Stéphane Loisel : Citation Profile


Are you Stéphane Loisel?

Université Claude Bernard (Lyon 1)

12

H index

17

i10 index

466

Citations

RESEARCH PRODUCTION:

30

Articles

256

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 29
   Journals where Stéphane Loisel has often published
   Relations with other researchers
   Recent citing documents: 73.    Total self citations: 52 (10.04 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plo60
   Updated: 2023-08-19    RAS profile: 2021-05-24    
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Relations with other researchers


Works with:

Borel-Mathurin, Fabrice (6)

Blake, David (2)

DARPEIX, 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 (9)

Kok, Christoffer (6)

Thérond, Pierre-Emmanuel (6)

Pancaro, Cosimo (6)

Regis, Luca (4)

Toader, Oana (4)

Durant, Dominique (4)

Violon, Aurélien (4)

Ungaro, Stefano (4)

Monnet, Eric (4)

Blake, David (3)

Cites to:

Blake, David (45)

Rulliere, Didier (25)

Camara, Boubacar (9)

Kaishev, Vladimir (9)

Lee, Ronald (9)

Milevsky, Moshe (7)

Dietsch, Michel (6)

fraisse, henri (6)

DIETSCH, Michel (5)

SALHI, Yahia (5)

Borel-Mathurin, Fabrice (5)

Main data


Where Stéphane Loisel has published?


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

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
2022Dynamic conditional mean risk sharing in the compound Poisson surplus model. (2022). Robert, Christian Y ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022034.

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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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2022Collaborative 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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2023Robust Distortion Risk Measures. (2022). Vanduffel, Steven ; Pesenti, Silvana M ; Bernard, Carole. In: Papers. RePEc:arx:papers:2205.08850.

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2023Ruin Probabilities for Risk Processes in Stochastic Networks. (2023). Sulem, Agnes ; Minca, Andreea ; Cao, Zhongyuan ; Amini, Hamed. In: Papers. RePEc:arx:papers:2302.06668.

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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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2022An Analysis of Financial Conglomerate Resilience: A Perspective on bancassurance in France. (2022). Pouvelle, Cyril. In: Débats économiques et financiers. RePEc:bfr:decfin:39.

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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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2023Discrete-time risk models with surplus-dependent premium corrections. (2023). Wu, Xueyuan ; Li, Shuanming ; Osatakul, Dhiti. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:437:y:2023:i:c:s0096300322005690.

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2022Stochastic representation of FGM copulas using multivariate Bernoulli random variables. (2022). Marceau, Etienne ; Cossette, Helene ; Blier-Wong, Christopher. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:173:y:2022:i:c:s016794732200086x.

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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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2022Moment and polynomial bounds for ruin-related quantities in risk theory. (2022). Kawai, Reiichiro ; He, Yue. In: European Journal of Operational Research. RePEc:eee:ejores:v:302:y:2022:i:3:p:1255-1271.

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2023Maximum likelihood estimation of the Hull–White model. (2023). Rus, Toma ; Kladivko, Kamil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:227-247.

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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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2022Mortality modeling and regression with matrix distributions. (2022). Yslas, Jorge ; Bladt, Mogens ; Albrecher, Hansjorg. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:68-87.

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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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2023Copula-based multivariate renewal model for life-cycle analysis of civil infrastructure considering multiple dependent deterioration processes. (2023). Guo, Hongyuan ; Dong, You ; Li, Yaohan. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:231:y:2023:i:c:s095183202200607x.

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2023Hybrid MADM-based study of key risk factors in house-for-pension reverse mortgage lending in Taiwans banking industry. (2023). Chang, Wen-Chang ; Wang, Ying-Wei ; Tsai, Pei-Hsuan. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:86:y:2023:i:c:s0038012122002610.

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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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2022Modelling USA Age-Cohort Mortality: A Comparison of Multi-Factor Affine Mortality Models. (2022). Ziveyi, Jonathan ; Villegas, Andres M ; Sherris, Michael ; Huang, Zhiping. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:9:p:183-:d:915479.

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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). Sehner, Thorsten ; Chen, AN ; Bacinello, Anna Rita ; Millossovich, Pietro. 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). Schmeck, Maren Diane ; Fabrykowski, Lukas ; Eisenberg, Julia. 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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2021.

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

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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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2022Two-step actuarial valuations. (2021). Yang, Fan ; Linders, Daniel ; Barigou, Karim. In: Working Papers. RePEc:hal:wpaper:hal-03327710.

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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). Lefevre, Claude ; Simon, Matthieu. 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). Moutanabbir, Khouzeima ; Abdelrahman, Hassan. 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 a Markovian Game Model for Competitive Insurance Pricing. (2022). Mouminoux, Claire ; Albrecher, Hansjoerg ; Loisel, Stephane ; Dutang, Christophe. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:24:y:2022:i:2:d:10.1007_s11009-021-09906-1.

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2022On The Randomized Schmitter Problem. (2022). Albrecher, Hansjorg ; Araujo-Acuna, Jose Carlos. 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). Callant, Julien ; Zuyderhoff, Pierre ; Trufin, 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). Baltazar-Larios, F ; Judith, Luz. 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). Jiao, Ying ; Wang, Shihua ; Salhi, Yahia. 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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2023Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp. In: ICIR Working Paper Series. RePEc:zbw:icirwp:4823.

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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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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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This paper has another version. Agregated cites: 4
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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]
This paper has another version. Agregated cites: 4
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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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This paper has another version. Agregated cites: 4
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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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This paper has another version. Agregated cites: 4
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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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2017Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views In: Débats économiques et financiers.
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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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This paper has another version. Agregated cites: 4
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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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