Papiers

Articles publiés et acceptés

H. Albrecher, C. Dutang, S. Loisel, C. Mouminoux, On a Markovian game model for competitive insurance pricing, Methodology and Computing in Applied Probability (2022), Vol. 24, 1061-109. Preprint sur Hal.
M.M. Claramunt, C. Lefèvre, S. Loisel, P. Montesinos, Basis risk management in an index-based insurance framework under randomly scaled uncertainty, Insurance: Mathematics and Economics (2022), Vol. 107, 123-139. Preprint sur Hal.

K. Barigou, P.O. Goffard, S. Loisel, Y. Salhi, Bayesian model averaging for mortality forecasting using leave-future-out validation, International Journal of Forecasting (2022), Vol. 39(2), 674-690. Preprint sur Hal.
R. Mnatsakanov, H. Albrecher, S. Loisel, Approximations of copulas via transformed moments, Methodology and Computing in Applied Probability (2022), Vol. 24(4), 3175-3193. Preprint sur Hal.

R. Gauchon, N. Ponthus, C. Pothier, C. Rigotti, V. Volpert, S. Derrode, J.P. Bertoglio, A. Bienvenue, P.O. Goffard, A. Eyraud-Loisel, S. Pageaud, S. Loisel, P. Roy and group CovDyn, Lessons learnt from the use of compartmental epidemic models over the French lockdown period, Vaccines (2022), p. 39. Preprint sur Hal.
S. Loisel, A. Olympio, J. Zozime, Modélisation des chocs biométriques en assurance de personnes, Bulletin Français d'Actuariat (2022). Preprint sur Hal.

R. Gauchon, S. Loisel, J.L. Rullière, J. Trufin, Optimal prevention of large risks with two types of claims, Scandinavian Actuarial Journal (2021), Vol. 4, 323-334. Preprint sur Hal.
S. Loisel, P. Piette, J. Tsai, Applying economic measures to lapse risk management with machine learning approaches, ASTIN Bulletin (2021), Vol. 51(3), 839-871. Preprint sur Hal.

R. Gauchon, S. Loisel, J.L. Rullière, J. Trufin, Optimal prevention strategies in the classical risk model, Insurance: Mathematics and Economics (2020), Vol. 91, 202-208. Preprint sur Hal.

C. Lefèvre, S. Loisel, P. Montesinos , Bounding basis risk using s-convex orders on Beta-unimodal distributions, Scandinavian Actuarial Journal (2020), Vol. 2021, 1-29. Preprint sur Hal.

K. Barigou, S. Loisel, Y. Salhi, Parsimonious predictive mortality modeling by regularization and cross-validation with and without covid-type effect, Risks (2020), Vol. 9(1):5. Preprint sur Hal.

R. Gauchon, S. Loisel, J.L. Rullière, Health-policyholder clustering using health consumption, European Actuarial Journal (2020), Vol. 10(2), 599-626. Preprint sur Hal.

A. Castaner, C. Lefèvre, S. Loisel, M. Claramunt, Partially Schur-constant vectors, Journal of Multivariate Analysis (2019), Vol. 172, 47-58. Preprint sur Hal.

H. Albrecher, A. Bommier, D. Filipovic, P. Koch-Medina, S. Loisel, H. Schmeiser, Insurance: models, digitalization, and data science, European Actuarial Journal (2019), 9(2), 349-360. Preprint sur Hal.

N. El Karoui, C. Hillairet, S. Loisel, Y. Salhi, Le prix du risque de longévité, Revue d'Economie Financière (2019), Vol. 2019(1), 129-145. Preprint sur Hal.

C. Lefèvre, S. Loisel, M. Tamturk, S. Utev, A Quantum-Type Approach to Non-Life Insurance Risk Modelling, Risks (2018), 6(3), 99. Preprint sur Hal.

E. Debonneuil, S. Loisel, F. Planchet, Do actuaries believe in longevity deceleration?, Insurance: Mathematics and Economics (2018), Vol. 78, January 2018, 325-338. Preprint sur Hal.

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 (2018), Vol. 8(1), 9–25. Preprint sur Hal.

C. Lefèvre, S. Loisel, S. Utev, Markov property in discrete Schur-constant models, Methodology and Computing in Applied Probability (2018), Vol. 20(3), 1003–1012. Preprint sur Hal.

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, January 2018, 157-173. Preprint sur Hal.

F. Graeff, N. Leboisne, S. Loisel, D. Thach, La captive, un outil d'Enterprise Risk Management toujours efficient sous Solvabilité 2?, Bulletin Français d'Actuariat (2017), Vol. 17(33), 91-130. Preprint sur Hal.

N. El Karoui, S. Loisel, Le risque de longévité est-il assurable?, Revue d'Economie Financière (2017), Vol. 126(2), 107-122. Preprint sur Hal.

C. Lefèvre, S. Loisel, S. Utev, On finite exchangeable sequences and their dependence, Journal of Multivariate Analysis (2017), Vol. 162, 93-109. Preprint sur Hal.

F. Borel-Mathurin, P.E. Darpeix, Q. Guibert, S. Loisel , Main Determinants of Profit Sharing Policy in the French Life Insurance Industry, The Geneva Papers on Risk and Insurance - Issues and Practice (2018), Vol. 43(3), 420-455. Preprint sur Hal.

N. El Karoui, S. Loisel, Y. Salhi, Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate, Annals of Applied Probability (2017), Vol. 27(4), 2515-2538. Preprint sur Hal.

N. El Karoui, S. Loisel, J.L. Prigent, J. Vedani, Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions, European Actuarial Journal (2017), Vol. 7(1). Preprint sur Hal.

A. Mornet, T. Opitz, M. Luzi, S. Loisel, Wind Storm Risk Management : Sensitivity of Return Period Calculations and Spread on the Territory, Stochastic Environmental Research and Risk Assessment (2017), Vol. 31(8), 1977-1995. Preprint sur Hal.

H. Albrecher, P. Embrechts, D. Filipovic, G. Harrison, P. Koch-Medina, S. Loisel, P. Vanini, J. Wagner, Old-Age Provision: Past, Present, Future, European Actuarial Journal (2016), Vol. 2/2016. Preprint sur SSRN.

Y. Salhi, S. Loisel, Basis risk modelling: a co-integration based approach (former title: Joint modeling of portfolio experienced and national mortality: A co-integration based approach), Statistics: An international journal (2017), Vol. 51(1), 205-221. Preprint sur Hal

A. Boumezoued, N. El Karoui, S. Loisel, Measuring mortality heterogeneity with multi-state models and interval-censored data, Insurance: Mathematics and Economics (2017), Vol. 72, 67-82. Preprint sur Hal.

H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi, Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions, Insurance: Mathematics and Economics (2016), Vol. 68, 61-72. Preprint sur Hal.

P.O. Goffard, S. Loisel, D. Pommeret, Polynomial approximations for bivariate aggregate claims amount probability distributions, Methodology and Computing in Applied Probability (2017), Vol. 19(1), 151-174. Preprint sur Hal.

A. Castaner, C. Lefèvre, S. Loisel, M. Claramunt, Discrete Schur-constant models, Journal of Multivariate Analysis (2015), Vol. 140, 343-362. Preprint sur Hal.

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 (2015), Vol. 296, 499-511. 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.

A. Mornet, M. Luzi, T. Opitz, S. Loisel, Index for Predicting Insurance Claims from Wind Storms with an Application in France, Risk Analysis (2015), Vol. 35(11), 2029-2056. Preprint sur Hal.

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.

A. Mornet, S. Loisel, P. Leveillard, Influence de la partition homme/femme et de l'expérience kilométrique dans l'assurance automobile, Bulletin Francais d'actuariat (2015), Vol. 15(29), 75-112. Preprint sur Hal.

M. Kacem, C. Lefèvre, S. Loisel, Convex extrema for nonincreasing discrete distributions: effects of convexity constraints, accepted in Journal of Mathematical Analysis and Applications (2014), Vol. 423(2), 1774-1791. Preprint sur Hal.

S. Loisel, J. Trufin, Properties of a risk measure derived from the expected area in red, Insurance: Mathematics and Economics (2014), Vol. 55, 191–199. Preprint sur Hal.

P. Cénac, S. Loisel, V. Maume-Deschamps, C. Prieur, Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation , Annales de l'ISUP (2014), Vol. 58(3). Preprint sur Hal.

J. Azzaz, S. Loisel, P. Thérond, Some characteristics of an equity security next-year impairment, Review of Quantitative Finance and Accounting (2015), Vol. 45(1), 111-135. Preprint sur Hal.

D. Kortschak, S. Loisel, P. Ribereau, Ruin problems with worsening risks or with infinite mean claims, Stochastic Models (2015), Vol. 31(1), 119-152. Preprint sur Hal.

C. Dutang, C. Lefèvre, S. Loisel, The "A+B/u" rule for discrete and continuous time risk models with dependence, Insurance: Mathematics and Economics 2013, Vol. 53(3), 774-785. Preprint sur Hal.

R. Biard, C. Blanchet-Scalliet, A. Eyraud-Loisel, S. Loisel, Impact of Climate Change on Heat Wave Risk, Risks (2013), Vol. 1(3), 176-191.

M. Kacem, S. Loisel, V. Maume-Deschamps, Some mixing properties of conditionally mixing processes, Communication in Statistics: Theory and methods (2016), Vol. 45(5), 1241-1259. Preprint sur Hal.

C. Dutang, H. Albrecher, S. Loisel, Competition among non-life insurers under solvency constraints: A game-theoretic approach, European Journal of Operational Research (2013), Vol. 231(3), 702-711. Preprint sur Hal.

A. Guillou, S. Loisel, G. Stupfler, Estimation of the parameters of a Markov-modulated loss process in insurance, Insurance: Mathematics and Economics (2013), Vol. 53(2), 388-404. Preprint sur Hal. Fichier complémentaire: détails de démonstration.

F. Avram, R. Biard, C. Dutang, S. Loisel, L. Rabehasaina, A survey of some recent results on Risk Theory, ESAIM Proceedings (2014), Vol. 44, 322-337.

C. Lefèvre, S. Loisel, On multiply monotone distributions, continuous or discrete, with applications, Journal of Applied Probability (2013), Vol. 50(3), 603-907. Preprint sur Hal.

M. Bargès, S. Loisel, X. Venel, On finite-time ruin probabilities with dependence between reinsurance cycles and the claim arrival process, Scandinavian Actuarial Journal (2013), Vol. 2013(3), 163-185. Preprint sur Hal

J. Trufin, S. Loisel, Ultimate ruin probability in discrete time with Bühlmann credibility premium adjustments, Bulletin Français d'Actuariat (2013), Vol. 13:25, 73-102. Preprint sur Hal

P. Barrieu, H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel, C. Ravanelli, Y. Salhi, Understanding, modelling and managing longevity risk: key issues and main challenges, Scandinavian Actuarial Journal (2012), Vol. 2012(3), 203-231. Preprint sur Hal

H. Gerber, S. Loisel, Why ruin theory should be of interest for insurance practitioners and risk managers nowadays, Proceedings of the AFMATH Conference, Brussels (2012), 17-21. Preprint sur Hal

S. Loisel, X. Milhaud, From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital, European Journal of Operational Research (2011), Vol. 214(2), 348-357. Preprint sur Hal.

H. Albrecher, C. Constantinescu, S. Loisel, Explicit ruin formulas for models with dependence among risks, Insurance: Mathematics and Economics (2011), Vol. 48(2), 265-270. Preprint sur Hal.

M. Chauvigny, L. Devineau, S. Loisel, V. Maume-Deschamps, Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management, European Actuarial Journal (2011), Vol. 1, No 1, 131-157. Preprint sur Hal.

S. Loisel, Company Management’s Reaction Capacity and Management Actions: Need and Difficulty to Take These into Account in ORSA, Risk Metrics for Decision Making and ORSA (2012), Edited by the SOA, CAS and CIA, 52-54. Preprint sur Hal.

M. Bargès, H. Cossette, S. Loisel, E. Marceau, Moments of a compound Poisson models with dependence based on the FGM copula and discounted claims, ASTIN Bulletin (2011), Vol. 41(1), 215-238. Preprint sur Hal.

X. Milhaud, S. Loisel, V. Maume-Deschamps, Surrender triggers in life insurance: classification and risk predictions , Bulletin Français d'Actuariat (2011), Vol. 11, No 22, 5-48. Preprint sur Hal.

R. Biard, C. Lefèvre, S. Loisel, H.N. Nagaraja, Asymptotic finite-time ruin probabilities for a class of path-dependent claim amounts using Poisson spacings, Applied Stochastic Models in Business and Industry (2011), Vol. 27, No 5, 503–518. Preprint sur Hal.

C. Lefèvre, S. Loisel, Stationary-excess operator and convex stochastic orders, Insurance: Mathematics and Economics (2010), Vol. 47(1), 64-75 . Preprint sur Hal.

X. Milhaud, M.-P. Gonon, S. Loisel, Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise, Risques (2010), Vol. 83, 76-81. Preprint sur Hal.

R. Biard, S. Loisel, C. Macci, N. Veraverbeke, Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes, Journal of Mathematical Analysis and Applications (2010), Vol. 367(2), 535-549. Preprint sur Hal.

S. Loisel, C. Mazza, D. Rullière, Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes, Insurance: Mathematics and Economics (2009), Vol. 45(3), 374-381. Preprint sur Hal.

L. Devineau, S. Loisel, Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?, Bulletin Français d'Actuariat (2009), Vol. 9:18, 107-145. Preprint sur Hal.

S. Loisel, N. Privault, Sensitivity analysis and density estimation for finite-time ruin probabilities, Journal of Computational and Applied Mathematics (2009), Vol. 230, 107-120. Preprint sur Hal.

C. Lefèvre, S. Loisel, Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities, Methodology and Computing in Applied Probability (2009), Vol. 11(3), 425-44. Preprint sur Hal.

L. Devineau, S. Loisel, Construction d'un algorithme d'accélération de la méthode des ''simulations dans les simulations'' pour le calcul du capital économique Solvabilité II, Bulletin Français d'Actuariat (BFA) (2009), No. 17, Vol. 10, 188-221. Preprint sur Hal.

S. Loisel, From Liquidity Crisis to Correlation Crisis, and the Need for ''Quanls'' in ERM, in Risk Management: The Current Financial Crisis, Lessons Learned and Future Implications (2008), Edited by the SOA, CAS and CIA, 75-77.

R. Biard, C. Lefèvre, S. Loisel, 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 (2008), Vol. 43(3), 412-421. Preprint sur Hal,

W. Fisher, S. Loisel, S. Wang, On some key research issues in Enterprise Risk Management related to economic capital and diversification effect at group level, Bulletin Français d'Actuariat (BFA) (2008), No. 15, Vol. 9. Preprint sur Hal.

C. Lefèvre, S. Loisel, On finite-time ruin probabilities for classical risk models, Scandinavian Actuarial Journal (2008), Vol. 2008(1), 41-60. Preprint sur Hal.

S. Loisel, C. Mazza, D. Rullière, Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin, Insurance: Mathematics and Economics (2008), Vol. 42(2), 746-762. Preprint sur Hal.

S. Loisel, Time to ruin, insolvency penalties and dividends in a Markov-modulated multirisk model with common shocks., Bulletin Français d'Actuariat (BFA) (2007), No. 14, Vol. 8, 4-24. Preprint sur Hal. (abstract).

S. Loisel, Differentiation of some functionals of risk processes and optimal reserve allocation, Journal of Applied Probability (2005), 42(2). Hal

D. Rullière, S. Loisel, The win-first probability under interest force, Insurance: Mathematics and Economics (2005), Vol. 37(3), 421-442. (abstract)

S. Loisel, Ruin theory with K lines of business, Proceedings of the 3rd Actuarial and Financial Day, Bruxelles, 2004.

D. Rullière, S. Loisel, Another look at the Picard-Lefèvre formula for finite-time ruin probabilities, Insurance: Mathematics and Economics (2004), Vol. 35(2), 187-203. (abstract, Full Text via Elsevier ScienceDirect)

Chapitres d'ouvrages

P. Laub, N. El Karoui, S. Loisel, Y. Salhi, Quickest detection in practice in presence of seasonality: an illustration with call center data. To appear in: Data analytics and Models for Insurance, Economica (2020). Chapitre.

D. Clot, D. Ingram, S. Loisel, A. Olympio, Attitudes towards analytics in the insurance and banking sectors. To appear in: Data analytics and Models for Insurance, Economica (2020). Chapitre.

S. Loisel, F. Schiller, J. Wang, Attitudes of supervisors with respect to AI and potential new insurance products. To appear in: Data analytics and Models for Insurance, Economica (2020). Chapitre.

S. Loisel, K. Nisipasu, Ex-ante Model Validation and Back-Testing. In: Modelling in Life Insurance–A Management Perspective, pp. 151-160, Springer, Cham. (2016). Chapitre.

D. Ingram, S. Loisel, Models and Behaviour of Stakeholders. In: Modelling in Life Insurance–A Management Perspective, pp. 237-248, Springer, Cham. (2016). Chapitre.

P. Bertail, S. Loisel, Théorie de la ruine. In: Approches statistiques du risque, pp.113-138 (2014). Chapitre sur Hal.

S. Loisel, Solvabilité. In: Approches statistiques du risque, pp.243-263 (2014). Chapitre sur Hal.

R. Biard, S. Loisel, Théorie de la ruine multivariée. In: Approches statistiques du risque, pp.231-242 (2014). Chapitre sur Hal.

S. Loisel, Company Management’s Reaction Capacity and Management Actions: Need and Difficulty to Take These into Account in ORSA. In: Risk metrics for decision making and ORSA, pp. 52-54, Society of Actuaries (2012). Chapitre.

Working papers

P. Barrieu, A. Eyraud-Loisel, S. Loisel, P. Montesinos, Optimality of indemnity-based and index-based transactions: a trade-off between asymmetry of information and basis risk, Working paper. Preprint sur Hal.

B. Alimoradian, J. Jakubiak, S. Loisel, Y. Salhi, An Asset-Liability Model for Stable Value Fund Wraps, Working paper. Preprint sur Hal.

S. Loisel, C. Minier, On the Devylder-Goovaerts conjecture in ruin theory, Working paper. Preprint sur Hal.

P. Barrieu, A. Eyraud-Loisel, S. Loisel, P. Montesinos, From optimal reinsurance to optimal partnership contracting: a retention rate approach, Working paper. Preprint sur Hal.

F. Borel-Mathurin, N. El Karoui, S. Loisel, J. Vedani, Locality in time of the European insurance regulation "risk-neutral" valuation framework, a pre-and post-Covid analysis and further developments, Working paper. Preprint sur Hal.

S. Derrode, R. Gauchon, N. Ponthus, C. Rigotti, C. Pothier, V. Volpert, S. Loisel, J.-P. Bertoglio, P. Roy, Piecewise estimation of R0 by a simple SEIR model. Application to COVID-19 in French regions and departments until June 30, 2020, Rapport de recherche. Preprint sur Hal.

Q. Guibert, S. Loisel, O. Lopez, P. Piette, Bridging the Li-Carter's gap: a locally coherent mortality forecast approach, Working paper. Preprint sur Hal.

C. Mouminoux, J.-L. Rullière, S. Loisel, Honesty and Obfuscation: Experimental Evidence on Insurance Demand with Multiple Distribution Channels, Working paper (2018). Preprint sur Hal.

F. Borel-Mathurin, S. Loisel, Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views, Working paper. Preprint sur Hal.

S. Loisel, P. Arnal, R. Durand, Correlation crises in insurance and finance, and the need for dynamic risk maps in ORSA, Working paper (2010). Preprint sur Hal

A. Bienvenüe, A. Illig, L. Loisel, D. Serant, On inter-age correlations in stochastic mortality models, Working paper (2009). Abstract

S. Loisel, A trivariate non-Gaussian copula having 2-dimensional Gaussian copulas as margins , Working paper WP2106 (2009), Cahiers de recherche de l'Isfa. Preprint sur Hal

L. Devineau, S. Loisel, D. Serant, Modeling dependence between male and female stochastic mortality surfaces, Working paper, 2008.

S. Loisel, D. Serant, In the core of longevity risk : dependence in stochastic mortality models and cut-offs in prices of longevity swaps, Preprint (Working paper WP2044, Cahiers de recherche de l'Isfa. Preprint sur Hal).

L. Devineau, C. Lefèvre, S. Loisel, F. Toureille, Is pandemic risk really a 0-1 risk? Diversification and interplay with financial risks for innovative risk transfer solutions, Working paper, 2007.

S. Loisel, Finite-time ruin probabilities in the Markov-Modulated Multivariate Compound Poisson model with common shocks, and impact of dependence, (Working paper WP2027, Cahiers de recherche de l'Isfa). (abstract)

F. Quittard-Pinon, S. Loisel, Term Structure of interest rates and pricing of financial contracts with barriers, document de travail, 2002.

script-Dev.pdf

Supplementary files

Script related to Devylder-Goovaerts conjecture: