Publications (hal)

73 documents

  • Aymric Kamega, Frédéric Planchet. Hétérogénéité : mesure du risque d'estimation dans le cas d'une modélisation intégrant des facteurs observables. Bulletin Français d'Actuariat, Institut des Actuaires, 2011, 11 (21), pp.99-129. ⟨hal-00593874⟩
  • Oberlain Nteukam Teuguia, Frédéric Planchet, Pierre-Emmanuel Thérond. Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee. Insurance: Mathematics and Economics, Elsevier, 2011, 48 (2), pp.161-175. ⟨hal-00543029⟩
  • Mathieu Bargès, Stéphane Loisel, Xavier Venel. On finite-time ruin probabilities with reinsurance cycles influenced by large claims. Scandinavian Actuarial Journal, Taylor & Francis (Routledge), 2011, pp.xxx-xxx. ⟨hal-00430178v2⟩
  • Xavier Milhaud, Stéphane Loisel, Véronique Maume-Deschamps. Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context?. Bulletin Français d'Actuariat, Institut des Actuaires, 2011, 11 (22), pp.5-48. ⟨hal-00450003⟩
  • Hansjoerg Albrecher, Corina Constantinescu, Stéphane Loisel. Explicit ruin formulas for models with dependence among risks. Insurance: Mathematics and Economics, Elsevier, 2011, 48 (2), pp.265-270. ⟨hal-00540621⟩
  • Mathieu Bargès, Hélène Cossette, Stéphane Loisel, Etienne Marceau. On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula. ASTIN Bulletin, Cambridge University Press (CUP), 2011, 41 (1), pp.215-238. ⟨hal-00426502⟩
  • Matthieu Chauvigny, Laurent Devineau, Stéphane Loisel, Véronique Maume-Deschamps. Fast remote but not extreme quantiles with multiple factors. Applications to Solvency II and Enterprise Risk Management. European Actuarial Journal, Springer, 2011, 1 (1), pp.131-157. ⟨hal-00517766v2⟩
  • Stéphane Loisel, Xavier Milhaud. From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital. European Journal of Operational Research, Elsevier, 2011, 214 (2), pp.348-357. ⟨10.1016/j.ejor.2011.04.038⟩. ⟨hal-00502847⟩
  • Romain Biard, Claude Lefèvre, Stéphane Loisel, Haikady Nagaraja. Asymptotic Finite-Time Ruin Probabilities for a Class of Path-Dependent Heavy-Tailed Claim Amounts Using Poisson Spacings. Applied Stochastic Models in Business and Industry, Wiley, 2011, 27 (5), pp.503-518. ⟨10.1002/asmb.857⟩. ⟨hal-00409418⟩
  • Frédéric Planchet, Quentin Guibert, Marc Juillard. Un cadre de référence pour un modèle interne partiel en assurance de personnes. Bulletin Français d'Actuariat, Institut des Actuaires, 2010, 10 (20), pp. 5-34. ⟨hal-00530864⟩