Page personnelle de Stéphane LOISEL

Professeur des universités,
Directeur du Laboratoire SAF

Laboratoire de Science Actuarielle et Financière,
ISFA, Université Lyon 1 


   
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 IDR Actuariat Durable
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 ISFA Afrique
 Chaire DAMI Cardif



 
 

 

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Formation
  • Habilitation à Diriger les Recherches, soutenue le 9 novembre 2010. Détails, fichier pdf et présentation.
  • Thèse de mathématiques appliquées à l'actuariat, Laboratoire de Science Actuarielle et Financière, Université Lyon 1, soutenue le 14 décembre 2004. Détails, fichier pdf et présentation.
  • Diplôme d'actuaire de l'Isfa.
  • DEA SAF "Science Actuarielle Financière", Université Lyon 1.
  • Agrégation de mathématiques.
  • Ecole Normale Supérieure de Lyon, Mathématiques.
  • CPGE Louis-le-Grand, Paris. 

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Prix et distinctions
  • Award: Hachemeister prize, 2013. Communiqué de presse
  • Award: Best paper presented at the LIFE Mexico Colloquium, Oct. 2012.
  • Award: Second best paper presented at the ASTIN Mexico Colloquium, Oct. 2012.
  • Membre honoraire de la société suisse des actuaires (Août 2012).
  • Lloyd's Science of Risk Runner-up prize in the category Financial mathematics and Insurance markets and operations (Nov. 2011).
  • Prix de thèse SCOR 2005. Remise du prix.
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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.
  • 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.
  • 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.
  • A. Guillou, S. Loisel, G. Stupfler, Estimating the parameters of a seasonal Markov-modulated Poisson process, Statistical Methodology (2015), Vol. 26, September 2015, 103-123. 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.
  • 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.
  • D. Rullière, S. Loisel, Another look at the Picard-Lefèvre formula for finite-time ruin probabilities, Insurance: Mathematics and Economics,   Vol. 35-2, 187-203, 2004. (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.
  • 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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Présentations

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Enseignement
  • Cours d'Enterprise Risk Management, ISFA3
  • Cours d'Enterprise Risk Management, M2ES, parcours DRM.
  • Cours de Titrisation des risques d'assurance, M2ES, parcours GRAF.
  • Cours d'Assurance-Vie et Longévité, M2ES, parcours GRAF.
  • Cours de Mesures de risque, M2ES, parcours GRAF.
  • Cours d'Introduction à l'actuariat, ISFA1
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