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Articles publiés et acceptés
- S. Loisel, P. Piette, J. Tsai, Applying economic measures to lapse risk management with machine learning approaches, to appear in ASTIN Bulletin (2021). Preprint sur Hal; arXiv preprint arXiv:1906.05087.
- K. Barigou, S. Loisel, Y. Salhi, Parsimonious predictive mortality modeling by regularization and cross-validation with and without covid-type effect, to appear in Risks. 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.
- 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.
- 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.
- 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.
- 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. 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.
- 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, February 2014, 1-25. Preprint sur Hal.
- D. Kortschak, S. Loisel, P. Ribereau, Ruin problems with worsening risks or with infinite mean claims, accepted, Stochastic Models (2015), Vol. 31(1), 119-152. Preprint sur Hal.
- R. Biard, C. Blanchet-Scalliet, A. Eyraud-Loisel, S. Loisel,
Impact of Climate Change on Heat Wave Risk,
Risks (2013), 1(3), 176-191.
- F. Avram, R. Biard, C. Dutang, S. Loisel, L. Rabehasaina,
A survey of some recent results on Risk Theory, ESAIM Proceedings January 2014, Vol. 44, 322-337.
- C. Lefèvre, S. Loisel,
On multiply monotone distributions, continuous or discrete, with applications, Journal of Applied Probability (2013), Volume 50, Number 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, Volume 2013, Issue 3, May 2013, pages 163-185. 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, No 3, 203-231. 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
- 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, No 1, 215-238. 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, Vol. 83, 76-81 (2010). 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?, Preprint sur Hal, Bulletin Français d'Actuariat, No 18, Vol. 9, 107-145 (2009).
- C. Lefèvre, S. Loisel, Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities, Preprint sur Hal (Working paper WP2044, Cahiers de recherche de l'Isfa), Methodology and Computing in Applied Probability, Vol. 11, No 3 (2009), 425-441.
- 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, Preprint sur Hal, Working paper WP2052, Cahiers de Recherche de l'ISFA, 2008.
Insurance: Mathematics and Economics, Vol. 43-3, 412-421.
Journal paper
- S.
Loisel, Ruin theory with K lines of business, Proceedings of the 3rd Actuarial and Financial Day, Bruxelles, 2004.
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.
- R. Mnatsakanov, H. Albrecher, S. Loisel, Approximations of copulas via transformed moments, 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.
- H. Albrecher, C. Dutang, S. Loisel, C. Mouminoux, On a Markovian game model for competitive insurance pricing, Working paper. Preprint sur Hal.
- K. Barigou, P.O. Goffard, S. Loisel, Y. Salhi,
Bayesian model averaging for mortality forecasting using leave-future-out validation, Working paper. 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, Working paper. Preprint.
- 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.
- C. Lefèvre, S. Loisel, P. Montesinos, Basis risk management in an index-based insurance framework under randomly scaled uncertainty, 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.
- S. Loisel, A. Olympio, J. Zozime, Modélisation Des Chocs Biométriques En Assurance De Personnes. 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
- L. Devineau, S.
Loisel, D. Serant, Modeling dependence between male and female stochastic mortality surfaces, Working paper, 2008.
- 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.
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