Olivier LE COURTOIS
Professeur niveau 2
Prix et récompenses
Publications
Le Courtois, Olivier, Xu, Xia. 2024. Efficient portfolios and extreme risks: A Pareto–Dirichlet approach. Annals of Operations Research, 335 (1) : 261-292 p.
Le Courtois, Olivier, Shen, Li. 2024. Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed. Decisions in Economics and Finance, FORTH : 41 p.
Le Courtois, Olivier, Xu, Xia. 2023. Semivariance below the maximum: Assessing the performance of economic and financial prospects. Journal of Economic Behavior and Organization, 209 : 185-199 p.
Faroni, Silvia, Le Courtois, Olivier, Ostaszewski, Krzysztof. 2022. Equivalent Risk Indicators: VaR, TCE, and Beyond. Risks, 10 (8) : 19 p.
Kolokolova, Olga, Le Courtois, Olivier, Xu, Xia. 2022. Is the index efficient?: A worldwide tour with stochastic dominance. Journal of Financial Markets, 59 (B)
Le Courtois, Olivier. 2021. q-Credibility. Variance, 13 (2) : 250-264 p.
Le Courtois, Olivier, Majri, Mohamed, Shen, Li. 2021. Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies. Asia-Pacific Journal of Risk and Insurance, 15 (1) : 47–79 p.
Le Courtois, Olivier, Su, Xiaoshan. 2020. Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps. Asia-Pacific Financial Markets, 27 (4)
Le Courtois, Olivier, Lévy Véhel, Jacques, Walter, Christian. 2020. Regulation Risk. North American Actuarial Journal, 24 (3) : 463-474 p.
Le Courtois, Olivier, Quittard-Pinon, François, Su, Xiaoshan. 2020. Pricing and hedging defaultable participating contracts with regime switching and jump risk. Decisions in Economics and Finance, 43 : 303-339 p.
Le Courtois, Olivier, Crainich, David, Eeckhoudt, Louis. 2020. Intensity of Preferences for Bivariate Risk Apportionment. Journal of Mathematical Economics, 88 : 153-160 p.
Allali, Jérémy, Le Courtois, Olivier, Majri, Mohamed. 2018. Credit risk and solvency capital requirements. European Actuarial Journal, 8 (2) : 487-515 p.
Le Courtois, Olivier. 2018. Some Further Results on the Tempered Multistable Approach. Asia-Pacific Financial Markets, 25 (2) : 87-109 p.
Crainich, David, Eeckhoudt, Louis, Le Courtois, Olivier. 2017. Health and portfolio choices: a diffidence approach. European Journal of Operational Research, 259 (1) : 273-279 p.
Floryszczak, Anthony, Le Courtois, Olivier, Majri, Mohamed. 2016. Inside the Solvency 2 Black Box: Net asset values and solvency capital requirements with a least-squares Monte-Carlo approach. Insurance: Mathematics and Economics, 71 : 15-26 p.
Le Courtois, Olivier, Menoncin, Francesco. 2015. Portfolio optimisation with jumps: Illustration with a pension accumulation scheme. Journal of Banking and Finance, 60 : 127-137 P.
Hainaut, Donatien, Le Courtois, Olivier. 2014. An intensity model for credit risk with switching Lévy processes. Quantitative Finance, 14 (8) : 1453-1465 p.
Crainich, David, Eeckhoudt, Louis, Le Courtois, Olivier. 2014. Decreasing downside risk aversion and background risk. Journal of Mathematical Economics, 53 : 59-63 p.
Le Courtois, Olivier, Walter, Christian. 2014. The Computation of Risk Budgets under the Lévy Process Assumption. Finance, 35 (2) : 87-108 p.
Le Courtois, Olivier, Randrianarivony, Rivo. 2013. On the Bankruptcy Risk of Insurance Companies. Finance, 34 (1) : 43-72 P.
Le Courtois, Olivier, NAKAGAWA, Hidetoshi. 2013. On Surrender and Default Risks. Mathematical Finance, 23 (1) : 143-168 P.
Le Courtois, Olivier, Walter, Christian. 2012. Concentration des portefeuilles boursiers et asymétrie des distributions de rentabilités d'actifs. Journal de la Société Française de Statistique, 153 (2) : 1-20 P.
Bernard, Carole, Le Courtois, Olivier. 2012. Performance Regularity: A New Class of Executive Compensation Packages. Asia Pacific Financial Markets, 19 (4) : 353-370 P.
Bernard, Carole, Le Courtois, Olivier. 2012. Asset Risk Management of Participating Contracts. Asia-Pacific Journal of Risk and Insurance, 6 (2) : 21 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2010. Protection of a company issuing a certain class of participating policies in a complete market framework. North American Actuarial Journal, 14 (1) : 131-149 P.
Le Courtois, Olivier. 2010. Mathematical Methods for Financial Markets: JEANBLANC Monique, YOR Marc, CHESNEY Marc (Book review). Finance, 31 (1) : 81-95 P.
Le Courtois, Olivier, Quittard-Pinon, François. 2008. Fair Valuation of Participating Life Insurance Contracts with Jump Risk. Geneva Risk and Insurance Review, 33 (2) : 106-136 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2008. Pricing derivatives with barriers in a stochastic interest rate environment. Journal of Economic Dynamics and Control, 32 (9) : 2903-2938 P.
Le Courtois, Olivier, Quittard-Pinon, François. 2008. The optimal capital structure of the firm with stable Lévy assets returns. Decisions in Economics and Finance, 31 (1) : 51-72 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2006. Development and pricing of a new participating contract. North American Actuarial Journal, 10 (4) : 179-195 P.
Bernard, Carole, Le Courtois, Olivier. 2006. Les options parisiennes et leurs applications. Banque et Marchés, (82) : 81-90 P.
Le Courtois, Olivier, Quittard-Pinon, François. 2006. Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model. Asia Pacific Financial Markets, 13 (1) : 11-39 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2005. A Study of Mutual Insurance for Bank Deposits. Geneva Risk and Insurance Review, 30 (2) : 129-146 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2005. Évaluation en Fair Value de Contrats Participatifs. Finance, 26 (1) : 73-107 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2005. Market value of life insurance contracts under stochastic interest rates and default risk. Insurance: Mathematics and Economics, 36 (3) : 499-516 P.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2005. A new procedure for pricing parisian options. Journal of Derivatives, 12 (4) : 45-54 P.
Le Courtois, Olivier, Quittard-Pinon, François. 2004. Changes of probability measure in finance and insurance: A synthesis. Finance, 25 : 95-120 P.
Le Courtois, Olivier, Quittard-Pinon, François. 2004. Evaluation Numérique des Options Parisiennes. Banque et Marchés, 69 : 30-37 P.
Le Courtois, Olivier, Quittard-Pinon, François. 2004. Measure Changes in Finance. Finance India, 18(1) : 14
Le Courtois, Olivier. 2004. Trésorerie d'Entreprise : Hubert de la Bruslerie (Book review). Finance, 25 (2) : 53-55 p.
Le Courtois, Olivier. 2003. Modelling Stock Returns with Lévy Processes. Banque et Marchés, 66 : 36-46 P.
Articles académiques
Le Courtois, Olivier. 2012. Management of Pension Funds when Asset Returns are Driven by Levy Processes. 16th, Hong Kong, June 28-30, 2012. University of Hong Kong
Le Courtois, Olivier, Menoncin, Francesco. 2012. Management of Pension Funds under Market Jump Risk. 29th, Strasbourg, France, May 14th-16th, 2012. Affi, Association française de finance / French Finance Association, 25 p. 25 p.
Le Courtois, Olivier, Bernard, Carole. 2011. Asset risk management of participating contracts. 15th, Tokyo, Japan, July 31-August 3, 2011. APRIA, Asia-Pacific Risk and Insurance Association
Le Courtois, Olivier. 2011. A Study on Value-at-Risk and Lévy Processes (1032). 2011, Macao, China, July 10-13, 2011. AsianFA, Asian Finance Association
Le Courtois, Olivier. 2011. A Study on Value-at-Risk and Lévy Processes.
Le Courtois, Olivier. 2010. Performance regularity: A New Class of Executive Compensation Packages .
Le Courtois, Olivier. 2010. On Surrender Risk and the Default of Insurance Companies.
Le Courtois, Olivier, Bernard, Carole, Quittard-Pinon, François. 2008. Assessing the Market Value of Safety Loadings.
Le Courtois, Olivier, Quittard-Pinon, François, Bernard, Carole. 2008. Assessing the Market Value of Safety Loadings.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2008. Assessing the Market Value of Safety Loadings.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2007. Pricing derivatives with barriers in a stochastic interest rate environment.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2007. Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment.
Le Courtois, Olivier, Quittard-Pinon, François. 2006. Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model.
Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François. 2006. Assessing the market value of safety loadings. , 23 P. 23 P.
Le Courtois, Olivier. 2003. A study of mutual insurance of bank deposits.
Le Courtois, Olivier. 2002. One Century of Lévy Processes in Finance.
Communications de conférences
Le Courtois, Olivier. 2019. Financial Mathematics: Key Concepts and Tools for Soa Exam FM & Cas Exam 2. Independently published, V-128 p.
Le Courtois, Olivier. 2018. Probability Theory: Key Concepts and Tools for SOA Exam P & CAS Exam 1. CreateSpace Independent Publishing Platform, 64 p.
Le Courtois, Olivier, Walter, Christian. 2014. Extreme financial risks and asset allocation. London : Hackensack, NJ : Imperial College Press, 1 vol. (XVII-351 p.)
Le Courtois, Olivier, Walter, Christian, Aït-Sahalia, Yacine. 2012. Risques financiers extrêmes et allocation d'actifs. Paris : Economica, 1 vol. (368 p.)
Olivieri, Annamaria, Pitacco, Ermanno, Le Courtois, Olivier. 2008. Assurance-vie: évaluer les contrats et les portefeuilles. Paris : Pearson France, 1 vol. (XIV- 250 p.)
Ouvrages
Le Courtois, Olivier, Walter, Christian. 2016. Lévy Processes and Extreme Value Theory. In Longin, François, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications. New Jersey : John Wiley & Sons, 171-194 p.
Le Courtois, Olivier. 2010. Sur la théorie de la ruine. In Walter, Christian, Nouvelles normes financières : S'organiser face à la crise. Springer, 43-58 P.
Chapitres d'ouvrages
Le Courtois, Olivier. 2015. Mathématiques et Management: y a-t-il aujourd’hui un intérêt pour le futur dirigeant à se former aux mathématiques ?. Grand Angle, La Lettre d'Information de la Conférence des Grandes Ecoles, 63: 1 P.
Le Courtois, Olivier. 2014. Comment la Finance est-elle enseignée à EMLYON Business School ?. Le Journal des Grandes Ecoles: 2 P.