Olivier Le Courtois

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List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Efficient portfolios and extreme risks: a Pareto-Dirichlet approach Annals of Operations Research	2024-05-30	Paper
Structural pricing of CoCos and deposit insurance with regime switching and jumps Asia-Pacific Financial Markets	2021-06-30	Paper
Regulation risk North American Actuarial Journal	2020-12-13	Paper
Pricing and hedging defaultable participating contracts with regime switching and jump risk Decisions in Economics and Finance	2020-07-08	Paper
Intensity of preferences for bivariate risk apportionment Journal of Mathematical Economics	2020-05-11	Paper
Credit risk and solvency capital requirements European Actuarial Journal	2019-09-03	Paper
Some further results on the tempered multistable approach Asia-Pacific Financial Markets	2018-12-03	Paper
Health and portfolio choices: a diffidence approach European Journal of Operational Research	2018-05-25	Paper
Inside the Solvency 2 black box: net asset values and solvency capital requirements with a least-squares Monte-Carlo approach Insurance Mathematics & Economics	2016-12-14	Paper
scientific article; zbMATH DE number 6458317 (Why is no real title available?)	2015-07-13	Paper
An intensity model for credit risk with switching Lévy processes Quantitative Finance	2015-04-16	Paper
Decreasing downside risk aversion and background risk Journal of Mathematical Economics	2014-09-08	Paper
Extreme financial risks and asset allocation Series in Quantitative Finance	2014-06-17	Paper
On surrender and default risks Mathematical Finance	2013-02-28	Paper
Performance regularity: a new class of executive compensation packages Asia-Pacific Financial Markets	2013-01-29	Paper
Protection of a company issuing a certain class of participating policies in a complete market framework North American Actuarial Journal	2011-08-23	Paper
Pricing derivatives with barriers in a stochastic interest rate environment Journal of Economic Dynamics and Control	2010-01-19	Paper
The optimal capital structure of the firm with stable Lévy assets returns Decisions in Economics and Finance	2008-09-04	Paper
Market value of life insurance contracts under stochastic interest rates and default risk Insurance Mathematics & Economics	2007-05-24	Paper
Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model Asia-Pacific Financial Markets	2007-04-26	Paper

Research outcomes over time

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