Certains de ces papiers ont été publiés en collaboration avec  des chercheurs d’autres chaires (Chaire BNP Paribas Cardif ou Chaire Generali*), des thésards et des chercheurs internationaux(**).


Romain Gauchon, Stéphane Loisel, Jean-Louis Rullière, Julien Trufin. Optimal prevention strategies in the classical risk modelInsurance: Mathematics and Economics, Elsevier, 2020. ⟨hal-02314899v2⟩

Fabrice Balland, Alexandre Boumezoued, Laurent Devineau, Marine Habart, Tom Popa. Mortality data reliability in an internal model. To appear in Annals of Actuarial Science. 2020. ⟨hal-01719216⟩

Alexandre Boumezoued, Marc Hoffmann, Paulien Jeunesse. A new inference strategy for general population mortality tables. To appear in ASTIN Bulletin, 2020. ⟨hal-01773665⟩


N. El Karoui, C. Hillairet, S. Loisel, Y. Salhi, Le prix du risque de longévité, Revue d'Economie Financière (2019), Vol. 2019(1), 129-145.

Albrecher, H., Bommier, A., Filipovic, D., Koch-Medina, P., Loisel, S., & Schmeiser, H. , Insurance: models, digitalization, and data science, European Actuarial Journal (2019), 9(2), 349-360.

A. Eyraud-Loisel, How does asymmetrical information create market incompleteness?, Methodology and computing in applied probability, 21, pages 531-538 (2019).

C. Robert, E. Koch, Geometric ergodicity for some space-time max-stable Markov chains, Statistics & Probability Letters, Vol. 145, February 2019, Pages 43-49.

Cossette, H., Marceau, E., Nguyen, Q. H., & Robert, C. Y. (2019). Tail approximations for sums of dependent regularly varying random variables under Archimedean copula models. Methodology and Computing in Applied Probability, 21(2), 461-490.

Anna Castañer, M. Mercè Claramunt, Claude Lefèvre, Stéphane Loisel. Partially Schur-constant modelsJournal of Multivariate Analysis, Elsevier, 2019. ⟨hal-01998057⟩


C. Lefèvre, S. Loisel, S. Utev, A Quantum-Type Approach to Non-Life Insurance Risk Modelling, Risks (2018), 6(3), 99.

C. Lefèvre, S. Loisel, S. Utev, Markov property in discrete Schur-constant modelsMethodology and Computing in Applied Probability (2018), Vol. 20(3), 1003–1012.

H. Albrecher, Daniel Bauer, P. Embrechts, D. Filipovic, P. Koch, R. Korn, S. Loisel, A. Pelsser, F. Schiller, H. Schmeiser, J. Wagner , Asset-liability management for long-term insurance business, European Actuarial Journal (2018), Vol. 8(1), 9-25

D. Blake, N. El Karoui, S. Loisel , R. MacMinn, Longevity Risk and Capital Markets: The 2015-16 Update, Insurance: Mathematics and Economics, Vol. 78, January 2018, 157-173.

E. Debonneuil, S. Loisel, F. Planchet, Do actuaries believe in longevity deceleration?, Insurance: Mathematics and Economics, Volume 78, January 2018, Pages 325-338

A. Boumezoued, H.L. Hardy, N. El Karoui & S. Arnold (2018). Cause-of-death mortality: What can be learned from population dynamics? Insurance: Mathematics and Economics, 78, 301-315.

Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2018. Main Determinants of Profit-Sharing Policy in the French Life Insurance Industry, The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan; The Geneva Association, vol. 43(3), pages 420-455, July.


Fabien Graeff, Nicolas Leboisne, Stéphane Loisel, Darasovann Thach. La captive, un outil d'Enterprise Risk Management toujours efficient sous Solvabilité II?. Bulletin Français d'Actuariat, Institut des Actuaires, 2017, 17 (33), pp.91-130. ⟨hal-01995772⟩

N. El Karoui, S. Loisel, Y. Salhi, Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate, Annals of Applied Probability, Volume 27, Number 4 (2017), 2515-2538.

Mornet, A., Opitz, T., Luzi, M. et al. Wind storm risk management: sensitivity of return period calculations and spread on the territory. Stochastic Environmental Research and Risk Assessment volume 31, 1977–1995 (2017).

N. El Karoui, S. Loisel, Le risque de longévité est-il assurable?, Revue d'Economie Financière (2017). 2017/2 (N° 126), pages 107 à 122

David Blake, Nicole El Karoui, Stéphane Loisel, Richard Macminn. Longevity risk and capital markets: The 2015–16 updateInsurance: Mathematics and Economics, Elsevier, 2018, 78, pp.157-173. ⟨hal-01995778⟩

Claude Lefèvre, Stéphane Loisel, Sergey Utev. On finite exchangeable sequences and their dependence. Journal of Multivariate Analysis, Elsevier, 2017, 162, pp.93-109. ⟨hal-01995790⟩

Nicole El Karoui, Stéphane Loisel, Jean-Luc Prigent, Julien Vedani. Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions. European Actuarial Journal, Springer, 2017, 7 (1). (hal-01242023)

Yahia Salhi, Stéphane Loisel. Basis risk modelling: a co-integration based approachStatistics: an international journal, 2017, 51 (1), pp.205-221. ⟨hal-00746859⟩

A. Boumezoued, N. El Karoui, S. Loisel, Measuring mortality heterogeneity with multi-state models and interval-censored data, Insurance: Mathematics and Economics Volume 72, January 2017, Pages 67-82

Fabrice Borel-Mathurin & Stéphane Loisel & Johan Segers, 2017. Re-evaluation of the capital charge in insurance after a large shock: empirical and theoretical views, EIOPA Financial Stability Report - Thematic Articles 10, EIOPA, Risks and Financial Stability Department.


S. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel, Optimal portfolio liquidation with additional information, Mathematics and Financial Economics, 10, no. 1, pp. 1-14, 2016

Charpentier, A. Eyraud-Loisel, A. Hannart, J. Tomas, Changement climatique et Assurance, Variance, la revue des ENSAE ALUMNI, n.54 pp. 41-44, mars 2016

Hansjörg Albrecher, Paul Embrechts, Damir Filipović, Glenn Harrison, Pablo Koch, et al.. Old-age provision: past, present, futureEuropean Actuarial Journal, Springer, 2016, 6 (2), pp.287-306. ⟨hal-01995799⟩

Harry Bensusan, Nicole El Karoui, Stéphane Loisel, Yahia Salhi. Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions. Insurance: Mathematics and Economics, Elsevier, 2016, 68 (May 2016), pp.61-72. [hal-00768526]

H. Ankirchner, C. Blanchet-Scalliet, A. Eyraud-Loisel (2016). Optimal portfolio liquidation with additional information, Mathematics and Financial Economics, 10, n°1, pp. 1-14, 2016

Christian Yann Robert, Paul Embrechts, Erwan Koch. Space‒time max-stable models with spectral separability. Advances in Applied Probability, Applied Probability Trust, 2016, 48 (A), pp.77-97. ⟨hal-02006784⟩

P.-O. Goffard, S. Loisel, D. Pommeret, A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model, Journal of Computational and Applied Mathematics, Volume 296, April 2016, Pages 499–511.


Alexandre Mornet, Thomas Opitz, Michel Luzi, Stéphane Loisel. Index for predicting insurance claims from wind storms with an application in France. Risk Analysis, Wiley, 2015, 35 (11), pp.2029-2056. ⟨hal-01081758⟩

Nguyen, Quang & Robert, Christian. (2015). Series expansions for convolutions of Pareto distributions. Statistics & Risk Modeling. 32. 10.1515/strm-2014-1168.

Christian Yann Robert. Rare-event asymptotics for the number of exceedances of multiplicative factor models. Extremes, Springer Verlag (Germany), 2015, 18 (3), pp.511-527. ⟨hal-02006782⟩

Alexandre Mornet, Patrick Leveillard, Stéphane Loisel. Influence de la partition homme/femme et de l’expérience kilométrique dans l’assurance automobileBulletin Français d'Actuariat, Institut des Actuaires, 2015, 15 (29), pp.75-112. ⟨hal-01081759⟩

Castaner, C. Lefèvre, S. Loisel, M. Claramunt, Discrete Schur-constant models, Journal of Multivariate Analysis, Volume 140, September 2015, Pages 343–362.

M. Govorun, G. Latouche, S. Loisel, Phase-type aging modeling for health dependent costs, Insurance: Mathematics and Economics, Volume 62, May 2015, Pages 173–183.

Guillou, S. Loisel, G. Stupfler, (2015) Estimating the parameters of a seasonal Markov-modulated Poisson process, Statistical Methodology, Volume 26, September 2015, Pages 103–123.

D. Kortschak, S. Loisel, P. Ribereau (2015) Ruin problems with worsening risks or with infinite mean claims, Stochastic Models, 31 (1), 119-152.

Kacem, C. Lefèvre, S. Loisel, Convex extrema for nonincreasing discrete distributions: effects of convexity constraints, Journal of Mathematical Analysis and Applications, Volume 423, Issue 2, 15 March 2015, Pages 1774–1791.


Peggy Cénac, Stéphane Loisel, Véronique Maume-Deschamps, Clémentine Prieur. Risk indicators with several lines of business: comparison, asymptotic behavior and applications to optimal reserve allocationAnnales de l'ISUP, Publications de l’Institut de Statistique de l’Université de Paris, 2014, 58 (3), pp.3-26. ⟨hal-00816894⟩

J. Azzaz, S. Loisel, P. Thérond, Some characteristics of an equity security next-year impairment, Review of Quantitative Finance and Accounting, February 2014, 1-25.

S. Loisel, J. Trufin, Properties of a risk measure derived from the expected area in red, Insurance: Mathematics and Economics, Volume 55, March 2014, Pages 191–199. HAL

F. Avram, R. Biard, C. Dutang, S. Loisel, L. Rabehasaina, A survey of some recent results on Risk Theory, ESAIM Proceedings January 2014, Vol. 44, 322-337. HAL

Christian Yann Robert. On the De Vylder and Goovaerts Conjecture About Ruin for Equalized ClaimsJournal of Applied Probability, Applied Probability Trust, 2014, 51 (03), pp.874-879. ⟨hal-02006620⟩

Hansjörg Albrecher, Christian Y. Robert, Jef L. Teugels. Joint asymptotic distributions of smallest and largest insurance claimsRisks, MDPI, 2014, ⟨10.3390/risks2030289⟩⟨hal-01294387⟩


C. Dutang, C. Lefèvre, S. Loisel, The "A+B/u" rule for discrete and continuous time risk models with dependence, Insurance: Mathematics and Economics, 2013, Volume 53, Issue 3, 774–785. HAL

R. Biard, C. Blanchet-Scalliet, A. Eyraud-Loisel, S. Loisel, Impact of Climate Change on Heat Wave Risk, Risks (2013), 1(3), 176-191. HAL

C. Dutang, H. Albrecher, S. Loisel, Competition among non-life insurers under solvency constraints: A game-theoretic approach, European Journal of Operational Research (2013), Vol. 31 (3), 702-711. HAL





P. Barrieu, A. Eyraud-Loisel, S. Loisel, P. Montesinos (2019), Optimal Reinsurance and asymmetrical information

B. Dieltiens, A. Eyraud-Loisel, A. Olympio, (2019), Simplified assessment of some longevity model risks

J. Védani, S. Loisel, (2019), Convergence Monte-Carlo en assurance

J. Védani, B. Alimoradian (Doctorant SAF), (2019), Notion de valeur dans S2 (indicateurs et probabilités subjectives)

Borel-Mathurin F., Vedani J. (2019), Market-consistent valuation: a step towards calculation stability , en réflexion pour publication (probablement EAJ),

A. Boumezoued, M. Hoffmann, P. Jeunesse. 2019. Non-parametric adaptive inference of birth and death models in a large population limit. In revision.

Bessy-Roland, Boumezoued, Hillairet. 2019., Multivariate Hawkes process for cyber insurance. Submitted.

A. Boumezoued, A. Elfassihi., (2019), Mortality data correction in the absence of monthly fertility records, Submitted.

P.-E. Arrouy, A. Boumezoued, B. Lapeyre, S. Mehalla., (2019), Jacobi Stochastic Volatility factor for the Libor Market Model, Submitted

Gauchon, R., Loisel, S., Rullière, J. L., & Trufin, J., Optimal prevention of large risks with two types of claims (2019).

Loisel, S., Piette, P., & Tsai, J., Applying economic measures to lapse risk management with machine learning approaches (2019).

Gauchon, R., Loisel, S., Rullière, J. L., , Health-policyholder clustering using health consumption (2019).

C. Lefèvre, S. Loisel, P. Montesinos , Bounding basis risk using s-convex orders on Beta-unimodal distributions (2019).

C. Robert, Infill asymptotics for estimators of the integral of the extreme value index function of the Brown-Resnick processes, (2019).

C. Mouminoux, JL. Rullière, S. Loisel, Honesty and Obfuscation: Experimental Evidence on Insurance Demand with Multiple Distribution Channels, WP (2018)

Laurent Devineau, Pierre-Edouard Arrouy, Paul Bonnefoy, Alexandre Boumezoued. Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion. 2017. ⟨hal-01521491v1⟩