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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/10008332289

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

Biard, Romain; Lefèvre, Claude; Loisel, Stéphane - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 412-421

Persistent link: https://www.econbiz.de/10008149207

On finite-time ruin probabilities for classical risk models

Lefèvre, Claude; Loisel, Stéphane - In: Scandinavian actuarial journal : Actuarial Society of … (2008) 1, pp. 41-60

Persistent link: https://www.econbiz.de/10007985470

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin

Loisel, Stéphane; Mazza, Christian; Rullière, Didier - In: Insurance / Mathematics & economics 42 (2008) 2, pp. 746-762

Persistent link: https://www.econbiz.de/10007988403

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. 348-358

Persistent link: https://www.econbiz.de/10009166453

Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin

Loisel, Stéphane; Mazza, Christian; Rullière, Didier - In: Insurance / Mathematics & economics 42 (2008) 2, pp. 746-763

Persistent link: https://www.econbiz.de/10008879697

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. 374-382

Persistent link: https://www.econbiz.de/10008890267

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

Biard, Romain; Lefèvre, Claude; Loisel, Stéphane - In: Insurance / Mathematics & economics 43 (2008) 3, pp. 412-422

Persistent link: https://www.econbiz.de/10008893153

A Quantitative Risk Management Framework for Stable Value Fund Wraps

Alimoradian, Behzad; Jakubiak, Jeffrey; Loisel, Stéphane; … - 2022

This paper introduces quantitative risk management and scenario analysis framework for asset-liability management of stable value fund wraps. Stable value funds are guaranteed return employee benefit investment options, with currently over $400 billion USD of assets under management. These...

Persistent link: https://www.econbiz.de/10014236467

Understanding key drivers of participant cash flows for individually managed stable value funds

Alimoradian, Behzad; Jakubiak, Jeffrey; Loisel, Stéphane; … - In: Risks : open access journal 11 (2023) 8, pp. 1-27

In this paper, we investigate the behavioral and statistical characteristics of cash flows for stable value funds provided by numerous U.S. employee benefit plans. We analyze participant-initiated aggregated cash flow data, representing approximately 80% of the market for large employer plans...

Persistent link: https://www.econbiz.de/10014370436