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Mathieu Gatumel

University of Savoy - Institut de Recherche en Gestion et Économie (IREGE)

4 Chemin de Bellevue

BP 80439

Annecy-le-Vieux, 74944

France

French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG)

150 rue de la Chimie, BP47

Grenoble Cedex 9, 38040

France

  • University of Savoy - Institut de Recherche en Gestion et Économie (IREGE)

  • French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG)

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    • Tel: +33 4 76 28 45 78
SCHOLARLY PAPERS

5

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2,010

TOTAL CITATIONS

16

Scholarly Papers (5)

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1.

The Number of Regimes Across Asset Returns: Identification and Economic Value

Number of pages: 23 Posted: 10 Sep 2011 Last Revised: 03 Apr 2012
Mathieu Gatumel and Florian Ielpo
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 616 (109,130)
Citation 8

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Bull and bear markets, Markov switching models, Number of regimes, Density based tests

2.

Understanding and Monitoring Reinsurance Counterparty Risk

Bulletin Français d'Actuariat, 2013, Vol. 13(26), 121-138
Number of pages: 15 Posted: 03 Nov 2012 Last Revised: 04 Feb 2014
Mathieu Gatumel and Sabine Lemoyne de Forges
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and affiliation not provided to SSRN
Downloads 569 (121,672)

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Reinsurance Counterparty Risk, Solvency, Market Discipline, Regulation

3.

Measuring Risk Appetite from Financial Assets' Excess Returns

Number of pages: 31 Posted: 04 Oct 2013 Last Revised: 19 Jul 2015
Mathieu Gatumel and Florian Ielpo
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 340 (220,543)

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Risk Appetite, Cross Market Linkages, Markov Switching, Financial Crisis Prediction

4.

Towards an Understanding Approach of the Insurance Linked Securities Market

Number of pages: 26 Posted: 10 Sep 2011
Mathieu Gatumel and Dominique Guegan
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne
Downloads 269 (284,962)
Citation 8

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insurance linked securities, cat. bonds, market price of risk.

5.

Is the Insurance Cost-of-Capital Fair?

Number of pages: 21 Posted: 10 Sep 2011 Last Revised: 03 Apr 2012
Mathieu Gatumel
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE)
Downloads 216 (356,192)

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cost of capital, insurance, Solvency II, market value margin, frictional costs