Stéphane Loisel : Citation Profile


Are you Stéphane Loisel?

Université Claude Bernard (Lyon 1)

11

H index

17

i10 index

422

Citations

RESEARCH PRODUCTION:

30

Articles

256

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 26
   Journals where Stéphane Loisel has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 52 (10.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plo60
   Updated: 2022-08-06    RAS profile: 2021-05-24    
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Relations with other researchers


Works with:

Borel-Mathurin, Fabrice (6)

DARPEIX, Pierre-Emmanuel (2)

Blake, David (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 (9)

Thérond, Pierre-Emmanuel (6)

Regis, Luca (4)

Li, Shuanming (3)

Blake, David (3)

Ballotta, Laura (3)

Barsotti, Flavia (3)

Pancaro, Cosimo (3)

Kok, Christoffer (3)

Toader, Oana (2)

Adekambi, Franck (2)

Cites to:

Blake, David (45)

Rulliere, Didier (25)

Kaishev, Vladimir (9)

Lee, Ronald (9)

Goovaerts, Marc (8)

Milevsky, Moshe (7)

Dhaene, Jan (5)

SALHI, Yahia (5)

Arrondel, Luc (4)

Blommestein, Hans (4)

Hanewald, Katja (4)

Main data


Where Stéphane Loisel has published?


Journals with more than one article published# docs
Insurance: Mathematics and Economics16
Risks3
Journal of Multivariate Analysis2
European Journal of Operational Research2
Revue d'conomie financire2

Working Papers Series with more than one paper published# docs
Post-Print / HAL235
Working Papers / HAL13
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3

Recent works citing Stéphane Loisel (2022 and 2021)


YearTitle of citing document
2021Insurance valuation: A two-step generalised regression approach. (2020). Bignozzi, Valeria ; Barigou, Karim ; Tsanakas, Andreas. In: Papers. RePEc:arx:papers:2012.04364.

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2022Estimation of future discretionary benefits in traditional life insurance. (2021). Hochgerner, Simon ; Gach, Florian. In: Papers. RePEc:arx:papers:2101.06077.

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2021Modeling surrender risk in life insurance: theoretical and experimental insight. (2021). Kiermayer, Mark. In: Papers. RePEc:arx:papers:2101.11590.

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2021Risk aggregation and capital allocation using a new generalized Archimedean copula. (2021). Moutanabbir, Khouzeima ; Marri, Fouad. In: Papers. RePEc:arx:papers:2103.10989.

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2021Collaborative Insurance Sustainability and Network Structure. (2021). Vermet, Franck ; Ratz, Philipp ; Lowe, Matthias ; Kouakou, Lariosse ; Charpentier, Arthur. In: Papers. RePEc:arx:papers:2107.02764.

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2021A mean-field extension of the LIBOR market model. (2021). Hochgerner, Simon ; Desmettre, Sascha ; Thonhauser, Stefan ; Omerovic, Sanela . In: Papers. RePEc:arx:papers:2109.10779.

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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Papers. RePEc:arx:papers:2109.13796.

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2022Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850.

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2021The Real Effects of Bank Runs. Evidence from the French Great Depression (1930-1931). (2021). Ungaro, Stefano ; Riva, Angelo ; Monnet, Eric. In: Débats économiques et financiers. RePEc:bfr:decfin:37.

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2021Optimal Surplus-dependent Reinsurance under Regime-Switching in a Brownian Risk Model. (2021). Schmeck, Maren Diane ; Fabrykowski, Lukas ; Eisenberg, Julia. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:648.

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2021The informativeness of embedded value reporting to stock price. (2021). , Jason ; Ju, AI ; Jou, David. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:4:p:5341-5376.

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2021Estimating extreme cancellation rates in life insurance. (2021). Jaspersen, Johannes G ; Huber, Tobias ; Biagini, Francesca ; Mazzon, Andrea. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:4:p:971-1000.

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2021Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework. (2021). Xian, Alan ; Wong, Bernard ; Taylor, Greg ; Avanzi, Benjamin. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:177-195.

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2021Risk sharing with multiple indemnity environments. (2021). Chong, Wing Fung ; Chi, Yichun ; Boonen, Tim J ; Asimit, Alexandru V. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:587-603.

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2021Forecasting mortality with international linkages: A global vector-autoregression approach. (2021). Shi, Yanlin ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:100:y:2021:i:c:p:59-75.

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2021Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341.

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2022Risk aggregation and capital allocation using a new generalized Archimedean copula. (2022). Moutanabbir, Khouzeima ; Marri, Fouad. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:75-90.

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2022A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. (2022). Woo, Jae-Kyung ; Liu, Haibo ; Albrecher, Hansjorg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:103:y:2022:i:c:p:96-118.

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2021Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type. (2021). Su, Jianxi ; Kye, Yisub ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:153-167.

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2021Mortality options: The point of view of an insurer. (2021). Schmidli, Hanspeter ; Schmeck, Maren Diane. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:98-115.

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2021Pricing in a competitive stochastic insurance market. (2021). Pantelous, Athanasios A ; Koo, Bonsoo ; Boonen, Tim J ; Mourdoukoutas, Fotios. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:97:y:2021:i:c:p:44-56.

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2021A Fourier-cosine method for finite-time ruin probabilities. (2021). Phillip, Sheung Chi ; Shi, Yifan ; Liu, Fangda ; Lee, Wing Yan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:256-267.

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2021Cause-specific mortality rates: Common trends and differences. (2021). Glushko, Viktoriya ; Arnold, Severine. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:294-308.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021Forecasting mortality with a hyperbolic spatial temporal VAR model. (2021). Chang, LE ; Shi, Yanlin ; Feng, Lingbing. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:255-273.

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2021Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297.

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2022Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843.

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2021Splitting models for multivariate count data. (2021). Fernique, Pierre ; Peyhardi, Jean ; Durand, Jean-Baptiste. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:181:y:2021:i:c:s0047259x2030258x.

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2022New characterizations of bivariate discrete Schur-constant models. (2022). Mulinacci, Sabrina ; Kolev, Nikolai. In: Statistics & Probability Letters. RePEc:eee:stapro:v:180:y:2022:i:c:s0167715221001954.

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2022Pricing Longevity Bonds under a Credibility Framework with Limited Available Data. (2022). Pitselis, Georgios ; Badounas, Ioannis ; Bozikas, Apostolos. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:5:p:96-:d:808361.

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2022Analyzing How the Social Security Reserve Fund in Spain Affects the Sustainability of the Pension System. (2022). Sosvilla-Rivero, Simon ; Perez-Rodriguez, Jorge V ; Gomez-Deniz, Emilio. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:6:p:120-:d:835723.

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2022The Copula Derived from the SAHARA Utility Function. (2022). Spreeuw, Jaap. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:7:p:133-:d:849518.

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2021Retrospective Reserves and Bonus with Policyholder Behavior. (2021). Nyegaard, Anna Kamille ; Falden, Debbie Kusch. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:15-:d:475059.

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2021On the Market-Consistent Valuation of Participating Life Insurance Heterogeneous Contracts under Longevity Risk. (2021). Millossovich, Pietro ; Sehner, Thorsten ; Chen, AN ; Bacinello, Anna Rita. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:20-:d:478258.

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2021Optimal Surplus-Dependent Reinsurance under Regime-Switching in a Brownian Risk Model. (2021). Eisenberg, Julia ; Schmeck, Maren Diane ; Fabrykowski, Lukas. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:73-:d:535490.

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2021Monte Carlo Simulation of the Moments of a Copula-Dependent Risk Process with Weibull Interwaiting Time. (2021). Mohd, Siti Norafidah ; Zamzuri, Zamira Hasanah ; Syed, Sharifah Farah. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:6:p:109-:d:568536.

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2021Insurance valuation: A two-step generalised regression approach. (2021). Tsanakas, Andreas ; Bignozzi, Valeria ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03043244.

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2022Actuarial-consistency and two-step actuarial valuations: a new paradigm to insurance valuation. (2022). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Post-Print. RePEc:hal:journl:hal-03327710.

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2021Insurance valuation: A two-step generalised regression approach. (2020). Barigou, Karim ; Tsanakas, Andreas ; Bignozzi, Valeria. In: Working Papers. RePEc:hal:wpaper:hal-03043244.

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2021Risk aggregation and capital allocation using a new generalized Archimedean copula. (2021). Moutanabbir, Khouzeima ; Marri, Fouad. In: Working Papers. RePEc:hal:wpaper:hal-03169291.

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2021Dynamic Bivariate Mortality Modelling. (2021). Wang, Shihua ; Salhi, Yahia ; Jiao, Ying. In: Working Papers. RePEc:hal:wpaper:hal-03244324.

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2022Economic Scenario Generators: a risk management tool for insurance. (2022). Mehalla, Sophian ; Lapeyre, Bernard ; Boumezoued, Alexandre ; Arrouy, Pierre-Edouard. In: Working Papers. RePEc:hal:wpaper:hal-03671943.

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2021Compound Archimedean Copulas. (2021). Makov, Udi E ; Landsman, Zinoviy ; Kelner, Moshe. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:10:y:2021:i:3:p:126.

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2022The impact of artificial intelligence along the insurance value chain and on the insurability of risks. (2022). Staubli, Julian ; Nuessle, Davide ; Eling, Martin. In: The Geneva Papers on Risk and Insurance - Issues and Practice. RePEc:pal:gpprii:v:47:y:2022:i:2:d:10.1057_s41288-020-00201-7.

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2021Schur-Constant and Related Dependence Models, with Application to Ruin Probabilities. (2021). Simon, Matthieu ; Lefevre, Claude. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:23:y:2021:i:1:d:10.1007_s11009-019-09744-2.

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2022Bivariate Sarmanov Phase-Type Distributions for Joint Lifetimes Modeling. (2022). Abdelrahman, Hassan ; Moutanabbir, Khouzeima. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09875-5.

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2022On The Randomized Schmitter Problem. (2022). Araujo-Acuna, Jose Carlos ; Albrecher, Hansjorg. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09910-5.

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2022Some Expressions of a Generalized Version of the Expected Time in the Red and the Expected Area in Red. (2022). Zuyderhoff, Pierre ; Trufin, Julien ; Callant, Julien. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09915-0.

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2022Statistical Inference for Partially Observed Markov-Modulated Diffusion Risk Model. (2022). Judith, Luz ; Baltazar-Larios, F. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09932-7.

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2022Dynamic Bivariate Mortality Modelling. (2022). Wang, Shihua ; Salhi, Yahia ; Jiao, Ying. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-022-09955-0.

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2021A methodological approach to developing and validating IFRS 9 -LGD parameters. (2021). Ioan-Codrut, Turlea ; Elena, Mitoi ; Luminita-Georgiana, Achim. In: Proceedings of the International Conference on Business Excellence. RePEc:vrs:poicbe:v:15:y:2021:i:1:p:683-694:n:6.

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2021Forecasting mortality rates with the adaptive spatial temporal autoregressive model. (2021). Shi, Yanlin. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:528-546.

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Works by Stéphane Loisel:


YearTitleTypeCited
2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views In: LIDAM Discussion Papers ISBA.
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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2017) 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.
[Citation analysis]
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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views.(2017) In: Post-Print.
[Citation analysis]
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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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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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2015Main Determinants of Profit Sharing Policy in the French Life Insurance Industry.(2015) In: 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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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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2019Le prix du risque de longévité In: Revue d'économie financière.
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2019Le prix du risque de longévité.(2019) In: Post-Print.
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2016Old-Age Provision: Past, Present, Future In: Swiss Finance Institute Research Paper Series.
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2016Old-age provision: past, present, future.(2016) 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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2019Insurance: Models, Digitalization, and Data Science In: Swiss Finance Institute Research Paper Series.
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2019Insurance: models, digitalization, and data science.(2019) In: Post-Print.
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2011On the Moments of Aggregate Discounted Claims with Dependence Introduced by a FGM Copula In: ASTIN Bulletin.
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2011On the Moments of the Aggregate Discounted Claims with Dependence Introduced by a FGM Copula.(2011) In: Post-Print.
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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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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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