Olivier Le Courtois

EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control

23, av. Guy de Collongue

69134 Ecully Cedex

France

SCHOLARLY PAPERS

28

DOWNLOADS
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CITATIONS
Rank 14,962

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Top 14,962

in Total Papers Citations

24

Scholarly Papers (28)

1.

Pricing Derivatives With Barriers in a Stochastic Interest Rate Environment

Journal of Economic Dynamics and Control, Vol. 32, No. 9, pp. 2903-2938, September 2008
Number of pages: 32 Posted: 26 Mar 2005 Last Revised: 14 Apr 2010
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 365 (57,724)
Citation 1

Abstract:

Change of Numéraire, HJM model, Barrier Option, Markovian Approximation

2.

Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model

Asia Pacific Financial Markets, Vol. 13, p. 11-39, 2006
Number of pages: 31 Posted: 01 Mar 2006 Last Revised: 04 Jun 2014
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 323 (69,602)
Citation 6

Abstract:

Cumulative Default Probability, Structural Model, Jump-Diffusion, Endogenous Capital Structure, Esscher Transform, Kou Processes

3.

Fair Valuation of Participating Life Insurance Contracts with Jump Risk

Geneva Risk and Insurance Review, Vol 33, No. 2, p.106-136, 2008
Number of pages: 23 Posted: 05 Apr 2007 Last Revised: 26 Dec 2010
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 310 (74,840)
Citation 2

Abstract:

Participating Life Insurance Policies, Kou Processes, Jump-Diffusion, Early Default, Fair Value

4.

The Optimal Capital Structure Under Stable Lévy Assets Returns

Decisions in Economics and Finance, Vol. 31, No. 1, p.51-72, 2008
Number of pages: 19 Posted: 01 Mar 2006 Last Revised: 26 Dec 2010
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 219 (108,592)

Abstract:

Optimal Capital Structure, Default Risk, Stable Processes, Credit Spreads

5.

Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

North American Actuarial Journal, Vol. 14, No. 1, pp. 131-149, 2010
Number of pages: 31 Posted: 17 Jan 2006 Last Revised: 15 Aug 2015
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 190 (126,002)

Abstract:

Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap

6.

The Computation of Risk Budgets Under the Lévy Process Assumption

Revue Finance, 35 (2), 2014
Number of pages: 21 Posted: 30 Apr 2010 Last Revised: 08 Nov 2014
Olivier Le Courtois and Christian Pierre Walter
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Foundation Maison des Sciences de l'Homme (FMSH) - Collège d'études mondiales
Downloads 179 (124,796)
Citation 1

Abstract:

Value-at-Risk, Lévy Processes, Variance Gamma Processes, Fourier Transform, Basle 2, Solvency 2

7.

A New Procedure for Pricing Parisian Options

Journal of Derivatives, Vol. 12, No. 4, 2005
Number of pages: 32 Posted: 13 Feb 2012 Last Revised: 12 Jan 2014
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 166 (124,204)
Citation 2

Abstract:

8.

Development and Pricing of a New Participating Contract

North American Actuarial Journal, Vol. 10, No. 4, pp. 179-195, 2006
Number of pages: 22 Posted: 30 Jan 2006 Last Revised: 01 Mar 2010
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 166 (140,886)
Citation 3

Abstract:

Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem

9.

An Intensity Model for Credit Risk with Switching Lévy Processes.

Quantitative Finance, 14 (8), 2014
Number of pages: 22 Posted: 03 Feb 2013 Last Revised: 08 Nov 2014
Donatien Hainaut and Olivier Le Courtois
Université Catholique de Louvain and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 108 (179,598)

Abstract:

Regime-switching model, Markov chain, Lévy process

10.
Downloads 104 (208,251)
Citation 1

On Surrender and Default Risks

Mathematical Finance, 23(1), 143-168 (2013)
Number of pages: 28 Posted: 24 Dec 2010 Last Revised: 25 Dec 2014
Olivier Le Courtois and Hidetoshi Nakagawa
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 103 (210,930)
Citation 1

Abstract:

Surrender risk, default risk, interest rate risk, Cox process, participating policies

On Surrender and Default Risks

Mathematical Finance, Vol. 23, Issue 1, pp. 143-168, 2013
Number of pages: 26 Posted: 10 Jan 2013
Olivier Le Courtois and Hidetoshi Nakagawa
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Hitotsubashi University - Graduate School of International Corporate Strategy
Downloads 1 (553,578)
Citation 1
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Abstract:

surrender risk, default risk, interest rate risk, Cox process, participating policies

11.

Performance Regularity: A New Class of Executive Compensation Packages

Asia-Pacific Financial Markets, Vol. 19, No. 4, pp. 353-370, 2012
Number of pages: 24 Posted: 23 Jan 2012 Last Revised: 11 Jan 2014
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 96 (212,500)
Citation 1

Abstract:

Executive stock options, Parisian options, Optimal compensation

12.

Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach

Insurance: Mathematics and Economics, Volume 71, November 2016, Pages 15–26,
Number of pages: 29 Posted: 14 Dec 2014 Last Revised: 11 Feb 2017
Anthony Floryszczak, Olivier Le Courtois and Mohamed Majri
SMABTP, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and SMABTP
Downloads 93 (144,650)

Abstract:

Net Asset Value, Solvency Capital Requirement, Solvency 2, Least-Squares Monte Carlo, Order Statistics, Participating Contract

13.

Decreasing Downside Risk Aversion and Background Risk

Journal of Mathematical Economics, 53, 2014
Number of pages: 12 Posted: 10 Feb 2014 Last Revised: 08 Nov 2014
David Crainich, Louis Eeckhoudt and Olivier Le Courtois
Catholic University of Lille - Faculté Libre des Sciences Economiques (FLSE), Catholic University of Lille - Institut d'Économie Scientifique et de Gestion (IESEG) and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 64 (252,631)

Abstract:

Downside Risk Aversion, Background Risk, Risk Vulnerability

14.

Portfolio Optimisation with Jumps: Illustration with a Pension Accumulation Scheme

Journal of Banking and Finance, Vol. 60, p. 127-137, 2015.
Number of pages: 36 Posted: 09 Oct 2012 Last Revised: 11 Apr 2016
Olivier Le Courtois and Francesco Menoncin
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and University of Brescia - Department of Economics
Downloads 52 (277,828)

Abstract:

Optimal Portfolio, Pension Fund, Lévy process, Stochastic Exponential

15.

The Tempered Multistable Approach and Asset Return Modeling

Number of pages: 37 Posted: 01 Apr 2014
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 36 (327,097)

Abstract:

Lévy process, tempered multistable process, non-stationarity, dependence, asymmetry, kurtosis, VaR, option pricing, calibration, characteristic function

16.

Imprudent Risk Lovers are Inconsistent

Number of pages: 7 Posted: 12 Jan 2014
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 28 (355,874)

Abstract:

17.

Audit De Modèles Financiers Pour L'Assurance (Audit of Financial Models in Insurance)

Number of pages: 133 Posted: 18 Dec 2014
Olivier Le Courtois and Christian Pierre Walter
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Foundation Maison des Sciences de l'Homme (FMSH) - Collège d'études mondiales
Downloads 26 (324,220)

Abstract:

18.

Uniform Exposure Quadratic Credibility

Number of pages: 24 Posted: 27 Feb 2015 Last Revised: 22 Mar 2016
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 9 (359,405)

Abstract:

Credibility, Quadratic Approximation. Parametric, Non-Parametric, Semi-Parametric, Poisson-Gamma, Poisson-Single Pareto, Uniform Exposure

19.

Concentration Des Portefeuilles Boursiers Et Asymétrie Des Distributions De Rentabilités D’Actifs (Concentration of Stock Portfolios and Asymmetry of Asset Return Distributions)

Journal de la Société Française de Statistiques, Vol. 153, No. 2, p. 1-20, 2012 ,
Number of pages: 25 Posted: 13 Feb 2017
Olivier Le Courtois and Christian Pierre Walter
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Foundation Maison des Sciences de l'Homme (FMSH) - Collège d'études mondiales
Downloads 0 (499,422)

Abstract:

20.

Le Point Sur... Les Options Parisiennes et leurs Applications (An Update On... Parisian Options and Their Applications)

Banque et Marchés, N° 82, p. 81-90, 2006 ,
Number of pages: 20 Posted: 13 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 0 (503,846)

Abstract:

21.

Asset Risk Management of Participating Contracts

Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012,
Number of pages: 27 Posted: 08 Feb 2017
Carole Bernard and Olivier Le Courtois
Grenoble Ecole de Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 0 (480,423)

Abstract:

Participating Contracts, CPPI, Equity Default Swap, Market Valuation

22.

Market Value of Life Insurance Contracts Under Stochastic Interest Rates and Default Risk

Insurance: Mathematics and Economics, Vol. 36, No. 3, 2005
Number of pages: 23 Posted: 08 Feb 2017
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 0 (494,846)
Citation 7

Abstract:

Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation

23.

A Study of Mutual Insurance for Bank Deposits

Geneva Risk and Insurance Review, Vol. 30, No. 2, 2005
Number of pages: 20 Posted: 08 Feb 2017
Carole Bernard, Olivier Le Courtois and Francois Quittard-Pinon
Grenoble Ecole de Management, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 0 (525,863)

Abstract:

24.

On the Bankruptcy Risk of Insurance Companies

Revue Finance, Vol. 34, N°1, p. 43-72, 2013 ,
Number of pages: 24 Posted: 07 Feb 2017
Olivier Le Courtois and Rivo A Randrianarivony
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and University of Rennes 1
Downloads 0 (517,865)

Abstract:

Insurance business, finite and infinite-time bankruptcy

25.

Changes of Probability Measures in Finance and Insurance: A Synthesis

Revue Finance, Vol. 25, Special Issue, p. 95-120, 2004
Number of pages: 25 Posted: 07 Feb 2017
Olivier Le Courtois and Francois Quittard-Pinon
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and University of Lyon 1 - Institute of Finance and Insurance Science (ISFA)
Downloads 0 (499,422)

Abstract:

26.

Modelling Stock Returns with Lévy Processes

Banque et Marchés, N° 66, p. 36-46, 2003 ,
Number of pages: 24 Posted: 06 Feb 2017
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 0 (499,422)

Abstract:

27.

Credit Benchmarking, Risk Premium Adjustment Factors, and Credit Solvency Capital Requirements. A Recovery-Based Approach

Number of pages: 25 Posted: 19 Mar 2016 Last Revised: 11 Apr 2016
Jérémy Allali, Olivier Le Courtois and Mohamed Majri
SMABTP, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and SMABTP
Downloads 0 (342,518)

Abstract:

Credit Spread, Risk Premium Adjustment Factor, Solvency Capital Requirement, General Pareto Distribution, Market Consistency, Rating Transition, Credit Benchmarking, Constant Position

28.

Health and Portfolio Choices: A Diffidence Approach

European Journal of Operational Research, Forthcoming
Number of pages: 20 Posted: 10 Jan 2016 Last Revised: 11 Oct 2016
David Crainich, Louis Eeckhoudt and Olivier Le Courtois
Catholic University of Lille - Faculté Libre des Sciences Economiques (FLSE), Catholic University of Lille - Institut d'Économie Scientifique et de Gestion (IESEG) and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 0 (327,097)

Abstract:

Health, Weath, Diffidence Theorem, Indices, Correlation Aversion, Cross Prudence