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Author ID: loisel.stephane Recent zbMATH articles by "Loisel, Stéphane"
Published as: Loisel, Stéphane; Loisel, S.; Loisel, Stephane
External Links: MGP

Publications by Year

Citations contained in zbMATH Open

43 Publications have been cited 356 times in 265 Documents Cited by Year
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
48
2011
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
38
2012
Another look at the Picard–Lefèvre formula for finite-time ruin probabilities. Zbl 1103.91048
Rullière, Didier; Loisel, Stéphane
20
2004
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
18
2009
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. Zbl 1152.91565
Biard, Romain; Lefèvre, Claude; Loisel, Stéphane
16
2008
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
16
2013
Differentiation of some functionals of risk processes, and optimal reserve allocation. Zbl 1079.60038
Loisel, Stéphane
14
2005
On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Zbl 1214.91050
Bargès, Mathieu; Cossette, Hélène; Loisel, Stéphane; Marceau, Étienne
13
2011
On multiply monotone distributions, continuous or discrete, with applications. Zbl 1293.62028
Lefèvre, Claude; Loisel, Stéphane
13
2013
A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. Zbl 1355.60117
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys
13
2016
From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital. Zbl 1218.91086
Loisel, Stéphane; Milhaud, Xavier
12
2011
Estimation of the parameters of a Markov-modulated loss process in insurance. Zbl 1304.91109
Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles
12
2013
Discrete Schur-constant models. Zbl 1327.60038
Castañer, A.; Claramunt, M. M.; Lefèvre, C.; Loisel, S.
12
2015
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc
10
2017
Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin. Zbl 1152.91594
Loisel, Stéphane; Mazza, Christian; Rullière, Didier
9
2008
Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation. Zbl 1192.91111
Biard, R.; Loisel, S.; Macci, C.; Veraverbeke, N.
7
2010
On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing. Zbl 1290.91084
Dutang, C.; Lefèvre, C.; Loisel, S.
7
2013
Basis risk modelling: a cointegration-based approach. Zbl 1369.62285
Salhi, Yahia; Loisel, Stéphane
7
2017
Asset-liability management for long-term insurance business. Zbl 1416.91145
6
2018
Polynomial approximations for bivariate aggregate claims amount probability distributions. Zbl 1380.65023
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys
5
2017
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
5
2016
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044
El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia
5
2017
Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management. Zbl 1219.91067
Chauvigny, Matthieu; Devineau, Laurent; Loisel, Stéphane; Maume-Deschamps, Véronique
4
2011
Markov property in discrete Schur-constant models. Zbl 1402.60092
Lefèvre, Claude; Loisel, Stéphane; Utev, Sergey
4
2018
Do actuaries believe in longevity deceleration? Zbl 1400.91244
Debonneuil, Edouard; Loisel, Stéphane; Planchet, Frédéric
4
2018
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. Zbl 1231.91213
Loisel, Stéphane; Mazza, Christian; Rullière, Didier
4
2009
Stationary-excess operator and convex stochastic orders. Zbl 1231.91205
Lefèvre, Claude; Loisel, Stéphane
4
2010
Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018
Loisel, Stéphane; Privault, Nicolas
3
2009
The win-first probability under interest force. Zbl 1129.60314
Rullière, Didier; Loisel, Stéphane
3
2005
Estimating the parameters of a seasonal Markov-modulated Poisson process. Zbl 1487.62100
Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles
3
2015
On finite-time ruin probabilities with reinsurance cycles influenced by large claims. Zbl 1292.91089
Bargès, Mathieu; Loisel, Stéphane; Venel, Xavier
3
2013
Properties of a risk measure derived from the expected area in red. Zbl 1296.91163
Loisel, Stéphane; Trufin, Julien
3
2014
Applying economic measures to lapse risk management with machine learning approaches. Zbl 1480.91224
Loisel, Stéphane; Piette, Pierrick; Tsai, Cheng-Hsien Jason
2
2021
Phase-type aging modeling for health dependent costs. Zbl 1318.91114
Govorun, Maria; Latouche, Guy; Loisel, Stéphane
2
2015
Some mixing properties of conditionally independent processes. Zbl 1338.60070
Kacem, Manel; Loisel, Stéphane; Maume-Deschamps, Véronique
2
2016
Partially Schur-constant models. Zbl 1415.60034
Castañer, Anna; Claramunt, M. Mercè; Lefèvre, Claude; Loisel, Stéphane
2
2019
Optimal prevention strategies in the classical risk model. Zbl 1435.91149
Gauchon, Romain; Loisel, Stéphane; Rullière, Jean-Louis; Trufin, Julien
1
2020
On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre
1
2021
Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192
Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane
1
2017
On finite exchangeable sequences and their dependence. Zbl 1403.60030
Lefèvre, Claude; Loisel, Stéphane; Utev, Sergey
1
2017
A survey of some recent results on risk theory. Zbl 1338.62186
Avram, Florin; Biard, Romain; Dutang, Christophe; Loisel, Stéphane; Rabehasaina, Landy
1
2014
Convex extrema for nonincreasing discrete distributions: effects of convexity constraints. Zbl 1382.60039
Kacem, Manel; Lefèvre, Claude; Loisel, Stéphane
1
2015
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
Applying economic measures to lapse risk management with machine learning approaches. Zbl 1480.91224
Loisel, Stéphane; Piette, Pierrick; Tsai, Cheng-Hsien Jason
2
2021
On \(s\)-convex bounds for Beta-unimodal distributions with applications to basis risk assessment. Zbl 1471.91467
Lefèvre, Claude; Loisel, Stéphane; Montesinos, Pierre
1
2021
Optimal prevention strategies in the classical risk model. Zbl 1435.91149
Gauchon, Romain; Loisel, Stéphane; Rullière, Jean-Louis; Trufin, Julien
1
2020
Partially Schur-constant models. Zbl 1415.60034
Castañer, Anna; Claramunt, M. Mercè; Lefèvre, Claude; Loisel, Stéphane
2
2019
Asset-liability management for long-term insurance business. Zbl 1416.91145
6
2018
Markov property in discrete Schur-constant models. Zbl 1402.60092
Lefèvre, Claude; Loisel, Stéphane; Utev, Sergey
4
2018
Do actuaries believe in longevity deceleration? Zbl 1400.91244
Debonneuil, Edouard; Loisel, Stéphane; Planchet, Frédéric
4
2018
Obituary: Ragnar Norberg (1945–2017). Zbl 1417.01019
Barrieu, Pauline; Loisel, Stéphane; Neuhaus, Walther; Steffensen, Mogens
1
2018
Market inconsistencies of market-consistent European life insurance economic valuations: pitfalls and practical solutions. Zbl 1394.91233
Vedani, Julien; El Karoui, Nicole; Loisel, Stéphane; Prigent, Jean-Luc
10
2017
Basis risk modelling: a cointegration-based approach. Zbl 1369.62285
Salhi, Yahia; Loisel, Stéphane
7
2017
Polynomial approximations for bivariate aggregate claims amount probability distributions. Zbl 1380.65023
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys
5
2017
Minimax optimality in robust detection of a disorder time in doubly-stochastic Poisson processes. Zbl 1378.62044
El Karoui, Nicole; Loisel, Stéphane; Salhi, Yahia
5
2017
Measuring mortality heterogeneity with multi-state models and interval-censored data. Zbl 1394.91192
Boumezoued, Alexandre; El Karoui, Nicole; Loisel, Stéphane
1
2017
On finite exchangeable sequences and their dependence. Zbl 1403.60030
Lefèvre, Claude; Loisel, Stéphane; Utev, Sergey
1
2017
A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model. Zbl 1355.60117
Goffard, Pierre-Olivier; Loisel, Stéphane; Pommeret, Denys
13
2016
Old-age provision: past, present, future. Zbl 1394.91007
Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W.; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël
5
2016
Some mixing properties of conditionally independent processes. Zbl 1338.60070
Kacem, Manel; Loisel, Stéphane; Maume-Deschamps, Véronique
2
2016
Discrete Schur-constant models. Zbl 1327.60038
Castañer, A.; Claramunt, M. M.; Lefèvre, C.; Loisel, S.
12
2015
Estimating the parameters of a seasonal Markov-modulated Poisson process. Zbl 1487.62100
Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles
3
2015
Phase-type aging modeling for health dependent costs. Zbl 1318.91114
Govorun, Maria; Latouche, Guy; Loisel, Stéphane
2
2015
Convex extrema for nonincreasing discrete distributions: effects of convexity constraints. Zbl 1382.60039
Kacem, Manel; Lefèvre, Claude; Loisel, Stéphane
1
2015
Properties of a risk measure derived from the expected area in red. Zbl 1296.91163
Loisel, Stéphane; Trufin, Julien
3
2014
A survey of some recent results on risk theory. Zbl 1338.62186
Avram, Florin; Biard, Romain; Dutang, Christophe; Loisel, Stéphane; Rabehasaina, Landy
1
2014
Competition among non-life insurers under solvency constraints: a game-theoretic approach. Zbl 1317.91042
Dutang, Christophe; Albrecher, Hansjoerg; Loisel, Stéphane
16
2013
On multiply monotone distributions, continuous or discrete, with applications. Zbl 1293.62028
Lefèvre, Claude; Loisel, Stéphane
13
2013
Estimation of the parameters of a Markov-modulated loss process in insurance. Zbl 1304.91109
Guillou, Armelle; Loisel, Stéphane; Stupfler, Gilles
12
2013
On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing. Zbl 1290.91084
Dutang, C.; Lefèvre, C.; Loisel, S.
7
2013
On finite-time ruin probabilities with reinsurance cycles influenced by large claims. Zbl 1292.91089
Bargès, Mathieu; Loisel, Stéphane; Venel, Xavier
3
2013
Understanding, modelling and managing longevity risk: key issues and main challenges. Zbl 1277.91073
Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia
38
2012
Explicit ruin formulas for models with dependence among risks. Zbl 1218.91065
Albrecher, Hansjörg; Constantinescu, Corina; Loisel, Stephane
48
2011
On the moments of aggregate discounted claims with dependence introduced by a FGM copula. Zbl 1214.91050
Bargès, Mathieu; Cossette, Hélène; Loisel, Stéphane; Marceau, Étienne
13
2011
From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital. Zbl 1218.91086
Loisel, Stéphane; Milhaud, Xavier
12
2011
Fast remote but not extreme quantiles with multiple factors: applications to Solvency II and enterprise risk management. Zbl 1219.91067
Chauvigny, Matthieu; Devineau, Laurent; Loisel, Stéphane; Maume-Deschamps, Véronique
4
2011
Asymptotic behavior of the finite-time expected time-integrated negative part of some risk processes and optimal reserve allocation. Zbl 1192.91111
Biard, R.; Loisel, S.; Macci, C.; Veraverbeke, N.
7
2010
Stationary-excess operator and convex stochastic orders. Zbl 1231.91205
Lefèvre, Claude; Loisel, Stéphane
4
2010
Finite-time ruin probabilities for discrete, possibly dependent, claim severities. Zbl 1170.91414
Lefèvre, Claude; Loisel, Stéphane
18
2009
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. Zbl 1231.91213
Loisel, Stéphane; Mazza, Christian; Rullière, Didier
4
2009
Sensitivity analysis and density estimation for finite-time ruin probabilities. Zbl 1169.91018
Loisel, Stéphane; Privault, Nicolas
3
2009
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. Zbl 1152.91565
Biard, Romain; Lefèvre, Claude; Loisel, Stéphane
16
2008
Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin. Zbl 1152.91594
Loisel, Stéphane; Mazza, Christian; Rullière, Didier
9
2008
Differentiation of some functionals of risk processes, and optimal reserve allocation. Zbl 1079.60038
Loisel, Stéphane
14
2005
The win-first probability under interest force. Zbl 1129.60314
Rullière, Didier; Loisel, Stéphane
3
2005
Another look at the Picard–Lefèvre formula for finite-time ruin probabilities. Zbl 1103.91048
Rullière, Didier; Loisel, Stéphane
20
2004
all top 5

Cited by 445 Authors

34 Loisel, Stéphane
19 Lefèvre, Claude
9 Albrecher, Hansjörg
8 Goffard, Pierre-Olivier
7 Salhi, Yahia
6 Constantinescu, Corina D.
6 Furman, Edward
6 Zhang, Zhimin
5 Castañer, Anna
5 Claramunt, M. Mercè
5 Gajek, Lesław
5 Rudź, Marcin
5 Su, Jianxi
5 Yang, Hailiang
4 Antonio, Katrien
4 Blake, David
4 Boonen, Tim J.
4 Cheung, Eric C. K.
4 Dutang, Christophe
4 Maume-Deschamps, Véronique
4 Trufin, Julien
4 Utev, Sergey
4 Woo, Jae-Kyung
3 Asmussen, Søren
3 Avram, Florin
3 Balabdaoui, Fadoua
3 Cossette, Hélène
3 Denuit, Michel M.
3 Dimitrova, Dimitrina S.
3 Hochgerner, Simon
3 Kaishev, Vladimir K.
3 Mandjes, Michel Robertus Hendrikus
3 Marceau, Étienne
3 Milhaud, Xavier
3 Pantelous, Athanasios A.
3 Pommeret, Denys
3 Rullière, Didier
3 Shi, Yanlin
3 Steffensen, Mogens
3 Su, Wen
3 Tamturk, Muhsin
3 Vellekoop, Michel H.
3 Wagner, Joël
3 Yang, Jingping
2 Araujo-Acuna, José Carlos
2 Asimit, Alexandru V.
2 Avanzi, Benjamin
2 Ballotta, Laura
2 Baltazar-Larios, Fernando
2 Barigou, Karim
2 Battulga, Gankhuu
2 Biard, Romain
2 Boxma, Onno Johan
2 Casalini, Riccardo
2 Chang, Le
2 Cousin, Areski
2 De Fournas-Labrosse, Gabriella
2 Di Bernardino, Elena
2 Dorobantu, Diana
2 Eberlein, Ernst W.
2 El Karoui, Nicole
2 Embrechts, Paul
2 Esparza, Luz Judith R.
2 Filipović, Damir
2 Fusai, Gianluca
2 Gach, Florian
2 Gambaro, Anna Maria
2 Ghilarducci, Alessandro
2 Giguelay, Jade
2 Guillou, Armelle
2 Hu, Xiang
2 Jiao, Ying
2 Jordanova, Pavlina K.
2 Kacem, Manel
2 Kolev, Nikolai
2 Kozubowski, Tomasz J.
2 Kye, Yisub
2 Landriault, David
2 Li, Jinzhu
2 Li, Shuanming
2 Lin, Feng
2 Lu, Yi
2 Ludkovski, Michael
2 Macci, Claudio
2 MacMinn, Richard D.
2 Marchand, Eric
2 Marri, Fouad
2 Mazza, Christian
2 Moutanabbir, Khouzeima
2 Neves, César
2 Ouburg, Wilbert
2 Palmowski, Zbigniew
2 Picard, Philippe
2 Piette, Pierrick
2 Rabehasaina, Landy
2 Regis, Luca
2 Renaud, Jean-François
2 Risk, Jimmy
2 Schmeiser, Hato
2 Schmidt, Thorsten
...and 345 more Authors
all top 5

Cited in 57 Serials

61 Insurance Mathematics & Economics
29 Methodology and Computing in Applied Probability
29 Scandinavian Actuarial Journal
17 European Actuarial Journal
16 ASTIN Bulletin
10 North American Actuarial Journal
9 Journal of Computational and Applied Mathematics
8 Journal of Multivariate Analysis
7 Statistics & Probability Letters
7 European Journal of Operational Research
5 Journal of Mathematical Analysis and Applications
4 Applied Mathematics and Computation
4 Computational Statistics and Data Analysis
3 Communications in Statistics. Theory and Methods
3 Stochastic Processes and their Applications
3 Dependence Modeling
2 Advances in Applied Probability
2 Journal of Statistical Planning and Inference
2 Acta Mathematicae Applicatae Sinica. English Series
2 Statistics
2 Queueing Systems
2 Quantitative Finance
2 Risk and Decision Analysis
2 Modern Stochastics. Theory and Applications
1 Lithuanian Mathematical Journal
1 Journal of Applied Probability
1 Mathematical Social Sciences
1 The Annals of Applied Probability
1 Applied Mathematical Modelling
1 SIAM Journal on Scientific Computing
1 Applied Mathematics. Series B (English Edition)
1 Theory of Probability and Mathematical Statistics
1 Turkish Journal of Mathematics
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings
1 Optimization Methods & Software
1 Soft Computing
1 Journal of Inequalities and Applications
1 International Journal of Theoretical and Applied Finance
1 Miscelánea Matemática
1 Decisions in Economics and Finance
1 Stochastic Models
1 Stochastics
1 Statistical Methodology
1 Mathematics and Financial Economics
1 Journal of Statistical Theory and Practice
1 Electronic Journal of Statistics
1 SIAM Journal on Financial Mathematics
1 MathematicS In Action
1 Statistics and Computing
1 Statistics & Risk Modeling
1 Izvestiya Irkutskogo Gosudarstvennogo Universiteta. Seriya Matematika
1 Mathematica Applicanda
1 AIMS Mathematics
1 Annales Henri Lebesgue
1 Probability, Uncertainty and Quantitative Risk
1 Results in Applied Mathematics

Citations by Year