Selected recent publications of the research initiative team
Alimoradian, B., Jakubiak, J., Loisel, S., & Salhi, Y. (2024). Risk assessment for synthetic GICs: a quantitative framework for asset–liability management. Accepted, to appear in Decisions in Economics and Finance, 1-28.
Andrès, H., Boumezoued, A., & Jourdain, B. (2024). Signature-based validation of real-world economic scenarios. ASTIN Bulletin: The Journal of the IAA, 54(2), 410-440.
Gaba, G., Loisel, S., Parent, A. (2024). Cliometrics and Actuarial Science: New Avenues for Enriching Prospective Mortality Table Construction Models, In: Corazza, M., Gannon, F., Legros, F., Pizzi, C., Touzé, V. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer.
Barigou, K., Goffard, P. O., Loisel, S., & Salhi, Y. (2023). Bayesian model averaging for mortality forecasting using leave-future-out validation. International Journal of Forecasting, 39(2), 674-690.
Claramunt, M.M.; Mármol, M.; Varea, X. (2023) Facing a Risk: ¿To Insure or Not to Insure? An Analysis with the Constant Relative Risk Aversion Utility Function, Mathematics, 11(5), 1070. https://doi.org/10.3390/math11051070
Alimoradian, B., Jakubiak, J., Loisel, S., & Salhi, Y. (2023). Understanding Key Drivers of Participant Cash Flows for Individually Managed Stable Value Funds. Risks, 11(8), 148.
Loisel, S., & Minier, C. (2023). On the Devylder–Goovaerts Conjecture in Ruin Theory. Mathematics, 11(6), 1501.
Boj, E; Claramunt, M.M.; Varea, X. (2022) Reverse mortgage and financial sustainability, Technological and Economic Development of Economy, 28, 872- 892.https://doi.org/10.3846/tede.2022.16617
Claramunt, M. Mercè; Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre (2022) Basis risk management and randomly scaled uncertainty, Insurance Mathematics and Economics, 107, 123- 139. https://doi.org/10.1016/j.insmatheco.2022.08.005