Stéphane Loisel : Citation Profile


Are you Stéphane Loisel?

Université Claude Bernard (Lyon 1)

7

H index

4

i10 index

219

Citations

RESEARCH PRODUCTION:

25

Articles

217

Papers

RESEARCH ACTIVITY:

   15 years (2004 - 2019). See details.
   Cites by year: 14
   Journals where Stéphane Loisel has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 43 (16.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo60
   Updated: 2019-10-15    RAS profile: 2019-03-24    
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Relations with other researchers


Works with:

Borel-Mathurin, Fabrice (6)

DARPEIX, Pierre-Emmanuel (4)

Blake, David (2)

Thérond, Pierre-Emmanuel (2)

Pelsser, Antoon (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stéphane Loisel.

Is cited by:

Rulliere, Didier (8)

Pancaro, Cosimo (3)

Kok, Christoffer (3)

Durant, Dominique (2)

Dacorogna, Michel (2)

Toader, Oana (2)

Meyer, Jack (2)

Menoncin, Francesco (2)

Li, Shuanming (2)

Kochanski, Michael (1)

Castañer, Anna (1)

Cites to:

Blake, David (30)

Rulliere, Didier (23)

Camara, Boubacar (9)

Kaishev, Vladimir (9)

Goovaerts, Marc (8)

Dietsch, Michel (6)

Lee, Ronald (6)

fraisse, henri (6)

Biffis, Enrico (5)

DIETSCH, Michel (5)

Lepetit, Laetitia (4)

Main data


Where Stéphane Loisel has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics15
Risks2
European Journal of Operational Research2

Working Papers Series with more than one paper published# docs
Post-Print / HAL202
Working Papers / HAL10

Recent works citing Stéphane Loisel (2019 and 2018)


YearTitle of citing document
2017Cohort effects in mortality modelling: a Bayesian state-space approach. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Peters, Gareth W. In: Papers. RePEc:arx:papers:1703.08282.

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2017Pricing formulae for derivatives in insurance using the Malliavin calculus. (2017). Hillairet, Caroline ; Jiao, Ying. In: Papers. RePEc:arx:papers:1707.05061.

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2017Equilibrium distributions and discrete Schur-constant models. (2017). Castaner, Anna ; Claramunt, Merce M. In: Papers. RePEc:arx:papers:1709.09955.

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2018Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. (2018). Ludkovski, Michael ; Risk, James . In: Papers. RePEc:arx:papers:1710.05204.

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2018Mortality/longevity Risk-Minimization with or without securitization. (2018). Choulli, Tahir ; Vanmaele, Michele ; Daveloose, Catherine . In: Papers. RePEc:arx:papers:1805.11844.

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2018An optimization approach to adaptive multi-dimensional capital management. (2018). Delsing, G A ; E. M. M. Winands, ; P. J. C. Spreij, ; M. R. H. Mandjes, . In: Papers. RePEc:arx:papers:1812.08435.

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2019A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula. (2019). Infante, Jose Arturo ; Cherchali, Adel ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1908.00811.

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2017Intergenerational Risk Sharing in Life Insurance: Evidence from France. (2017). Hombert, J ; Lyonnet, V. In: Débats économiques et financiers. RePEc:bfr:decfin:30.

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2017The Impact of the Identification of GSIBs on their Business Model. (2017). Toader, Oana ; Durant, Dominique ; Violon, Aurelien. In: Débats économiques et financiers. RePEc:bfr:decfin:33.

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2019Mortality Options: the Point of View of an Insurer. (2019). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:616.

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2017Managing Mortality Risk With Longevity Bonds When Mortality Rates Are Cointegrated. (2017). Wong, Tat Wing ; Chiu, Mei Choi. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:987-1023.

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2017MCMC design-based non-parametric regression for rare event. Application to nested risk computations. (2017). Gersende, Fort ; Eric, Moulines ; Emmanuel, Gobet . In: Monte Carlo Methods and Applications. RePEc:bpj:mcmeap:v:23:y:2017:i:1:p:21-42:n:3.

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2017Pricing formulae for derivatives in insurance using the Malliavin calculus. (2017). Hillairet, Caroline ; Jiao, Ying. In: Working Papers. RePEc:crs:wpaper:2017-75.

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2017A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2017). Pancaro, Cosimo ; Kok, Christoffer ; Berdin, Elia. In: Working Paper Series. RePEc:ecb:ecbwps:20172028.

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2017Distributional study of finite-time ruin related problems for the classical risk model. (2017). Li, Shuanming ; Lu, YI. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:315:y:2017:i:c:p:319-330.

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2018Testing k-monotonicity of a discrete distribution. Application to the estimation of the number of classes in a population. (2018). Giguelay, J ; Huet, S. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:96-115.

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2018A two-decrement model for the valuation and risk measurement of a guaranteed annuity option. (2018). Zhao, Yixing ; GAO, Huan ; Mamon, Rogemar. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:231-249.

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2017On the distribution of cumulative Parisian ruin. (2017). Guerin, Helene ; Renaud, Jean-Franois. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:116-123.

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2017Multiple risk factor dependence structures: Copulas and related properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:109-121.

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2017Nonparametric estimation of the claim amount in the strong stability analysis of the classical risk model. (2017). Touazi, A ; Adjabi, S ; Aissani, D ; Benouaret, Z. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:78-83.

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2017Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures. (2017). Suli, Balazs Marton ; Niedermayer, Andras ; Mezfi, Balazs. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:164-171.

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2017Multiple risk factor dependence structures: Distributional properties. (2017). Su, Jianxi ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:56-68.

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2017Longevity-linked assets and pre-retirement consumption/portfolio decisions. (2017). Menoncin, Francesco ; Regis, Luca. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:76:y:2017:i:c:p:75-86.

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2018Non-cooperative dynamic games for general insurance markets. (2018). Boonen, Tim J ; Wu, Renchao ; Pantelous, Athanasios A. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:123-135.

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2018Valuation of longevity-linked life annuities. (2018). Bravo, Jorge ; el Mekkaoui, Najat. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:212-229.

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2018Duality in ruin problems for ordered risk models. (2018). Goffard, Pierre-Olivier ; Lefevre, Claude. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:44-52.

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2018Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications. (2018). Cossette, Helene ; Veilleux, Dery ; Mtalai, Itre ; Marceau, Etienne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:53-71.

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2018Ruin probability via Quantum Mechanics Approach. (2018). Tamturk, Muhsin ; Utev, Sergey. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:69-74.

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2018Weighted risk capital allocations in the presence of systematic risk. (2018). Furman, Edward ; Zitikis, Riardas ; Kuznetsov, Alexey. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:75-81.

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2018Banach Contraction Principle and ruin probabilities in regime-switching models. (2018). Gajek, Lesaw ; Rud, Marcin . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:80:y:2018:i:c:p:45-53.

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2018Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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2018Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland. (2018). Fuino, Michel ; Wagner, Joel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:51-70.

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2018Bayesian ratemaking with common effects modeled by mixture of Polya tree processes. (2018). Zhang, Jianjun ; Wu, Xianyi ; Qiu, Chunjuan . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:87-94.

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2019An optimization approach to adaptive multi-dimensional capital management. (2019). Delsing, G A ; Winands, E. M. M., ; Spreij, P. J. C., ; Mandjes, M. R. H., . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:84:y:2019:i:c:p:87-97.

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2019Risk-adjusted Bowley reinsurance under distorted probabilities. (2019). Zhang, Yiying ; Phillip, Sheung Chi ; Cheung, Ka Chun . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:64-72.

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2018The joint distribution of the sum and maximum of dependent Pareto risks. (2018). Arendarczyk, Marek ; Panorska, Anna K ; Kozubowski, Tomasz J. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:167:y:2018:i:c:p:136-156.

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2019Multivariate discrete distributions via sums and shares. (2019). Marchand, Eric ; Jones, M C. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:171:y:2019:i:c:p:83-93.

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2017I-Delaporte process and applications. (2017). Minkova, L D ; Lazarova, M D. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:133:y:2017:i:c:p:135-141.

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2018Risk apportionment and multiply monotone targets. (2018). Denuit, Michel M. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:92:y:2018:i:c:p:74-77.

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2017Some properties of bivariate Schur-constant distributions. (2017). Ta, Bao Quoc ; Van, Chung Pham . In: Statistics & Probability Letters. RePEc:eee:stapro:v:124:y:2017:i:c:p:69-76.

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2017On a generalization of Archimedean copula family. (2017). Xie, Jiehua ; Yang, Jingping ; Lin, Feng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:125:y:2017:i:c:p:121-129.

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2017A generalization of Gerber’s inequality for ruin probabilities in risk-switching models. (2017). Gajek, Lesaw ; Rud, Marcin . In: Statistics & Probability Letters. RePEc:eee:stapro:v:129:y:2017:i:c:p:236-240.

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2017The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation. (2017). Fan, Yuguang ; Wang, Tiandong ; Szimayer, Alexander ; Maller, Ross ; Griffin, Philip S. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:3-:d:87055.

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2018On Central Branch/Reinsurance Risk Networks: Exact Results and Heuristics. (2018). Avram, Florin ; Loke, Sooie-Hoe. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:35-:d:140829.

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2018A VaR-Type Risk Measure Derived from Cumulative Parisian Ruin for the Classical Risk Model. (2018). Lkabous, Mohamed Amine ; Renaud, Jean-Franois. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:85-:d:165493.

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2017Impact of dependence on some multivariate risk indicators. (2016). Rulliere, Didier ; Said, Khalil ; Maume-Deschamps, Veronique. In: Post-Print. RePEc:hal:journl:hal-01171395.

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2019A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives. (2017). Blanchet-Scalliet, Christophette ; Salhi, Yahia ; Dorobantu, Diana. In: Post-Print. RePEc:hal:journl:hal-01258645.

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2019Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities. (2019). Therond, Pierre-Emmanuel ; Salhi, Yahia ; Dorobantu, Diana. In: Post-Print. RePEc:hal:journl:hal-01840057.

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2017Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion. (2017). Devineau, Laurent ; Boumezoued, Alexandre ; Bonnefoy, Paul ; Arrouy, Pierre-Edouard . In: Working Papers. RePEc:hal:wpaper:hal-01521491.

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2017Two-sided exit problems in the ordered risk model. (2017). Goffard, Pierre-Olivier . In: Working Papers. RePEc:hal:wpaper:hal-01528204.

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2017Pricing formulae for derivatives in insurance using the Malliavin calculus *. (2017). Hillairet, Caroline ; Reveillac, Anthony ; Jiao, Ying. In: Working Papers. RePEc:hal:wpaper:hal-01561987.

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2017CONDITIONS OF INTEREST OF A LONGEVITY MEGAFUND FOR PENSION FUNDS. (2017). Debonneuil, Edouard ; Planchet, Frederic ; Loisel, Stephane. In: Working Papers. RePEc:hal:wpaper:hal-01571937.

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2017Equilibrium distributions and discrete Schur-constant models. (2017). Castaer, Anna ; Claramunt, Merce M. In: Working Papers. RePEc:hal:wpaper:hal-01593552.

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2019A market-consistent framework for the fair evaluation of insurance contracts under Solvency II. (2019). Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo ; Gambaro, Anna Maria. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:42:y:2019:i:1:d:10.1007_s10203-019-00242-1.

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2017Parisian ruin in the dual model with applications to the G/M/1 queue. (2017). Frostig, Esther ; Kerenpinhasik, Adva . In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:86:y:2017:i:3:d:10.1007_s11134-017-9529-y.

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Works by Stéphane Loisel:


YearTitleTypeCited
2015Main determinants of profit sharing policy in the French life insurance industry In: Débats économiques et financiers.
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2018Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry.(2018) In: Post-Print.
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2015Main Determinants of Profit Sharing Policy in the French Life Insurance Industry.(2015) In: PSE Working Papers.
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2018Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry.(2018) In: The Geneva Papers on Risk and Insurance - Issues and Practice.
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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views In: Débats économiques et financiers.
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2017Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2017) In: EIOPA Financial Stability Report - Thematic Articles.
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2018Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2018) In: Post-Print.
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2018Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2018) In: Post-Print.
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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2017) In: Post-Print.
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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2017) In: Post-Print.
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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2017) In: Post-Print.
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2015Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2015) In: Post-Print.
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2014Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2014) In: Post-Print.
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2017Le risque de longévité est-il assurable ? In: Revue d'économie financière.
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2017Le risque de longévité est-il assurable ?.(2017) In: Post-Print.
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2018Asset-Liability Management for Long-Term Insurance Business In: Swiss Finance Institute Research Paper Series.
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2018Asset-liability management for long-term insurance business.(2018) In: Post-Print.
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2011On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula In: ASTIN Bulletin: The Journal of the International Actuarial Association.
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2011From deterministic to stochastic surrender risk models: Impact of correlation crises on economic capital In: European Journal of Operational Research.
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2011From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital.(2011) In: Post-Print.
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2012From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital.(2012) In: Post-Print.
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2013Competition among non-life insurers under solvency constraints: A game-theoretic approach In: European Journal of Operational Research.
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2013Competition among non-life insurers under solvency constraints: A game-theoretic approach.(2013) In: Post-Print.
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2013Competition among non-life insurers under solvency constraints: A game-theoretic approach.(2013) In: Post-Print.
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2004Another look at the Picard-Lefevre formula for finite-time ruin probabilities In: Insurance: Mathematics and Economics.
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2004Another look at the Picard-Lefèvre formula for finite-time ruin probabilities.(2004) In: Post-Print.
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2005The win-first probability under interest force In: Insurance: Mathematics and Economics.
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2005The win-first probability under interest force.(2005) In: Post-Print.
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2008Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin In: Insurance: Mathematics and Economics.
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2008Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin..(2008) In: Post-Print.
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2008Impact 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 In: Insurance: Mathematics and Economics.
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2009Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes In: Insurance: Mathematics and Economics.
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2009Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes..(2009) In: Post-Print.
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2007Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes.(2007) In: Post-Print.
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2010Stationary-excess operator and convex stochastic orders In: Insurance: Mathematics and Economics.
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2010Stationary-excess operator and convex stochastic orders.(2010) In: Post-Print.
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2011Explicit ruin formulas for models with dependence among risks In: Insurance: Mathematics and Economics.
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2011Explicit ruin formulas for models with dependence among risks.(2011) In: Post-Print.
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2013Estimation of the parameters of a Markov-modulated loss process in insurance In: Insurance: Mathematics and Economics.
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2011Estimation of the parameters of a Markov-modulated loss process in insurance.(2011) In: Working Papers.
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2013On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing In: Insurance: Mathematics and Economics.
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2013On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing.(2013) In: Post-Print.
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2013On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing.(2013) In: Post-Print.
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2014Properties of a risk measure derived from the expected area in red In: Insurance: Mathematics and Economics.
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2014Properties of a risk measure derived from the expected area in red.(2014) In: Post-Print.
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2015Phase-type aging modeling for health dependent costs In: Insurance: Mathematics and Economics.
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2015Phase-type aging modeling for health dependent costs.(2015) In: Post-Print.
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2016Partial splitting of longevity and financial risks: The longevity nominal choosing swaptions In: Insurance: Mathematics and Economics.
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2016Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions.(2016) In: Post-Print.
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2017Measuring mortality heterogeneity with multi-state models and interval-censored data In: Insurance: Mathematics and Economics.
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2015Measuring mortality heterogeneity with multi-state models and interval-censored data.(2015) In: Working Papers.
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2018Longevity risk and capital markets: The 2015–16 update In: Insurance: Mathematics and Economics.
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2018Longevity risk and capital markets: The 2015–16 update.(2018) In: Post-Print.
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2018Do actuaries believe in longevity deceleration? In: Insurance: Mathematics and Economics.
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2015Do actuaries believe in longevity deceleration?.(2015) In: Working Papers.
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2015Discrete Schur-constant models In: Journal of Multivariate Analysis.
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2015Discrete Schur-constant models.(2015) In: Post-Print.
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2013Impact of Climate Change on Heat Wave Risk In: Risks.
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2013Impact of Climate Change on HeatWave Risk.(2013) In: Post-Print.
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2018A Quantum-Type Approach to Non-Life Insurance Risk Modelling In: Risks.
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2018A Quantum-Type Approach to Non-Life Insurance Risk Modelling.(2018) In: Post-Print.
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2005Differentiation of some functionals of risk processes. In: Post-Print.
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2007Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks In: Post-Print.
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2008On Finite-Time Ruin Probabilities for Classical Risk Models In: Post-Print.
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