Travaux académiques en cours

Working papers – Période 2015-2020

Working papers – Période 2010-2015

Nouveaux développements de la théorie du risque :

Bienvenüe, A. & Robert C. (2014). “Likelihood based inference for high-dimensional extreme value distributions.

Robert C. (2014). “Rare-event asymptotics for the number of exceedances of multiplicative factor models.

Guillou, A., Loisel, S. & Stupfler, G. (2014) “Estimating the parameters of a seasonal Markov-modulated Poisson process, Working paper. Preprint sur Hal.

Goffard, P.-O., Loisel, S. & Pommeret, D. (2013) “A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model, Working paper. Preprint sur Hal.

Denuit, M. & Rey-Fournier, B. “Uni- and multi-dimensional risk attitudes: a unifying approach”, submitted for publication.

Cousin, A. & Di Bernardino, E. “On multivariate extensions of conditional-tail-expectation”, submitted for publication.

Nguyen, Q.H. & Robert, C. “Series expansions for sums of independent Pareto random variables”, submitted for publication.

Management du capital économique des compagnies d’assurances : 

Laïdi Y., & Planchet F. (2014) “Calibrating LMN Model to Compute Best
Estimates in Life Insurance”, Les cahiers de recherche de l’ISFA, n°2014.13.

Nteukam T. O., Planchet F., & Ren J. (2014) “Internal Model in Life insurance:
Application of Least Square Monte-Carlo in Risk Assessment”, Les cahiers de recherche de l’ISFA, n°2014.12.

Salhi, Y. Thérond, P.-E. (2014) “Alarm System for Credit Losses Impairment”, working-paper ISFA n° 2014.2

Le maistre A., & Planchet F. (2013) “A proposal of interest rate dampener for Solvency II Framework introducing a three factors mean reversion model”, Les cahiers de recherche de l’ISFA, n°2013.2.

Cenac, P. Loisel, S. Maume-Deschamps, V. & Prieur, C. (2013) “Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocation”, submitted for publication.

Félix, J.P., Salhi, Y. & Therond, P. “Modeling French GAAP impairment losses for market consistent valuation purposes”

Bienvenüe, A., Loisel, S. & Therond, P. “An examination of equity securities impairment criteria on a multi-period basis”

Ingram, D., Clot, D., Loisel S. & Agba G. “Risk attitudes and attitudes w.r.t. models”, Travail en cours

Gfeller, A. & Norberg, R. “Dynamic sensitivity analysis I: a comparative stud”.

Norberg, R “Risk sharing in life insurance and pensions”.

Norberg, R “Paradigms in life insurance. Chapter in edited volume Modelling in
life insurance – a management perspective to be submitted to Springer.

Bonnin, F. Juillard, M. & Planchet, F. (2012) “Best Estimate Calculations of Savings Contracts by Closed Formulas – Application to the ORSA”, submitted for publication.

Risques de défaut, de liquidité, risques démographiques :

El Karoui, N. Loisel, S. & Salhi, Y. (2015) “Optimality of the CUSUM Procedure for the Poisson Process, working paper

Laurent, J. P. Sestier, M. & Thomas, S. (2015). “Trading book and credit risk: how fundamental is the Basel review ?”  working paper.

Armakola, A. & Laurent, J-P. (2015), “CCP default fund exposures and clearing
membership, working paper.

Barsotti, F. Salhi, Y. & Milhaud, X. (2015) “Mass Lapse Scenario in Insurance, an Alternative to Solvency II Stress Tests”, working paper

Guibert Q. & Planchet F. (2014) “Non-Parametric Inference of Transition Probabilities Based on Aalen-Johansen Integral Estimators for Semi-Competing Risks Data: Application to LTC Insurance”, Les cahiers de recherche de l’ISFA, n°2014.14.

Bonnin F., De Clermont-Tonnerre A., Planchet F., Sapone D. & Tammar M. (2014), “Valeur économique de dettes subordonnées pour des sociétés non-vie” Les cahiers de
recherche de l’ISFA
, n° 2014.15.

Tomas, J. & Planchet, F. (2013) “Prospective Mortality Tables: Taking Heterogeneity
Into Account”, Les cahiers de recherche de l’ISFA, 2013.5

Tomas, J. & Planchet, F. (2013) “Constructing entity specific prospective mortality
table: adjustment to a reference”. Cahiers de Recherche de l’ISFA, 2013(13), 1-32, submitted for publication.

Laurent, J-P. Amzelek P. & Bonnaud, J. (2013) “An overview of the valuation of
collateralized derivatives contracts”, in revision Review of Derivatives Research.

Salhi, Y. Therond, P. & Tomas, J. “Makeham-Law Adjustment with application to dynamic-hedging of biometric risks

Lopez, O. Milhaud, X. & Therond, P. “Consistency of tree-based estimators in censored
regression with applications in insurance”

Croix, J.C. Planchet, F. & Therond, P. “Mortality: a statistical approach to detect model
misspecification” [preprint]

El Karoui, N. Loisel, S. & Salhi, Y. “Détection de fin de validité d’hypothèses actuarielles”

Norberg, R, “Forward mortality rates revisited”.

Bensusan, H. El Karoui, N. Loisel, S. & Salhi, Y. (2012) “Partial splitting of longevity and financial risks: the Longevity Nominal Choosing Swaptions”, working paper.

Bonnaud, J. Carlier, L. Laurent, J.P. & Vila, J-L. (2012) « Sovereign Recovery Schemes:
Discounting and Risk Management Issues”, working paper.

Hainaut, D. Robert, C. (2012) “Credit risk valuation with rating transitions and partial
information”. submitted for publication.

Salhi, Y. & Loisel, S. (2012) “Basis risk modelling: a co-integration based approach”
(former title: Joint modeling of portfolio experienced and national mortality: A co-integration based approach), working paper.