehasaina, 2014. "A survey of some recent results on Risk Theory," Post-Print hal-01616178, HAL.
    10. He, Yue & Kawai, Reiichiro, 2022. "Moment and polynomial bounds for ruin-related quantities in risk theory," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1255-1271.
    11. Geoffrey Nichil & Pierre Vallois, 2019. "Solvency Need Resulting from Reserving Risk in a ORSA Context," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 567-592, June.

  23. Rulliere, Didier & Loisel, Stephane, 2005. "The win-first probability under interest force," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 421-442, December.
    See citations under working paper version above.
  24. Rulliere, Didier & Loisel, Stephane, 2004. "Another look at the Picard-Lefevre formula for finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 187-203, October.
    See citations under working paper version above.
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