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Stationary-excess operator and convex stochastic orders

Lefevre, Claude; Loisel, Stéphane - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 64-75

Persistent link: https://www.econbiz.de/10003985391

From deterministic to stochastic surrender risk models : impact of correlation crises on economic capital

Loisel, Stéphane; Milhaud, Xavier - In: European journal of operational research : EJOR 214 (2011) 2, pp. 348-357

Persistent link: https://www.econbiz.de/10009307377

Impact of climate change on heat wave risk

Biard, Romain; Blanchet-Scalliet, Christophette; … - In: Risks : open access journal 1 (2013) 3, pp. 176-191

We study a new risk measure inspired from risk theory with a heat wave risk analysis motivation. We show that this risk measure and its sensitivities can be computed in practice for relevant temperature stochastic processes. This is in particular useful for measuring the potential impact of...

Persistent link: https://www.econbiz.de/10010338320

On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing

Dutang, Christophe; Lefevre, Claude; Loisel, Stéphane - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 774-785

Persistent link: https://www.econbiz.de/10010227872

Estimation of the parameters of a Markov-modulated loss process in insurance

Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 388-404

Persistent link: https://www.econbiz.de/10010195915

Competition among non-life insurers under solvency constraints : a game-theoretic approach

Dutang, Christophe; Albrecher, Hansjörg; Loisel, Stéphane - In: European journal of operational research : EJOR 231 (2013) 3, pp. 702-711

Persistent link: https://www.econbiz.de/10009787356

Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes

Loisel, Stéphane; Mazza, Christian; Rullière, Didier - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 374-381

Persistent link: https://www.econbiz.de/10009517556

Partial splitting of longevity and financial risks : the longevity nominal choosing swaptions

Bensusan, Harry; El Karoui, Nicole; Loisel, Stéphane; … - In: Insurance / Mathematics & economics 68 (2016), pp. 73-83

Persistent link: https://www.econbiz.de/10011492465

Phase-type aging modeling for health dependent costs

Govorun, Maria; Latouche, Guy; Loisel, Stéphane - In: Insurance / Mathematics & economics 62 (2015), pp. 173-183

Persistent link: https://www.econbiz.de/10011312074

Some characteristics of an equity security next-year impairment

Azzaz, Julien; Loisel, Stéphane; Thérond, Pierre-E. - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 111-135

Persistent link: https://www.econbiz.de/10011333134