Publications et prépublications
Publications dans des revues à comité de lecture
2018
D. Abgrall, M. Habart, C. Rainer, A. Sow, Exploring the longevity risk using statistical tools derived from the Shiryaev–Roberts procedure, European Actuarial Journal (2018), Vol. 8(1), 27-51. DOI.
F. Bachoc, C. Chevalier, N. Durrande, D. Rullière, Nested kriging predictions for datasets with a large number of observations, Statistics and Computing (2018), Vol. 28(4), 849-867. Preprint sur Hal.
N. Bahamonde, P. Doukhan, Spectral estimation in the presence of missing data, Theory of Probability and Mathematical Statistics (2018), Vol. 95, 55-74. PDF.
D. Blake, N. El Karoui, S. Loisel, R. Macminn, Longevity risk and capital markets: The 2015- 16 update, Insurance Mathematics and Economics (2018), Vol. 78, 157-173. PDF.
E. Debonneuil, S. Loisel, F. Planchet, Do actuaries believe in longevity deceleration ?, Insurance : Mathematics and Economics (2018), Vol. 78, 325-338. Preprint sur Hal.
P. Doukhan, A. Jakubowski, S. Lopes, D. Surgailis, Discrete time trawl processes, Stochastic Processes and their Applications (2018), Vol. 129(4), 1326-1348. DOI.
C. Dutang, X. Milhaud, Lapse tables for lapse risk management in insurance: a competing risk approach, European Actuarial Journal (2018), Vol. 8(1), 97-126. Preprint sur Hal.
N. El Karoui, C. Hillairet, M. Mrad, Consistent utility of investment and consumption: a forward/backward SPDE viewpoint, Stochastics: An International Journal of Probability and Stochastic Processes (2018), Vol. 90(6), 927-954. Preprint sur Hal.
J. Gatheral, T. Jaisson, M. Rosenbaum, Volatility is rough, Quantitative Finance (2018), Vol. 18(6), 933-949. DOI.
M. Govorun, B-L. Jones, X. Liu, D-A. Stanford, Physiological Age, Health Costs, and Their Interrelation, North American Actuarial Journal (2018), Vol. 22(3), 323-340. DOI.
X. Milhaud, V. Poncelet, C. Saillard, Operational choices for risk aggregation in insurance: PSDization and SCR sensitivity, Risks (2018), Vol. 6(2), 1-23. Preprint sur Hal.
D. Pommeret, L. Reboul, Approximating the probability density function of a transformation of random variables, Methodology and computing in applied probability (2018), Vol. 21(2) 633-645. DOI.
Y. Salhi, P-E. Therond, Age-specific adjustment of graduated mortality, ASTIN Bulletin (2018), Vol. 48(2), 543-569. Preprint sur Hal.
2017
H. Albrecher, D. Bauer, P. Embrechts, D. Filipovic, P. Koch, R. Korn, S. Loisel, A. Pelsser, F. Schiller, H. Schmeiser, J. Wagner, Asset-liability management for long-term insurance business, European Actuarial Journal (2017), Vol. 8(1), 9-25. DOI.
S. Arnold, A. Boumezoued, N. El Karoui, H. Labit-Hardy, Cause-of-death mortality: What can be learned from population dynamics?, Insurance : Mathematics and Economics (2017), Vol. 78, 301-315. Preprint sur Hal.
A. Belloni, M. Rosenbaum, A-B. Tsybakov, Linear and conic programming estimators in high dimensional errors‐in‐variables models, Journal of the Royal Statistical Society: Series B (Statistical Methodology) (2017), Vol. 79(3), 939-956. DOI.
C. Blanchet-Scalliet, D. Dorobantu, Y. Salhi, A model-point approach to indifference pricing of life insurance portfolios with dependent lives, Methodology and Computing in Applied Probability (2017), Vol. 21(2), 423-448. Preprint sur Hal.
H. Cossette, E. Marceau, H-Q. Nguyen, C. Robert, Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models, Methodology and Computing in Applied Probability (2017), Vol. 21(2), 461-490. DOI.
P. Doukhan, J. Rynkiewicz, D. Pommeret, Y. Salhi, A class of random field memory models for mortality forecasting, Insurance: Mathematics and Economics (2017), Vol. 77, 97-110. Preprint sur Hal.
N. El Karoui, S. Loisel, Le risque de longévité est-il assurable?, Revue d'économie financière (2017), Vol. 126(2), 107-122. Cairn.
N. El Karoui, S. Loisel, J-L. Prigent, J. Vedani, Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions, European Actuarial Journal (2017), Vol. 7(1), 1-28. Preprint sur Hal.
N. El Karoui, S. Loisel, Y. Salhi, Minimax optimality in robust detection of a disorder time in Poisson rate, The Annals of Applied Probability (2017), Vol. 27(4), 2515-2538. Preprint sur Hal.
D. Giorgi, V. Lemaire, G. Pagès, Limit theorems for weighted and regular Multilevel estimators, Monte Carlo Methods and Applications (2017), Vol. 23(1), 43-70. Preprint sur Hal.
P-O. Goffard, S. Loisel, D. Pommeret, Polynomial approximations for bivariate aggregate claims amount probability distribution, Methodology and Computing in Applied Probability (2017), Vol. 19(1), 151-174. Preprint sur Hal.
C. Lefèvre, S. Loisel, S. Utev, Markov property in discrete Schur-constant models, Methodology and Computing in Applied Probability (2017), 1003-1012. DOI.
C. Lefèvre, S. Loisel, S. Utev, On finite exchangeable sequences and their dependence, Journal of Multivariate Analysis (2017), Vol. 162, 93-109. DOI.
C. Lefèvre, P. Picard, M. Simo, Epidemic risk and insurance coverage, Journal of Applied Probability (2017), Vol. 54(1), 286-303. Preprint sur Hal.
V. Lemaire, G. Pages, Multilevel Richardson–Romberg extrapolation, Bernoulli (2017), Vol. 23(4A), 2643-2692. Preprint sur Hal.
S. Loisel, Y. Salhi, Basis risk modeling: A co-integration based approach, Statistics (2017), Vol. 51(1), 205-221. Preprint sur Hal.
Y. Salhi., P-E. Therond, Alarm System for Credit Losses Impairment, Bulletin Français d'Actuariat (2017), Vol. 33(2), 131-161 Preprint sur Hal.
2016
H. Albrecher, P. Embrechts, D. Filipovic, G-W. Harrison, P. Koch, S. Loisel, P. Vanini, J. Wagner, Old-age provision: past, present, future, European actuarial journal, Vol. 6(2), 287-306. DOI.
S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel, Optimal portfolio liquidation with additional information, Mathematics and Financial Economics (2016), Vol. 10(1), 1-14. Preprint sur Hal.
O. Bardou, N. Frikha, G. Pagès, CVaR Hedging Using Quantization‐Based Stochastic Approximation Algorithm, Mathematical Finance (2016), Vol. 26(1), 184-229. Preprint sur Hal.
F. Barsotti, X. Milhaud, Y. Salhi, Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors, Insurance: Mathematics and Economics (2016), Vol. 71, 317-331. Preprint sur Hal.
H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial splitting of longevity and financial risks: The life nominal chooser swaption, Insurance: Mathematics and Economics (2016), Vol. 68, 61-72. Preprint sur Hal.
J. Bérard, A. Ramirez, Fluctuations of the front in a one-dimensional model for the spread of an infection, The Annals of Probability (2016), Vol. 44(4), 2770-2816. Preprint sur Hal.
M. Boutahar, D. Pommeret, A test for the equality of monotone transformations of two random variables, ESAIM Probability and Statistics (2016), Vol. 20, 510-526. DOI.
C. Courbage, B. Rey, Decision thresholds and changes in risk for preventive treatment, Health economics (2016), Vol. 25(1), 111-124. Preprint sur Hal.
A. Cousin, Y. Jiao, C. Robert, D. Zerbib, Asset allocation strategies in the presence of liability constraints, Insurance : Mathematics and Economics (2016), Vol. 70, 327-338. DOI.
A. Cousin, H. Maatouk, D. Rullière, Kriging of financial term-structures, European Journal of Operational Research (2016), Vol. 255(2), 631-648. Preprint sur Hal.
E. Di Bernardino., D. Rullière, On tail dependence coefficients of transformed multivariate Archimedean copulas, Fuzzy Sets and Systems (2016), Vol. 284, 89-112. Preprint sur Hal.
P. Doukhan, G. Lang, Weak dependence of point processes and application to second order statistics, Statistics (2016), Vol. 50(6), 1221-1235. Preprint sur Hal.
P. Doukhan, N. Mtibaa. (2016) Weak dependence: an approach through the asymmetric ARCH models. In Chaari, Leskow, Napolitano, Sanchez. Cyclo-stationarity II, Lecture notes in engineering. Springer, 1-16.
P. Doukhan, J-P. Feugeas, X. Li, Statistical inference for DNA sequences of promoters, a non stationary qualitative model, Statistics (2016), Vol. 51(1), 154-166. DOI.
P-O. Goffard., S. Loisel, D. Pommeret, A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model, Journal of Computational and Applied Mathematics (2016), Vol. 296, 499-511. Preprint sur Hal.
T. Jaisson, M. Rosenbaum, Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes, The Annals of Applied Probability (2016), Vol. 26(5), 2860-2882. DOI.
O. Lopez, X. Milhaud, P-E. Therond, Tree-based censored regression with applications in insurance, Electronic Journal of Statistics (2016), Vol.10, 2685-2716. Preprint sur Hal.
V. Maume-Deschamps, D. Rullière, K. Said, On capital allocation by minimizing multivariate risk indicators, European Actuarial Journal (2016), Vol. 6(1) ,177–196. Preprint sur Hal.
D. Pommeret, Comparing Two Mixing Densities in Nonparametric Mixture Models, Sankhya A (2016), Vol. 78(1), 133-153. DOI.
Y. Salhi, P-E. Thérond, J. Thomas, A Credibility Approach for the Makeham Mortality Law, European Actuarial Journal (2016), Vol. 6(1), 61-96. Preprint sur Hal.
2015
P. Bertail, E. Chautru, S. Clémençon, Tail index estimation based on survey data, ESAIM: Probability and Statistics (2015), Vol. 19, 28-59. Preprint sur Hal.
P. Bertail, S. Clémençon, J. Tressou, Bootstrapping Robust Statistics for Markovian Data Applications to Regenerative R‐Statistics and L‐Statistics, Journal of Time Series Analysis (2015), Vol. 36(3), 462-480. Preprint sur Hal.
P. Bertail, E. Gautherat, H. Harari-Kermadec, Empirical Phi-discrepancies and quasi- empirical likelihood: exponential bounds, ESAIM: Proceedings and Surveys (2015), Vol. 51, 212-231. Preprint sur Hal.
M. Binois, D. Rullière, O. Roustant, On the estimation of Pareto fronts from the point of view of copula theory, Information Sciences (2015), Vol. 324, 270-285. Preprint sur Hal.
F. Bonnin, F. Combes, F. Planchet, M. Tammar, Un modèle de projection pour des contrats de retraite dans le cadre de l’ORSA, Bulletin Français d’Actuariat (2015), Vol. 14(28). PDF.
A. Boumezoued, N. El Karoui, S. Loisel, Measuring mortality heterogeneity with multi-state models and interval-censored data, Insurance Mathematics and Economics (2015), Vol. 72, 67-82. Preprint sur Hal.
A. Castañer, M-M. Claramunt, C. Lefèvre, S. Loisel, Discrete Schur-constant models, Journal of Multivariate Analysis (2015), Vol. 140, 343-362. Preprint sur Hal.
J-C. Croix, F. Planchet, P-E. Therond, Mortality: a statistical approach to detect model misspecification, Bulletin Français d’Actuariat (2015), Vol. 15(29), 75-112. Preprint sur Hal.
E. Di Bernardino, D. Rullière, Estimation of multivariate critical layers: Applications to rainfall data, Journal de la Société Française de Statistique (2015), Vol. 156(1), 11-50. Preprint sur Hal.
P. Doukhan, I. Grublyte, D. Surgailis, A nonlinear model for long memory conditional heteroscedasticity, Lithuanian Mathematical Journal (2015), Vol. 56, 164-188. DOI.
P. Doukhan, A. Jakubowski, G. Lang, Phantom distribution functions for some stationary sequences, Extremes (2015), Vol. 16(2), 147-171. Preprint sur Hal.
P. Doukhan, W. Kengne, Change point analysis of Poisson autoregressions, Electron. J. Statist (2015), Vol. 9(1), 1267-1314 DOI.
P. Doukhan, O. Klesov, J. Steinebach, Strong Laws of Large Numbers in an Fα-Scheme, Special issue, Mathematical Statistics and Limit Theorems (2015), 287-303. DOI.
P. Doukhan, G. Lang, A. Leucht, M. Neumann, Dependent wild bootstrap for the empirical process, Journal of Time Series Analysis (2015), Vol. 36(3), 290–314. Preprint sur Hal.
P. Doukhan, D. Pommeret, L. Reboul, Data driven smooth test of comparison for dependent sequences, Journal of Multivariate Analysis (2015), Vol. 139, 147-165. Preprint sur Hal.
M. Govorun, G. Latouche, S. Loisel, Phase-type aging modeling for health dependent costs, Insurance: Mathematics and Economics (2015), Vol. 62, 173-183. Preprint sur Hal.
S. Gribkova, O. Lopez, Nonparametric Copula Estimation Under Bivariate Censoring, Scandinavian Journal of Statistics (2015), Vol. 42(4), 925-946. DOI.
A. Guillou, S. Loisel, G. Stupfler, Estimating the parameters of a seasonal Markov-modulated Poisson process, Statistical Methodology (2015), Vol. 26, 103-123. Preprint sur Hal.
T. Jaisson, M. Rosenbaum, Limit theorems for nearly unstable Hawkes processes, The Annals of Applied Probability (2015), Vol. 25(2), 600-631. Preprint sur Hal.
M. Kacem, C. Lefèvre, S. Loisel, Convex extrema for nonincreasing discrete distributions: Effects of convexity constraints, Journal of Mathematical Analysis and Applications (2015), Vol. 423(2), 1774-1791. DOI.
Y. Laïdi, F. Planchet, Calibrating LMN Model to Compute Best Estimates in Life Insurance, Bulletin Français d’Actuariat (2015), Vol. 15(29). PDF.
C. Lefèvre, P. Picard, Risk models in insurance and epidemics: A bridge through randomized polynomials, Probability in the Engineering and Informational Sciences (2015), Vol. 29(3), 399-420. DOI.
V. Lemaire, G. Pages, F. Panloup, Invariant measure of duplicated diffusions and application to Richardson–Romberg extrapolation, Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, Série B (2015), Vol. 51(4), 1562-1596. Preprint sur Hal.
J. Tomas, F. Planchet,, Prospective mortality tables: taking heterogeneity into account, Insurance : Mathematics & Economics (2015), Vol. 63, 169-190. PDF.
2014
J. Bérard, P. Del Moral, A. Doucet, A lognormal central limit theorem for particle approximations of normalizing constants, Electronic Journal of Probability (2014), Vol. 19, 1-28. Preprint sur Hal.
J. Bérard, P. Maillard, The limiting process of N-particle branching random walk with polynomial tails, Electronic Journal of Probability (2014), Vol. 19, 1-17. DOI.
P. Bertail, C. Tillier, La modélisation des risques d'exposition aux contaminants alimentaires, Risques, Les Cahiers de l’Assurance (2014), n 96, 56-65.
F. Bonnin, M. Juillard, F. Planchet, Best Estimate Calculations of Savings Contracts by Closed Formulas -Application to the ORSA, European Actuarial Journal (2014), Vol. 4(1), 181-196. DOI
P. Doukhan, G. Lang, A. Leucht, M. Neumann, Dependent wild bootstrap for the empirical process, J. Time Ser. Anal (2014), Vol. 36(3), 290-314. Preprint sur Hal.
Q. Guibert, F. Planchet, Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance, Bulletin Français d’Actuariat (2014), Vol. 14(27), 5-28. Preprint sur Hal.
C. Hillairet, N. El Karoui, M. Mrad, Long term yield curves: An application of the Ramsey rule with progressive utility, Journal of Financial Engineering (2014), Vol. 1(1). DOI.
R. Norberg, Life insurance mathematics, Wiley Stats Ref: Statistics Reference Online (2014). DOI.
F. Planchet, J. Tomas, Uncertainty on Survival Probabilities and Solvency Capital Requirement: Application to LTC Insurance, Scandinavian Actuarial Journal (2014a), Vol. 2016(4), 279-292. DOI.
F. Planchet, J. Tomas, Constructing Entity Specific Mortality Table: Adjustment to a Reference, European Actuarial Journal (2014b), Vol. 4(2), 247-279. DOI.
F. Planchet, J. Tomas, Construire une table de mortalité prospective : le package ELT, Bulletin Français d’Actuariat (2014c), Vol. 14(27). PDF.
M. Rosenbaum, P. Tankov, Asymptotically optimal discretization of hedging strategies with jumps, The Annals of Applied Probability (2014), Vol. 24(3), 1002-1048. Preprint sur Hal.
2013
P. Bertail, S. Clémençon, J. Tressou, Regenerative block-bootstrap confidence intervals for tail and extrema indexes, Electron. J. Statist (2013), Vol. 7, 1224-1248. DOI.
R. Norberg, Optimal hedging of demographic risk in life insurance, Finance and Stochastics (2013), Vol. 17, 197-222. DOI.
F. Planchet, J. Tomas, Multidimensional smoothing by adaptive local kernel-weighted log-likelihood with application to long-term care insurance, Insurance: Mathematics and Economics (2013), Vol. 52(3), 573–589. DOI.
F. Planchet, Modélisation du risque de pandémie dans Solvabilité 2, Assurances et gestion des risques (2013), Vol. 81(3). PDF.
Ouvrages ou chapitres d'ouvrage
P. Doukhan. (2018) Stochastic Models for Time Series. Springer, Mathematics and applications. 330 pages. PDF.
T. Jaisson, M. Rosenbaum. (2016) The different asymptotic regimes of nearly unstable autoregressive processes. The Fascination of Probability, Statistics and their Applications, Springer, Cham, 283-301. Preprint sur Hal.
J-P. Laurent, R. Norberg, F. Planchet. (2016) Modelling in life insurance–a management perspective. Springer. PDF.
F. Planchet, C. Robert. (2016) From internal to ORSA models. Modelling in Life Insurance – A Management Perspective. Laurent J.-P., Norberg R., Planchet F. (editors), Springer, Cham, 105-124.
C. Robert. (2016) The threat of model risk for insurance companies. Modelling in Life Insurance – A Management Perspective. Laurent J.-P., Norberg R., Planchet F. (editors), Springer, Cham, 161-180.
P-E. Therond. (2016) About Market Consistent Valuation in Insurance. Modelling in Life Insurance–A Management Perspective. Laurent J.-P., Norberg R., Planchet F. (editors), Springer, Cham, 43-60.
P. Bertail, X. Modal, T-S-I. Stephan-Clemençon, T-C. Tillier. (2015) Extreme values statistics for Markov chains with applications to Finance and Insurance. Extreme Events in Finance : A Handbook of Extreme Value Theory and its Applications, Chapitre 7, 139-170. PDF.
M. Corlosquet-Habart, W. Gehin, J. Janssen, R. Manca. (2015) Asset and Liability Management for Banks and Insurance Companies. John Wiley & Sons. PDF.
P. Doukhan. (2015) Probabilistic and Statistical Tools for Modeling Time Series, IMPA, 2015 - 272. PDF.
F. Planchet, P-E. Therond. (2014) Survival Analysis Chapitre 10, pp 383-406 - Charpentier A. (Ed.). Computational actuarial science with R. CRC Press.
F. Planchet, J. Tomas. (2014) Prospective mortality tables and portfolio experience. Chapitre 9 pp 345-382 - Charpentier A. (Ed.). Computational actuarial science with R. CRC Press. PDF.
Q. Guibert, M. Juillard, F. Planchet, O-N. Teuguia. (2014) Solvabilité prospective en assurance: Méthodes quantitatives pour l'ORSA, Economica, p. 240. Preprint sur Hal.
Articles de vulgarisation.
N. El Karoui, C. Hillairet, M. Mrad « Comment améliorer la modélisation des taux d’intérêt à long- terme ? », Les cahiers de l’ILB (Mars 2019) https://www.louisbachelier.org/les-defis-imposes-par-la-faiblesse-des-taux-dinteret/
N. El Karoui, C. Hillairet, M. Mrad : « Les utilités progressives : un outil de modélisation adapté pour appréhender l'hétérogénéité et le long terme. Exemple du calcul du taux d'actualisation. », L’Actuariel, n°11 du 01/01/2019.
S. Kaakai : « Un changement de paradigme dans les populations humaines », L’Actuariel, n°11 du 01/01/2019.
Y. Salhi. (2016) De l’importance d’un bon suivi des hypothèses actuarielles. L’actuariel No 22, Oct. 2016.
S. Loisel. (2015) Détection optimale et risque de longévité. Interview dans Atout risk Manager (revue de l’AMRAE n°5), Juin 2015, page 20.
Y. Salhi. (2015) DAssurance : comment détecter une rupture dans la fréquence des sinistres ou l’intensité de mortalité ? Les cahiers Louis Bachelier, No 19, Nov. 2015.
P. Bertail, C. Tillier. (2014) La modélisation des risques d'exposition aux contaminants alimentaires. Risques, Les Cahiers de l’Assurance, n°96, pp. 56-65. Preprint sur Hal.
Q. Guibert, F. Planchet. (2014) L’utilisation des actions du management en assurance dépendance. L’actuariel (11), 40-41.
F. Bonnin, F. Planchet. (2013) Engagement best estimate d’un contrat d’épargne en Euro, la Tribune de l’Assurance (rubrique « le mot de l’actuaire »), n°185 du 01/11/2013.
Q. Guibert, F. Planchet. (2013) Quels sont les risques associés à un régime de retraite? Lettre de l'Observatoire des Retraites, n°20 du 01/12/2013.
F. Planchet, G. Leroy. (2013) Risque de taux, spread et garanties de long terme, la Tribune de l’Assurance (rubrique « le mot de l’actuaire »), n°178 du 01/03/2013.
F. Planchet, F. Lusson. (2013) Dépendance : quel pilotage pour un risque évolutif ?, la Tribune de l’Assurance (rubrique « le mot de l’actuaire »), n°176 du 01/01/2013.
Thèses
E. Dbonneuil. (2018 – en préparation) Construction et actualisation d'hypothèses biométriques en assurance, Lyon, dans le cadre de Sciences Economiques et de Gestion, en partenariat avec le laboratoire SAF.
S. Kaakai. (2017) Nouveaux paradigmes en dynamique de populations hétérogènes: modélisation trajectorielle, agrégation, et données empiriques. Soutenance 13 décembre 2017 - Directrice de thèse : Nicole El Karoui, LPMA, Université Paris 6.
J. Vedani (2016) Conceptualisation et mise en oeuvre du processus Own Risk and Solvency Assessment pour l’assurance vie. Doctoral dissertation, Université de Lyon.
A. Boumezoued. (2016) Micro-macro analysis of heterogenous age-structured populations dynamics. Application to self-exciting processes and demography.
Q. Guibert (2015) Sur l’utilisation des modèles multi-états pour la mesure et la gestion des risques d'un contrat d'assurance.
Ph.D. thesis, Université Claude Bernard - Lyon I, Lyon.