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Your search keyword '"Loisel, Stéphane"' showing total 138 results
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138 results on '"Loisel, Stéphane"'

1. Quickest detection of changes in longevity patterns

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

2. Longevity risk and quickest detection problem: from theory to practice

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

3. Stable value : a contract at the interplay between insurance and finance

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

4. Quickest detection of changes in actuarial assumptions and design of KRI’s in ERM

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

5. Quickest detection in presence of seasonality: an illustration with call center data

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

6. On ruin theory with prevention

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

7. On customer behaviour in insurance

Author

Loisel, Stéphane, Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

8. On customer behaviour in insurance and behavioural experiments

Author

Loisel, Stéphane, Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2020

9. On detection and longevity

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

10. Quickest detection of change in intensity and longevity risk management

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

11. Quickest detection of actuarial assumptions and longevity risk management

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

12. From cusum strategy to longevity risk indicators

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

13. Reevaluation of the capital charge after a large shock

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

14. A longevity adventure with Nicole and LoLitA

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

15. Probabilités et coupe du monde féminine de la FIFA

Author

Loisel, Stéphane, Guyon, Julien, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Centre d'Enseignement et de Recherche en Mathématiques, Informatique et Calcul Scientifique (CERMICS), Institut National de Recherche en Informatique et en Automatique (Inria)-École des Ponts ParisTech (ENPC), and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

16. On quickest detection issues for longevity risk

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

17. How to design KRI’s from cusum in practice?

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

18. On detection problems related to longevity risk management

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

19. Market inconsistencies of the MCEV

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Loisel, Stéphane

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

20. Obfuscation and honesty, and their effect on distribution channel choices

Author

Loisel, Stéphane, Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

21. On insurtech innovations

Author

Loisel, Stéphane, Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2019

22. Basis Risk Management in an Index-Based Insurance Framework under Randomly Scaled Uncertainty

Author

Lefèvre, Claude, Loisel, Stéphane, Montesinos, Pierre, Département de Mathématique [Bruxelles] (ULB), Faculté des Sciences [Bruxelles] (ULB), Université libre de Bruxelles (ULB)-Université libre de Bruxelles (ULB), Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Montesinos, Pierre

Subjects
Random scaling, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], ERM, Basis risk, [SHS] Humanities and Social Sciences, s-convex extrema, Index-based insurance, [SHS]Humanities and Social Sciences
Abstract

This paper is concerned with the quantification of basis risk in index-based insurance products using randomly scaled variables. To this extent, we first discuss the shape, the unimodality and the symmetry of randomly scaled variables depending on the distribution of the random scaling factor using Mellin transform. We explicitly obtain the distribution of a randomly scaled variable when the random scaling factor is either uniformly distributed or of Beta type. We then determine s-convex extremal distributions for randomly scaled variables and discuss the way of comparing it. Next, we define an Enterprise Risk Management framework that relies on randomly scaled variables to assess basis risk, introducing the class of generalized penalty functions. This ERM framework allows for setting up basis risk limits to eventually determine a Basis Risk Capital Requirement. The results are illustrated with particular cases that carefully challenge the methodology.

Published
2020

23. Bounding basis risk using s-convex orders on Beta-unimodal distributions

Author

Lefèvre, Claude, Loisel, Stéphane, Montesinos, Pierre, Département de Mathématique [Bruxelles] (ULB), Faculté des Sciences [Bruxelles] (ULB), Université libre de Bruxelles (ULB)-Université libre de Bruxelles (ULB), Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Montesinos, Pierre

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], s-convex stochas- tic orders, Risk management, Beta-unimodality, [SHS.GESTION]Humanities and Social Sciences/Business administration, Basis risk, [MATH] Mathematics [math], s-convex extrema, Parametric index, [MATH]Mathematics [math], [SHS.GESTION] Humanities and Social Sciences/Business administration
Abstract

This paper is concerned with properties of Beta-unimodal distributions and their use to assess the basis risk inherent to index-based insurance or reinsurance contracts. To this extent, we first characterize s-convex stochastic orders for Beta-unimodal distributions in terms of the Weyl fractional integral. We then determine s-convex extrema for such distributions , focusing in particular on the cases s = 2, 3, 4. Next, we define an Enterprise Risk Management framework that relies on Beta-unimodality to assess these hedge imperfections , introducing several penalty functions and worst case scenarios. Some of the results obtained are illustrated numerically via a representative catastrophe model.

Published
2020

24. Bounding Basis-Risk Using s-convex Orders on Beta-unimodal Distributions

Author

Lefèvre, Claude, Loisel, Stéphane, Montesinos, Pierre, Département de Mathématique [Bruxelles] (ULB), Faculté des Sciences [Bruxelles] (ULB), Université libre de Bruxelles (ULB)-Université libre de Bruxelles (ULB), Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and Montesinos, Pierre

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [SHS.GESTION]Humanities and Social Sciences/Business administration, [SHS] Humanities and Social Sciences, [MATH] Mathematics [math], [MATH]Mathematics [math], [SHS.GESTION] Humanities and Social Sciences/Business administration, ComputingMilieux_MISCELLANEOUS, [SHS]Humanities and Social Sciences
Abstract

International audience

Published
2020

25. On the reevaluation of the Solvency Capital Requirement after a large shock

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

26. Solutions to biometric, mortality and longevity risk

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

27. Monitoring actuarial assumptions in life insurance

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

28. Modélisation, surveillance et transfert du risque de longévité

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

29. Recent longevity transfer solutions

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

30. Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

31. ERM and Analytics

Author

Loisel, Stéphane and CECILLON, Laura

Subjects
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Published
2018

32. Strategies optimales de détection rapide de rupture pour une classe de processus ponctuels

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

33. Discrete Schur-Constant Models in Insurance

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

34. Short course on ERM

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

35. Monitoring actuarial assumptions in insurance

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

36. Quickest detection of change in actuarial assumptions

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2017

37. Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate

Author

El Karoui, Nicole, Loisel, Stéphane, Salhi, Yahia, Laboratoire de Probabilités et Modèles Aléatoires (LPMA), Centre National de la Recherche Scientifique (CNRS)-Université Paris Diderot - Paris 7 (UPD7)-Université Pierre et Marie Curie - Paris 6 (UPMC), Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, ANR-13-BS01-0011,LoLitA,Modèles dynamiques pour la longévité humaine avec ajustements de style de vie(2013), Université Pierre et Marie Curie - Paris 6 (UPMC)-Université Paris Diderot - Paris 7 (UPD7)-Centre National de la Recherche Scientifique (CNRS), Loisel, Stéphane, and Blanc 2013 - Modèles dynamiques pour la longévité humaine avec ajustements de style de vie - - LoLitA2013 - ANR-13-BS01-0011 - Blanc 2013 - VALID

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], Poisson Process, Change-Point,Robust Sequential Detection,Poisson Process, Change-Point, [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], Robust Sequential Detection, [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance
Abstract

We consider the minimax quickest detection problem of an unobservable time of change in the rate of an inhomogeneous Poisson process. We seek a stopping rule that minimizes the robust Lorden criterion, formulated in terms of the number of events until detection, both for the worst-case delay and the false alarm constraint. In the Wiener case, such a problem has been solved using the so-called cumulative sums (cusum) strategy by Shiryaev [33, 35], or Moustakides [24] among others. In our setting, we derive the exact optimality of the cusum stopping rule by using finite variation calculus and elementary martingale properties to characterize the performance functions of the cusum stopping rule in terms of scale functions. These are solutions of some delayed differential equations that we solve elementarily. The case of detecting a decrease in the intensity is easy to study because the performance functions are continuous. In the case of an increase where the performance functions are not continuous, martingale properties require using a discontinuous local time. Nevertheless, from an identity relating the scale functions, the optimality of the cusum rule still holds. Finally, some numerical illustration are provided.

Published
2015

38. Online monitoring of longevity and actuarial assumptions

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

39. Vision conditionnelle du monde dans les stress tests et révision des hypothèses actuarielles

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

40. Solvabilité

Author

Loisel, Stéphane and Loisel, Stéphane

Subjects
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, ComputingMilieux_MISCELLANEOUS
Published
2014

41. Quickest detection of some changes in longevity patterns

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

42. Several problems in ruin theory

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

43. ERM for insurance companies

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

44. Quickest detection strategy for changes in longevity patterns and longevity risk management

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

45. Online monitoring of actuarial assumptions

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2016

46. On some longevity modelling and monitoring issues

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2015

47. On some robustness and some uncertainty issues in ruin theory

Author

Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, and CECILLON, Laura

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2015

48. On an asymptotic rule A+B/u for ultimate ruin probabilities under dependence by mixing

Author

Dutang, Christophe, Lefèvre, Claude, Loisel, Stéphane, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Institut de Recherche Mathématique Avancée (IRMA), Université de Strasbourg (UNISTRA)-Centre National de la Recherche Scientifique (CNRS), Département de Mathématique [Bruxelles] (ULB), Faculté des Sciences [Bruxelles] (ULB), Université libre de Bruxelles (ULB)-Université libre de Bruxelles (ULB), Loisel, Stéphane, and Centre National de la Recherche Scientifique (CNRS)-Université de Strasbourg (UNISTRA)

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance
Abstract

International audience; The purpose of this paper is to point out that an asymptotic rule "A+B/u" for the ultimate ruin probability applies to a wide class of dependent risk models, in discrete and continuous time. Dependence is incorporated through a mixing approach among claim amounts or claim inter-arrival times, leading to a systemic risk behavior. Ruin corresponds here either to classical ruin, or to stopping the activity after realizing that it is not pro table at all, when one has little possibility to increase premium income rate. Several special cases for which closed formulas are derived, are also investigated in some detail.

Published
2013

49. On a quickest detection problem for longevity risk with two populations

Author

Loisel, Stéphane, CECILLON, Laura, Laboratoire de Sciences Actuarielle et Financière (SAF), Université Claude Bernard Lyon 1 (UCBL), and Université de Lyon-Université de Lyon

Subjects
[MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2015

50. ERM and Solvency II

Author

Loisel, Stéphane and CECILLON, Laura

Subjects
[MATH.MATH-PR] Mathematics [math]/Probability [math.PR], [QFIN.RM] Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Published
2015

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