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

33

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CITATIONS
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28

Scholarly Papers (33)

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 417 (67,495)
Citation 1

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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 358 (80,794)
Citation 6

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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 328 (89,317)
Citation 2

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

4.

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 234 (127,655)
Citation 2

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5.

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 228 (131,003)

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

6.

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 214 (139,193)

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

7.

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 208 (143,043)
Citation 1

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

8.

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 194 (152,699)

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

9.

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 174 (168,358)
Citation 3

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

10.

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 147 (194,309)

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Regime-switching model, Markov chain, Lévy process

11.
Downloads 113 (238,241)
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 Business School
Downloads 112 (240,960)
Citation 1

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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 Business School
Downloads 1 (665,095)
Citation 1
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surrender risk, default risk, interest rate risk, Cox process, participating policies

12.

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 105 (250,898)
Citation 1

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Executive stock options, Parisian options, Optimal compensation

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 - IESEG School of Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 93 (271,947)

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Downside Risk Aversion, Background Risk, Risk Vulnerability

14.

Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies

Number of pages: 28 Posted: 17 Oct 2017 Last Revised: 26 Apr 2019
Olivier Le Courtois, Mohamed Majri and Li Shen
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control, SMABTP and EMLYON Business School
Downloads 79 (300,648)

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Expected Utility Theory, Cumulative Prospect Theory, ORSA, Market-Consistent, Fair Value, Best Estimate of Liabilities, Overall Solvency Needs, Own Funds, SAHARA-CPT.

15.

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 79 (300,648)

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Optimal Portfolio, Pension Fund, Lévy process, Stochastic Exponential

16.

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 - IESEG School of Management and EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 78 (302,907)

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

17.

Is it Efficient to Buy the Index? A Worldwide Tour with Stochastic Dominance

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 64 Posted: 20 Nov 2017 Last Revised: 25 Apr 2019
Olga Kolokolova, Olivier Le Courtois and Xia Xu
University of Manchester - Manchester Business School, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EM Lyon (Ecole de Management de Lyon)
Downloads 74 (312,308)

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Market index, Diversification, Stochastic Dominance, Optimal Portfolios

18.

Some Further Results on the Tempered Multistable Approach

Asia-Pacific Financial Markets, Vol. 25, N°2, p. 87–109, 2018
Number of pages: 26 Posted: 01 Apr 2014 Last Revised: 26 Apr 2019
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 59 (351,702)

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Tempered multistable process, non-stationarity, dependence, asymmetry, kurtosis, VaR, characteristic function

19.

Credit Risk and Solvency Capital Requirements

European Actuarial Journal, Vol. 8, N°2, p. 487–515, 2018
Number of pages: 29 Posted: 19 Mar 2016 Last Revised: 26 Apr 2019
Jérémy Allali, Olivier Le Courtois and Mohamed Majri
SMABTP, EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and SMABTP
Downloads 56 (360,756)

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

20.

q-Credibility

Forthcoming in Variance
Number of pages: 26 Posted: 27 Feb 2015 Last Revised: 29 Apr 2019
Olivier Le Courtois
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
Downloads 51 (376,416)

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

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 49 (382,876)

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Participating Contracts, CPPI, Equity Default Swap, Market Valuation

22.

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 45 (396,652)

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23.

Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps

Number of pages: 42 Posted: 19 Jan 2018 Last Revised: 27 Jul 2018
Olivier Le Courtois and Xiaoshan Su
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and Beihang University (BUAA) - School of Economic and Management Science
Downloads 31 (452,122)

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Structural model; Regime switching; Jump-diffusion; Matrix Wiener-Hopf factorization; Esscher transform; CoCos; Deposit insurance; Fluid embedding; Markov chain

24.

Profit Testing of Profit Sharing Life Insurance Policies in the Presence of Extreme Risks

Number of pages: 28 Posted: 10 Jun 2018 Last Revised: 26 Apr 2019
Olivier Le Courtois and Li Shen
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 26 (476,623)

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Profit Testing, Participating Contract, Universal Life Contract, Variable Annuities With Guarantees, Gaussian and Non-Gaussian Assumptions, Variance Gamma Process

25.

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 22 (498,520)
Citation 11

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

26.

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 19 (515,520)

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Insurance business, finite and infinite-time bankruptcy

27.

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 19 (515,520)

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28.

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 15 (538,307)

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29.

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 12 (555,891)

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30.

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 11 (561,759)

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31.

Portfolio Optimization in the Presence of Extreme Risks: A Pareto-Dirichlet Approach

Number of pages: 46 Posted: 21 May 2019
Olivier Le Courtois and Xia Xu
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control and EMLYON Business School
Downloads 10 (567,713)

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Portfolio Choice, Efficient Frontier, Extreme Risk, Dirichlet Distribution

32.

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 9 (573,687)

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33.

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

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

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