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578 results on '"Loisel, Stéphane"'

103. Risque de longévité et surveillance de portefeuille

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

International audience

Published
2019

105. How to design longevity /mortality KRI’s from Cusum

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

International audience

Published
2018

106. Personnalisation par clustering

Author

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

Subjects
[STAT.ML]Statistics [stat]/Machine Learning [stat.ML], [INFO.INFO-NE] Computer Science [cs]/Neural and Evolutionary Computing [cs.NE], [INFO.INFO-NE]Computer Science [cs]/Neural and Evolutionary Computing [cs.NE], [STAT.ML] Statistics [stat]/Machine Learning [stat.ML], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

107. Mouvements des régiments sur le front durant toute la période de guerre : cartographie et choix stratégiques du haut commandement

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

International audience

Published
2018

109. On s-convex bounds for Beta-unimodal distributions with applications to basis risk assessment.

Author

Lefèvre, Claude, Loisel, Stéphane, and Montesinos, Pierre

Subjects
*STOCHASTIC orders, *RISK management in business, *RISK assessment, *REINSURANCE, *FRACTIONAL integrals, *FINANCIAL planning
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. [ABSTRACT FROM AUTHOR]

Published
2021
Full Text
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110. Etude cliométrique des morts pour la France de la Grande Guerre

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] Mathematics [math], [MATH]Mathematics [math], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

111. ERM and Analytics

Author

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], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM], ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

112. On discrete Schur-constant vectors, with applications

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

International audience

Published
2018

113. 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

114. Obfuscation and Honesty Experimental Evidence on Insurance Demand with Multiple Distribution Channels

Author

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

Subjects
honesty, search costs, intermediation, distribution channels, [SHS.GESTION]Humanities and Social Sciences/Business administration, behavioral economics, [SHS.GESTION] Humanities and Social Sciences/Business administration, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, obfuscation, insurance
Abstract

This paper aims to shed light on the dilemma faced by insurance purchasers faced with multiple distribution channels. Should the consumer herself choose from a large set of insurance policies or rather delegate a part her decision to an intermediary who is more or less honest? We consider decisions based on a number of real-world insurance distribution channels with different information frames. Beliefs about intermediary honesty are the main determinants of individual choice. In addition, the obfuscation of information is the main source of inefficiency in decision-making, particularly regarding the characteristics of the insurance contracts chosen by consumers.

Published
2018

115. Towards the developpement of improved cultivars of Saccharina latissima for large-scale cultivation

Author

Nehr, Zofia, Issaka-Salia, Ousseini, Jacquemin, Bertrand, Avia, Komlan, Mauger, Stéphane, Gouhier, Émilie, Dhinaut, Julien, Jaugeon, Lucie, Scornet, Delphine, Coudret, Jérôme, Loisel, Stéphane, Jollivet, Chloé, Coelho, Susana M., Destombe, Christophe, Valero, Myriam, Cock, J. Mark, Agroécologie [Dijon], Université de Bourgogne (UB)-Institut National de la Recherche Agronomique (INRA)-Université Bourgogne Franche-Comté [COMUE] (UBFC)-AgroSup Dijon - Institut National Supérieur des Sciences Agronomiques, de l'Alimentation et de l'Environnement, and ProdInra, Migration

Subjects
[SDV] Life Sciences [q-bio], [SDE] Environmental Sciences, [SDV]Life Sciences [q-bio], [SDE]Environmental Sciences, [SDV.BV]Life Sciences [q-bio]/Vegetal Biology, [SDV.BV] Life Sciences [q-bio]/Vegetal Biology, ComputingMilieux_MISCELLANEOUS
Abstract

International audience

Published
2018

116. 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

117. Attitudes face au risque et face à l’analytics

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

International audience

Published
2018

118. 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

119. 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

120. 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

121. 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

124. 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

125. A quantum-type approach to non-life insurance risk modelling

Author

Lefèvre, Claude, Loisel, Stéphane, Tamturk, Muhsin, Utev, Sergey, Lefèvre, Claude, Loisel, Stéphane, Tamturk, Muhsin, and Utev, Sergey

Abstract

A quantum mechanics approach is proposed to model non-life insurance risks and to compute the future reserve amounts and the ruin probabilities. The claim data, historical or simulated, are treated as coming from quantum observables and analyzed with traditional machine learning tools. They can then be used to forecast the evolution of the reserves of an insurance company. The following methodology relies on the Dirac matrix formalism and the Feynman path-integral method., SCOPUS: ar.j, info:eu-repo/semantics/published

Published
2018

126. Sexual isolation with and without ecological isolation in marine isopods Jaera albifrons and J. praehirsuta.

Author

Ribardière, Ambre, Pabion, Elsa, Coudret, Jérôme, Daguin‐Thiébaut, Claire, Houbin, Céline, Loisel, Stéphane, Henry, Sébastien, and Broquet, Thomas

Subjects
ISOPODA, GENE flow, GENETIC speciation, ECOLOGICAL niche
Abstract

Sexual barriers associated with mate choice are often found to be associated with some level of ecological isolation between species. The independence and relative strength of sexual isolation are thus difficult to assess. Here, we take advantage of a pair of marine isopod species (Jaera albifrons and J. praehirsuta) that show sexual isolation and coexist in populations where they share the same microhabitat or not (i.e. without or with ecological isolation). We estimated the strength of sexual isolation between J. albifrons and J. praehirsuta using no‐choice trials and a multiple‐choice experimental population. We found that sexual isolation is strong in both the presence and the absence of ecological isolation, but that it is asymmetric and fails to prevent interspecific gene flow entirely. First‐generation intrinsic post‐zygotic barriers were low, and there was no sexual isolation within J. praehirsuta across habitats. The J. albifrons/J. praehirsuta species pair thus provides an example where the role of sexual isolation as a barrier to gene flow (a) does not depend upon current ecological isolation, (b) seems to have evolved independently of local ecological conditions, but (c) is insufficient to complete speciation entirely on its own. [ABSTRACT FROM AUTHOR]

Published
2021
Full Text
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127. 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

128. 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

129. 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

130. 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

131. Policyholders clusturing by using health consumption for targeting prevention programs

Author

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

Subjects
[STAT.ML]Statistics [stat]/Machine Learning [stat.ML], ComputingMilieux_MISCELLANEOUS, [STAT.ML] Statistics [stat]/Machine Learning [stat.ML]
Abstract

International audience

Published
2017

132. 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

133. 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

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

Author

UCL - SSH/IMMAQ/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles, Borel-Mathurin, Fabrice, Loisel, Stéphane, Segers, Johan, UCL - SSH/IMMAQ/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles, Borel-Mathurin, Fabrice, Loisel, Stéphane, and Segers, Johan

Abstract

Motivated by the recent introduction of regulatory stress tests in the Solvency II framework, we study the impact of the re-estimation of the tail risk and of loss absorbing capacities on post-stress solvency ratios. Our contribution is threefold. First, we build the first stylized model for re-estimated solvency ratio in insurance. Second, this leads us to solve a new theoretical problem in statistics: what is the asymptotic impact of a record on the re-estimation of tail quantiles and tail probabilities for classical extreme value estimators? Third, we quantify the impact of the re-estimation of tail quantiles and of loss absorbing capacities on real-world solvency ratios thanks to regulator data from Banque de France - ACPR. Our analysis sheds a first light on the role of the loss absorbing capacity and its paramount importance in the Solvency II capital charge computations. We conclude with a number of policy recommendations for insurance regulators.

Published
2017

137. 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

138. Geoelectrical monitoring during waste biodegradation process

Author

Jouen, T., Clément, Rémi, Loisel, Stéphane, Moreau, S., Mazeas, L., Hydrosystèmes et Bioprocédés (UR HBAN), Institut national de recherche en sciences et technologies pour l'environnement et l'agriculture (IRSTEA), SAS LES CHAMPS JOUAULT CUVES FRA, Partenaires IRSTEA, Institut national de recherche en sciences et technologies pour l'environnement et l'agriculture (IRSTEA)-Institut national de recherche en sciences et technologies pour l'environnement et l'agriculture (IRSTEA), and Irstea Publications, Migration

Subjects
[SDE] Environmental Sciences, [SDE]Environmental Sciences
Abstract

International audience; The aim of this experiment is to provide tools that allow characterisation of waste biodegradation state at a laboratory scale. Four geophysical methods, self-potential, electrical resistivity, temporal and spectral induced polarization, will be monitored from the beginning to the end of municipal solid waste biodegradation cycle. For this reason five columns were filled with waste and equipped with measurement electrodes. The measurements were started in February and will continue until the waste has completely degraded.

Published
2016

139. 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

140. 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

141. 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

142. 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

143. 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

144. 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

147. 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

149. 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

150. 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

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