Flavia BARSOTTI Jean BÉRARD - Université Claude Bernard Lyon 1

Transcription

Flavia BARSOTTI
Age, situation: 29 years, female
Current position: Quantitative Analyst, UniCredit Group. Market Risk Policies, Methodologies and
Architectures, Milan; Maı̂tre de Conférences (Associate Professor) at Université Lyon 1 since
September 2012, Laboratoire de Sciences Actuarielle et Financière.
E-mail: [email protected]
Web: --Professional experience, qualifications:
Economics.
2011–2012 Post-Doc Fellow, Department of Mathematics for Decisions, University of Flo- 2008–2011 PhD Thesis, in Mathematics for Economic Decisions, Faculty of Economics,
rence.
University of Pisa; IMT, Université P.
2011 Stage at UniCredit S.p.a., Milan. Unit:
Sabatier Toulouse III (cotutelle proPricing Models and Architectures Valgram)
idation, GIV (Group Internal Valida2002–2007 Master Degree in Economic Sciences,
tion), Via Pirelli 32, Milano.
University of Pisa
2006–2011 Allocataire-Moniteur (assistant professor) at University of Pisa, Faculty of
Research interests: Default Risk Models, Corporate Finance, Structural Credit Risk Models, Endogenous Bankruptcy, Volatility Risk, Stochastic Volatility Models, Monte Carlo Methods, HighFrequency Data, Malliavin Calculus.
Awards: Best PhD Thesis Award (June 2012) - UniCredit & Universities Knight of Labor Ugo Foscolo
Foundation Competition.
Publications and working papers:
3. F. Barsotti, M. E. Mancino, M. Pontier, Cor1. F. Barsotti, M. E. Mancino, M. Pontier, Capporate Debt Value with Switching Tax Benefits
ital Structure With Firm’s Net Cash Payand Payouts, 2011, (submitted).
outs, on Mathematical and Statistical Methods
4. F. Barsotti, Optimal Capital Structure with
for Actuarial Sciences and Finance, Springer,
Endogenous Default and Volatility Risk, 2012,
Quantitative Finance Series, 2012. Editors:
(submitted).
C. Perna, M. Sibillo.
5. F. Barsotti, S. Sanfelici, Firm’s Volatility Risk
2. F. Barsotti, M. E. Mancino, M. Pontier, The
under Microstructure Noise, 2012, (submitRole of Firm’s Net Cash Payouts in Leland’s
ted).
(1994) Model, Economic Notes, vol 41/3 pp
115-144, november 2012.
Jean BÉRARD
Age, situation: 36, male, civil union, three children
Current position: Maı̂tre de Conférences (Lecturer) in Mathematics at Université Lyon 1, Institut
Camille Jordan (UMR CNRS 5208)
Web: http://math.univ-lyon1.fr/~jberard
Professional experience, qualifications:
2012 Habilitation à diriger les recherches, 1998–2001 PhD in Mathematics, Université Lyon 1
Université Lyon 1
1997–1998 Agrégation de mathématiques
2002– Maı̂tre de conférences (Lecturer), Uni- 1995–1999 Ecole Normale Supérieure de Lyon,
versité Lyon 1
Master’s program in Mathematics
1999–2002 Allocataire-Moniteur, Université Lyon 1
Research interests: Interacting Particle Systems, Stochastic Models in Biology, Monte Carlo Methods
PhD students: 1 supervision
1
X + Y → 2X, Annals of Probability (2010),
38(3): 955–1018.
4. J. Bérard and A. Ramı́rez, Fluctuations
of the front in a one-dimensional model
for the spread of an infection, preprint,
arXiv:math/1210.6781
5. J. Bérard and A. Huet, Sequential Monte
Carlo methods for neighbor-dependent nucleotide substitution models, In Preparation
1. J. Bérard and L. Guéguen, Accurate Estimation of Substitution Rates with NeighborDependent Models in a Phylogenetic Context,
Systematic Biology (2012) 61(3): 510-521.
2. J. Bérard and J.B. Gouéré, Survival probability of the branching random walk killed below
a linear boundary, Electronic Journal of Probability (2011) 16(14), 396–418.
3. J. Bérard and A. Ramı́rez, Large deviations
of the front in a one-dimensional model of
Christophette BLANCHET-SCALLIET
Age, situation: 37 years, female, married, three children
Current position: Maı̂tre de Conférences (Associate Professor) at Ecole Centrale de Lyon since September 2007, Institut Camille Jordan (UMR 5208)
Web: http://perso.ec-lyon.fr/blanchet.christophette/
PhD Thesis, in applied mathematics,
2002–2007 Maitre de Conférences at University
Laboratoire d’Analyse et Probabilités,
of Nice, Laboratoire Dieudonné (UMR
Université d’Evry
7351)
2001–2002 ATER (assistant professor) at Univer- 1997–1998 DEA in mathematics, Université Rennes
1, Agrégation de mathématiques
sity of Evry
1998–2001 Allocataire-Moniteur (assistant profes- 1997–1999 Ecole Normale Supérieure de Cachan
sor) at University of Evry
Research interests: Enlargement of Filtrations, Backward Stochastic Differential Equations, Stochastic
Optimal Control and Hamilton-Jacobi- Bellman equations, Default risk models, Counterparty Risk.
1. C. Blanchet-Scalliet; D. Dorobantu; D.
ings, and Liquidity, WILEY, pp. 437-456,
RullièreThe density of the ruin time for a
2011
renewal-reward process perturbed by a diffu4. S. Ankirchner; C. Blanchet-Scalliet; A.
Eyraud-Loisel Credit Risk Premia And
sion Applied Mathematics Letters,
http://dx.doi.org/10.1016/j.aml.2012.04.003,
Quadratic’s BSDEs with a single jump Inter2013, 26 (1), Pages 108-112
national Journal of Theoretical and Applied
2. S. Ankirchner, C. Blanchet-Scalliet; A.
Finance (IJTAF), 2010, 13 (7), pp. 1103-1129
Eyraud-Loisel Optimal liquidation under di5. C. Blanchet-Scalliet;
A. Eyraud-Loisel;
rectionnal views and additionnal information.
M. Royer-Carenzi Hedging of Defaultsubmitted Sep. 2012
able Contingent Claims using BSDE
3. C. Blanchet-Scalliet; F. Patras Structural
with uncertain time horizon.
Le bulCounterparty Risk Valuation for Credit Deletin français d’actuariat, 2010, 20 (10),
fault Swaps Credit Risk Frontiers: Subprime
http://www.institutdesactuaires.com/bfa/
Crisis, Pricing and Hedging, CVA, MBS, Rat-
Alexandre BOUMEZOUED
Age, situation: 24 years, male, cohabiting
Current position: Allocataire-moniteur (Assistant Professor) since October 2012; PhD student in Applied Mathematics at Université Paris 6, Laboratoire de Probabilités et Modèles Aléatoires
(LPMA, Paris 6), Laboratoire de Science Actuarielle et Financière (SAF, Lyon 1) – Advisors :
2
Nicole El Karoui (LPMA) and Stéphane Loisel (SAF)
2011–2012 Master 2 in Probability Theory, UniverDepartment (Milliman France)
sité Paris 6; French Engineer Diploma, 2008–2010 Two years at École des Ponts ParisTech French Engineer School in MarneÉcole des Ponts ParisTech Applied
la-Vallée
Mathematics and Computer Science
2010–2011 One-year Internship in R&D Actuarial
Research interests: Actuarial and Financial Mathematics, Longevity Risk Modeling, Dynamic Population Models, Point Processes, Numerical Probability, Pricing and Hedging of Longevity Derivatives.
Reviewal responsibilities: Referee for Methodology and Computing in Applied Probability (MCAP).
P. Boisseau One-year reserve risk including a
1. A. Boumezoued, Master’s Thesis, Numeritail factor: closed formula and bootstrap apcal Methods for Dynamic Population Modproaches, 2011.
els, 2012. Advisors : Nicole El Karoui and
http://hal.archives-ouvertes.fr/hal-00605329/
Stéphane Loisel.
2. A. Boumezoued, Y. Angoua, L. Devineau, J.-
Diana DOROBANTU
Age, situation: 35 years, female, two children
Current position: Maı̂tre de Conférences (Associate Professor) at Université Lyon 1 since September
2008, Laboratoire de Sciences Actuarielle et Financière
2007–2008 ATER (Assistant Professor) at Univer- 2002–2003 Master 2 of International Business and
Law, Universitatea Bucuresti- Université Toulouse 1
sité Paris 1
2004–2007 Allocataire-Moniteur (Assistant Professor), Université Toulouse 3; PhD Thesis 1998–2002 Academia de studii economice Bucuresti
(Roumanie), Master in Finance and
in Applied Mathematics; Laboratoire de
Banking
Statistiques et Probabilités, Université
1996–2000 Universitatea Bucuresti, Master in TheToulouse 3
oretical and Applied Mathematics
2003–2004 Master 2 in Applied Mathematics, Université Toulouse 3
Research interests: Credit risk, Asymmetrical information, Optimal stopping problems, Hitting time
law for jump processes
1. D. Dorobantu, M. Mancino, M. Pontier Optimatics, 56, No.4, 2011, 283-294
mal strategies in a risky debt context, Stochas4. C. Blanchet-Scalliet, D. Dorobantu, D. Rultics, Vol. 81, Nos. 3-4, 2009, 269-277
liere The density of a passage time for a
renewal-reward process perturbed by a diffu2. L. Coutin, D. Dorobantu First passage time
law for some Lévy processes with compound
sion, Applied Mathematics Letters, volume
Poisson: existence of a density, Bernoulli 17
26, issue 1, 2013, 108-112
(4), 2011, 1127-1135
5. A. Cousin, D. Dorobantu, D. Rulliere An ex3. D. Dorobantu Optimal stopping for Markov
tension of Davis and Lo’s contagion model, to
processes and decreasing affine functions, Roappear in Quantitative Finance
manian Journal of Pure and Applied Mathe-
3
Paul DOUKHAN
Age, situation: 57 years, male, married, two children
Current position: Professor (PrEx, échelon 2) at Université Cergy-Pontoise since September 1993,
Laboratoire d’Analyse Géométrie et Modélisation (AGM, UMR 8088)
Web: http://doukhan.u-cergy.fr
1980 PhD: Nonlinear autoregressive models,
2002-2008 Professor of statistics, ENSAE
advisor: J. Bretagnolle, Orsay
1982–1993 Full time researcher CNRS, Orsay
1988–1989 Professor of mathematics: university of 1975–1979 Ecole Normale Supérieure, Saint-Cloud
1978 Agrégation de mathématiques rank 11th
Wuhan, China
1976 Master of Statistics, Orsay
1986 HDR: Study of mixing processes, advisor: D. Dacunha-Castelle, Orsay
Research interests: Weak dependence concepts, long-range dependence, non-parametric statistics, empirical processes, limit theorems in probability, applications of dependence.
Coordination of research programs: 1986-1994 Responsible of cooperation project with Venezuela;
2010-2012 Research program DNIPRO with Kiev Polytechnic Institute; 2012 Thematic year
on non-stationarity and risk management in Cergy-Pontoise, with Jean Luc Prigent and Flora
Koukiou.
Editorial responsibilities: Associated Editor of Stochastic Processes and their Applications, Statistics,
Stapro online encyclopedia, Stochastic Processes-Kiev
Awards: 2011, Senior Member IUF, French Universitary Institute
PhD students: 15 PhD supervised students
4. P. Doukhan, G. Lang, C. Prieur, S. Louhichi,
1. P. Doukhan, Mixing: properties and examples,
J. Dedecker, J. R. León, Weak dependence:
LNS 85, Springer Verlag (1994)
models, theory and applications, LNS 190,
2. P. Doukhan, S. Louhichi, A new weak depenSpringer-Verlag (2007)
dence condition and applications to moment
5. P. Doukhan, S. Prohl, C. Y. Robert, Subsaminequalities. Stochastic Process. Appl. 84-2,
pling weakly dependent times series and appli313-342 (1999)
cation to extremes. Discussion Paper TEST
3. P. Doukhan, G. Oppenheim and M. S. Taqqu,
20-3, 447-502 (2012)
editors. Theory and Applications of Longrange Dependence, Birkhauser, Boston (2003)
Nicole EL KAROUI-SCHVARTZ
Age, situation: 69 years, female, married, five children
Current position: Professor at UPMC (Paris VI) since September 2008, Laboratoire de Probabilité et
Modèles alátoires.
2008– Professor at LPMA, UPMC, Paris
Mans).
1997–2008 Full time Professor at Ecole Polytech- 1968–1973 Assistant-Professor
at
Université
nique.
d’Orsay, Paris France
1988–1997 Professor at Paris VI University-UPMC 1968–1971 PhD Thesis Thèse de Doctorat d’Etat,
1979–1988 Professor at Ecole Normale Supérieure
Paris.
de Fontenay–aux Roses.
1964-1968 Ecole Normale Supérieure (Sévres).
1973–1979 Professor at Université du Maine (Le
Research interests: Longevity Modelling: Basis Risk Modelization, Micro-macro simulation,
Longevity Risk Transfer, Long term interest rate; Stochastic optimization: Partially observable
4
control, Singular control, Optimal stopping times, Constraint optimization, Max-Plus decomposition,
Azema-Yor martingales and stochastic order; Mathematical Finance: Stochastic interest rates
models, Portfolio optimization; and Insurance: Superhedging, Change of numeraire, Variable annuities, Risk measure, Credit Risk, Forward Utility; Backward stochastic: Quadratic BSDE,
BSDES and Risk measures; differential equations: Applications to Mathematical Finance and
optimization.
Research Management: Member of the national council of AERES, Head of the ”chair” Financial Risk
supported by Societe Generale in the Risk Foundation, Co-Head of the ”Chair” ”Derivatives for the
futur” supported by the FBF, Vice president of Scientific Council of the Institut Louis bachelier, and
Member of the Direction Council
Awards: Award from ISI 2012
PhD students: Kazi Tani Nabil (Dec 2012): Construction de mesures de risques dynamiques. Nguyen
Trung Lap (Sept 2012): Variable Annuities. Nicolay David (Mai 2011): Calibration de la volatité
stochastique dans les modèles de taux. Camillier Isabelle (Juin 2010): Long Term Interest
rates. Determinantal point processes. Bensusan Harry (2010): Modélisation dynamique de la
longévité et Applications aux produits dérivés. M’rad Mohamed (2009): Utilités progressives et
flots stochastiques. Meziou Asma (2007): Assurance de portefeuille et décomposition Max-Plus.
Conferences as Invited or Plenary Speaker: Coxeter Lecture Series, Toronto March2010; Lectures in
Stochastic Control, September 2008; Distinguish lectures in Probability and Statistic, Berlin, January
2008; International Congress Probability Statistics, Istambul July 2012, Medaillon Lecture; European
Conference Mathematics for Innovation Tokyo Fevrier 2012; SIAM Conference on Financial Mathematics and engineering, San francisco, Nov 2010; Mathematical Finance in honor of W.Schachermayer
Juil 2010; Colloque Franco-Egyptien de Mathematiques Le Caire Mai 2010; Mathematical Finance,
Fields Institute, Janvier 2010; Journee Optimization, Oxford Mai 2008; German-Chinese Workshop
Stochastic processes and applications, March 2008; ICI Applied Mathematics International Congress,
Zurich, Juillet 2007; International Conference in honor of Pr K. Itô, Kyoto, September 2012; Invited
Speaker at International Congress of Mathematicians Beijing, Aug 2002.
1. Les outils stochastiques des marchés fibility of quadratic semimartingales with applinanciers, avec Emmanuel Gobet Les Editions
cations to unbounded general quadratic BSde l’Ecole Polytechnique.(2011)
DEs. Annals of Probability, 2013 (Accepted
2. El Karoui.N, Tan.X Capacities, MeasurJan 2012)
able Selection, and Dynamic Programming:
8. Barrieu.P,
Bensusan.H,
El
Karoui.N,
preprint (2012))
Hillairet.C, Loisel.S, Ravanelli.C and Sahli.Y,
3. El Karoui.N, Matoussi.A, Ngoupeyou.A:
(2012) Understanding, modeling and managing longevity risk: aims and scope ScandinaQuadratic Semimartingales with Jumps and
Application in BSDE working paper(2013)
vian Actuarial Journa Volume 2012, Issue 3,
4. Camillier.I, El Karoui.N, Hillairet.C, : New
(2012) 203-231.
point of view of consumption with application
9. Carraro,L. El Karoui,N. and Jan Oblój (2012),
to long term IRS working paper(2012)
On Azéma-Yor processes, their optimal properties and the Bachelier drawdown equation.
5. El Karoui,N. Jeanblanc,M. Jiao,Y. Dynamic
Modelling of Successive defaults preprint
Ann. Probab. Volume 40, Number 1 (2012),
(2012))
372-400.
6. El Karoui.N, M’rad.M An Exact Connection
10. Barrieu.P, El Karoui,N.(2008) Pricing, hedgbetween two solvable SDEs and a Nonlinear
ing and optimally designing derivatives via
Utility Stochastic PDE revision SIAM Jourminimization of risk measures In: Volume
nal Financial Mathematics(2012)
on Indifference Pricing (ed: Rene Carmona),
7. Barrieu.P, El Karoui.N, (2012) Monotone sta77-146 Princeton University Press, 2008.
5
Overbeck), 161-189, Springer 2008
13. El Karoui, N., Durrleman.V, (2008) Coupling
smiles, Quantitative Finance Vol 8 /6 /573590.
14. Costantini.C, El Karoui.N, Gobet.E (2006)
Boundary Sensitivities for Diffusion Processes
in Time Dependent Domains Applied Mathematics and Optimization, Vol 54, N.2 / 2006,
pp159-187
(arXiv:0708.0948v1 [math.PR])
11. El Karoui,N., Meziou,A. (2008). Max-Plus decomposition of super-martingales and convex
order. Application to American options and
port-folio insurance. Ann. Probab. 36 647697.
12. El Karoui,N., Jiao ,Y. Kurtz,D (2008) Valuation and VaR computation for CDOs using Stein’s method. Applied Quantitative Finance, (eds. W.Hàrdle, N. Hautsch and L.
Maria GOVORUN
Age, situation: 28 years, female, single
Current position: PhD student at Université libre de Bruxelles since September 2009, Faculté des
sciences.
Lab, junior researcher
2009–Present Université libre de Bruxelles, PhD stu2005–2009 Actuarial&Financial Services Limited,
dent
leading actuary
2008-Present Full member of International Actuarial Association, Full member of Russian 2006–2008 State University Higher School of Economics, Moscow, Master in economics,
Guild of Actuaries
risk management and actuarial methods
2008–2009 AIG Life Russia Insurance Company, ac2001–2006 Lomonosov Moscow State University,
tuary
Moscow, Master in applied mathemat2008–2009 State University Higher School of Ecoics and informatics
nomics, Moscow, Risk Management
Research interests: Development of phase-type methods in actuarial science, Markov chains, fluid
queues, pension insurance, health care, disability models, longevity risk, optimal consumption, health
economics.
4. M.Govorun, G.Latouche, M.-A. Remiche
1. M. Govorun High-frequency financial data
Profit-test model for pension funds using
analysis as applied to hedging problem of EuroMatrix- Anatytic Modeling, proceedings of the
pean type options, The collection of best theses
2006, Moscow State University press, 2006
Actuarial and Financial Mathematics Conference – Interplay Between Finance and Insur2. M.Govorun, G.Latouche, M.-A. Remiche, Staance, p. 87-94, Brussels, 2011.
bility for fluid queues: characteristic inequali5. M.Govorun, G.Latouche Modeling the effect of
ties, to appear in Stochastic Models, 2012
health: phase-type approach, submitted
3. M.Govorun, G.Latouche, M.-A. Remiche,
6. M.Govorun, G.Latouche, S.Loisel, A phaseProfits and risks of pension plans, Performance Evaluation Review, 39: 41, 2012.
type look at health care costs, in progress
Caroline HILLAIRET
Age, situation: 35 years, female, married, two childs
Current position: Maı̂tre de Conférences (Associate Professor) at Ecole Polytechnique since September
2005, CMAP (Centre de Mathématiques Appliquées) UMR 7641
Web: http://www.cmap.polytechnique.fr/~hillaire/
6
2004–2005 ATER, Université Toulouse 3.
de Statistique et Probabilités.
2001–2004 Allocataire-Moniteur
at
Université 2000–2001 DEA in Applied Mathematics.
Toulouse 3; PhD Thesis, Laboratoire 1999–2000 Agrégation externe de Mathématiques.
Research interests: Longevity, Long term interest rates, Credit Risk, Asymmetric information, Enlargement of Filtrations.
in Pricing of Credit Derivatives International
1. P. Barrieu, H. Bensusan, N. El Karoui,
Journal of Theoretical and Applied Finance
C. Hillairet, S. Loisel, C. Ravanelli, Y.
Vol. 14, No. 5 (2011) 611-633.
Salhi Understanding, Modeling and Manag4. C. Hillairet Comparison of insiders’ optiing Longevity Risk : Key issues and Main
mal strategies depending on the type of sideChallenges, Scandinavian Actuarial Journal
information, Stochastic Processes and Their
(2012), Vol. 2012, No 3, 203-231.
Applications 115 (2005) 1603-1627.
2. C. Hillairet, Y. Jiao Credit Risk with asym5. C. Hillairet Existence of an equilibrium on
metric information on the default thresha financial market with discontinuous prices,
old, Stochastics: An International Journal of
asymmetric information and non trivial initial
Probability and Stochastic Processes, (2012)
sigma-fields, Mathematical Finance, (2012)
Vol. 84, Nos. 2-3, 135.
Vol. 15, No 1, 99-117.
3. C. Hillairet, Y. Jiao Information Asymmetry
Vincent LEMAIRE
Age, situation: 34 years, male, one child
Current position: Maı̂tre de Conférences (Associate Professor) Université Pierre et Marie Curie UPMC
Paris 06, Laboratoire Probabilités et Modèles Aléatoires, UMR 7599.
Web: http://proba.jussieu.fr/~lemaire
Paris Est Marne-la-Vallée
2001–2005 Allocataire-Moniteur (assistant professor), PhD Thesis, in applied mathe- 2000–2001 Master 2 in Mathématiques Appliquées,
Université Paris Est Marne-la-Vallée
matics, Laboratoire de d’Analyse et de
Mathématiques Appliquées, Université
Research interests: Numerical Probability, Monte Carlo methods, Discretization schemes, Stochastic
algorithms, Exact simulation, Longtime numerical approximation, Energy price modelling.
1. Vincent Lemaire and Gilles Pagès. UnconDOI:10.1080/1350486X.2012.658220.
strained recursive importance sampling, Ann.
4. Vincent Lemaire.
An adaptive scheme
Appl. Probab., 20(3):1029–1067, 2010.
for the approximation of dissipative systems,
2. Vincent Lemaire and Stephane Menozzi. On
Stochastic Processes and their Applications,
some Non Asymptotic Bounds for the Euler
117(10):1491–1518, 2007.
Scheme, Electronic Journal of Probability,
5. Vincent Lemaire.
Behavior of the Euler
15:1645–1681, 2010.
scheme with decreasing step in a degenerate
3. Noufel Frikha and Vincent Lemaire. Joint
situation, ESAIM. Probability and Statistics,
Modelling of Gas and Electricity spot
11:236–247, 2007.
prices,
Applied Mathematical Finance,
Stéphane LOISEL
Current position: Professor at Université Lyon 1 since September 2011.
Web: http://isfaserveur.univ-lyon1.fr/~stephane.loisel/
7
2009-2012 Associate researcher at CMAP, Ecole 2005–2011 Maı̂tre de Conférences, Université Lyon
1
Polytechnique, Palaiseau, France (20092012). Research expert on longevity risk 2002–2005 PhD Thesis in applied mathematics,
Université Lyon 1
in the Chair ”Derivatives of the future”,
2001 Agrégation de mathématiques
sponsored by the French Federation of
Banks and chaired by Nicole El Karoui. 1998-2002 Ecole Normale Supérieur de Lyon, éléve
normalien, mathematics.
2010 Habilitation thesis (HDR)
Research interests: Longevity: longevity risk, stochastic mortality, pandemic risk, basis risk. Risk theory: ruin probabilities, hitting times, multidimensional processes, stochastic dependence, Markovian
environment. Acceleration of nested simulations. Solvency II, behavioral risk, Economic Capital and
Entreprise Risk Management.
Coordination of research programs: Coordinator of research chair Actuariat Durable, June 2010June 2013.
Editorial responsibilities: Associate Editor of Insurance:Mathematics and Economics, Methodology
and Computing in Applied Probability, American Journal of Algorithms and Computing, Risks,
and Bulletin Français d’Actuariat (BFA). Co-editor of European Actuarial Journal.
Awards and invitations: Best paper award, Conference of the Life Section of the International Actuarial Association, Mexico, Oct. 2012; Second best paper award, ASTIN Colloquium, Mexico, Oct.
2012; Corresponding member of the Swiss Actuarial Association (2012); 2011 Lloyd’s Science of
Risk: runner-up prize in the insurance and finance category; SCOR 2005 Award (best PhD in Actuarial Science). 15 international conferences as invited speaker. Invited for research stays in UNSW
(Sydney), UdM (Montréal), Laval (Québec), GSU (Atlanta), ULB (Brussels), LSE (London), UNIL
(Lausanne), HKU (Hong Kong), METU (Ankara), Cornell and Columbia U. (Spring 2013).
PhD students: 12 PhD supervised students (5 defended, 7 in progress (including 2 who defend by April
2013)).
correlation crises on economic capital, Euro1. Y. Salhi, S. Loisel, Longevity basis risk modelpean Journal of Operational Research (2011),
ing: a co-integration based approach, Working
Vol. 214, No 2, 348-357.
paper (2012) available on Hal preprint server.
5. M. Chauvigny, L. Devineau, S. Loisel, V.
2. P. Barrieu, H. Bensusan, N. El Karoui,
Maume-Deschamps, Fast remote but not exC. Hillairet, S. Loisel, C. Ravanelli, Y.
treme quantiles with multiple factors. ApplicaSalhi, Understanding, modelling and mantions to Solvency II and Enterprise Risk Managing longevity risk: key issues and main
challenges, Scandinavian Actuarial Journal
agement, European Actuarial Journal (2011),
(2012), Vol. 2012, No 3, 203-231.
Vol. 1, No 1, 131-157.
6. S. Loisel, N. Privault, Sensitivity analysis and
3. C. Lefèvre, S. Loisel, On multiply monotone
density estimation for finite-time ruin probdistributions, continuous or discrete, with apabilities, Journal of Computational and Applications, accepted (2012), to appear in Jourplied Mathematics, Vol. 230, No 1, 107-120
nal of Applied Probability.
(2009).
4. S. Loisel, X. Milhaud, From deterministic to
stochastic surrender risk models: impact of
Olivier LOPEZ
Age, situation: 32 years, male, married, one child
Current position: Maı̂tre de Conférences (Associate Professor) at Université Pierre et Marie Curie Paris
VI since September 2008, Laboratoire de Statistique Théorique et Appliquée (Équipe d’accueil
8
3124)
Web: http://www.lsta.upmc.fr/lopez.html
Rennes 1
2009-2011 Actuarial Diploma, Centre d’Etudes Ac2004–2005 Master 2 in Statistics, Rennes 1
tuarielles, Paris.
2003–2004 Agrégation de mathématiques
2008 Post-doctoral position, WIAS, Berlin.
Normale
Supérieure
de
2005–2008 Allocataire-Moniteur (assistant profes- 2001–2005 Ecole
Cachan, Department of Mathematicssor) at ENSAI and Université Rennes
Informatics, Rennes.
1; PhD Thesis, in applied mathematics,
CREST-ENSAI and IRMAR, Université
Research interests: Survival analysis, nonparametric and semiparametric regression, change-point analysis, bivariate censoring, recurrent events, dimension reduction, nonparametric goodness-of-fit testing.
Editorial responsibilities: Associate editor of Bulletin Français d’Actuariat
PhD students: co-supervision of A. Oueslati (SNCF and Université Pierre et Marie Curie), and S.
Gribkova (Université Pierre et Marie Curie)
model, Bernoulli, Volume 16, Issue 2, 2010,
1. O. Lopez, V. Patilea, Nonparametric lack-ofPages 514-542
fit tests for parametric mean-regression mod4. O. Lopez A generalization of Kaplan-Meier esels with censored data, Journal of Multivariate
timator for analyzing bivariate mortality unAnalysis, Volume 100, Issue 1, January 2009,
der right-censoring and left-truncation with
Pages 210-230 Stochastic Processes and their
applications to model-checking for survival
Applications, vol 115/11 pp 1745-1763, Jancopula models, Insurance: Mathematics and
uary 2009
Economics, Volume 51, Issue 3, 2012, Pages
2. O.Lopez, Single-index regression models with
505-516
right-censored responses, Journal of Statistical
5. O. Lopez, A. Oueslati A proportional hazPlanning and Inference, Volume 139, Issue 3,
ards regression model with change-points in
1 March 2009, Pages 1082-1097
the baseline function, Lifetime Data Analysis,
3. O. Bouaziz, O. Lopez, Conditional density es2012 (in press).
timation in a censored single-index regression
Xavier MILHAUD
Age, situation: 27 years, male
Current position: responsible for the actuarial department at ENSAE ParisTech since September 2011,
Centre de Recherche en Economie et Statistique (LFA lab).
Web: http://www.xaviermilhaud.fr
2011–2012 Teaching assistant (responsible for the 2009–2011 Actuarial Diploma, Institut de Science
actuarial department) at ENSAE ParisFinancière et d’assurances, Lyon 1
Tech
2007–2008 Research Master in Financial and Actu2009–2012 PhD Thesis in applied mathematics
arial Sciences, Université Lyon 1
(CIFRE partnership with AXA Global 2005–2008 Engineer Diploma at ENSIMAG, option
Life), Laboratoire de Science Actuarielle
financial mathematics
et Financière, Université Lyon 1
Research interests: Generalized linear models, Survival analysis, Model selection, Behaviour modelling,
Classification algorithms, Mixture models, Hidden Markov models.
Coordination of research programs: Supervisor of research and actuarial memoirs at ENSAE ParisTech.
9
Tasks in refereed journals: reviewed publications in EJOR, EUAJ, BFA.
Awards: Best paper of the ASTIN-AFIR-IAALS congress (Mexico 2012), section IAALS. Runner-up of
the Lloyd’s Science of Risk Prize 2011 (with Stéphane Loisel).
214, pp 348-357 (2011).
1. Milhaud, X. Selection of GLM mixtures: a
4. Milhaud, X., Maume-Deschamps, V., Loisel,
new criterion for clustering purpose, submitS., Surrender triggers in Life Insurance: what
ted (2012).
main features affect the surrender behavior
2. Milhaud, X. Exogenous and endogenous risk
in a classical economic context?, Bulletin
factors management to predict surrender beFrançais d’Actuariat, vol 22 pp 5-48 (2011).
haviours, submitted (2012).
5. Milhaud, X., Gonon, M-P. et Loisel, S. Les
3. Loisel, S., Milhaud, X. From deterministic
comportements de rachat en Assurance Vie
to stochastic surrender risk models: impact
en régime de croisière et en période de crise,
of correlation crises on economic capital, EuRisques, vol. 83 pp 75-80 (2010).
ropean Journal of Operational Research, vol
Ragnar NORBERG
Current position: Research Officer (Chercheur), ISFA, Université Lyon 1; Emeritus Professor London
School of Economics.
Web: http://isfa.univ-lyon1.fr/~norberg/
Mathematics, University of Oslo
2000–2010 Professor of Statistics, London School of
1971-1984 Research Assistant, Associate Professor,
Economics
University of Oslo
1991–2000 Professor of insurance mathematics,
1981-1982 Guest Professor, ETH Zürich
University of Copenhagen
1984–1991 Professor of Statistics with Insurance
Research interests: Insurance mathematics (life, non-life, risk theory), financial mathematics, and
related topics in statistics and probability.
Scientific Committees in major international conferences 2007 - present: Cramér symposium
Stockholm 2013; Afmath Brussels 2009, 2010, 2011, 2012, 2013; 4th Brazil. Conf. Insurance and
Finance 2009; Bachelier World Congress London 2008.
Invited key-note lectures in major international conferences 2007 - present: QMF Cairns
2012; Recent Devel. in Math. Fin. Stockholm 2011; QMF Sydney 2010; Afmath Brussels 2010;
IFID/MITACS Fields Inst. Toronto 2008; AFIR Coll. Stockholm 2008; IME Conference Piraeus
Greece 2007; AFIR Coll. Stockholm 2007.
Editorial responsibilities: Assoc. Editor Fin. & Stoch.; Assoc. Editor IME.
PhD students: 60 MSc theses, 9 PhD theses
1. Norberg, R.: Quadratic hedging of payments
012-0182-3
streams. 20 pp. Submitted to European Actu4. Constantinescu, C., Maume-Deschamps, V.,
arial Journal
Norberg, R. (2012): Risk processes with de2. Norberg, R., Savina, O. (2012): A quadratic
pendence and premium adjusted to solvency
hedging approach to comparison of catastrotargets. European Actuarial Journal 2 1 1-20,
phe indices. International Journal of TheDOI 10.1007/s13385-012-0046-4
oretical and Applied Finance. 15 (4), DOI
5. Norberg, R. (2010): Forward mortality and
10.1142/S0219024912500306
other vital rates – are they the way forward?
3. Norberg, R. (2012): Optimal hedging of deInsurance: Mathematics and Economics. 47,
mographic risk in life insurance. Finance
105-112
and Stochastics 2012, DOI 10.1007/s0078010
Gilles PAGÈS
Age, situation: 52 years, male
Current position: Professeur (Full Professor) at UPMC since September 2001, Laboratoire de Probabiltés et Modèles Aléatoires (LPMA, UMR 7599)
Web: http://www.proba.jussieu.fr/pageperso/pages/
ability, Financial Mathematics), UPMC.
2009– Director of the LPMA.
2001– Co-head of the Master “Probbailités & 1993–2001 Professor, Univ. Paris 12-Créteil.
Finance”, UPMC-École Polytechnique. 1988–1993 Maı̂tre de Confŕences, Univ. Paris I.
2001– Professor (Probability, Numerical probResearch interests: Limit theorems for semi-martingales, Monte Carlo & quasi-Monte Carlo method,
Variance reduction, Discretization of processes, Optimal quantization, functional quantization, energy markets, American options, Optimal stopping, (Reflected)-Backward Stochastic Differential
Equations, Stochastic Approximation, long run behaviour of dynamical systems.
Coordination of research programs: ACI FIN’ Quant (2005-2009), CRIS project (FUI, 2008-11),
Azzurrisk project (FUI, 20010-2013, co-head with H. Pham)
Editorial responsibilities: Editor of Mathematics of Computation, Bernoulli (start 01.2013), ESAIM
P&S (and editor in-chief, start 01.2013)
PhD students: 11 PHD students supervised (Ben Alaya, Attali, Cohort, Schmidt, Lemaire, Panloup,
Sellami, Sagna, Frikha, Laruelle, Illand), 2 are in progress (Yu, Fernandez)
rate of convergence, Annals of Applied Proba1. G. Pagès, B. Wilbertz, Intrinsic stationarity
bility, 22(3) :1059-1100, 2012.
for vector quantization: Foundation of dual
4. V. Lemaire, G. Pagès, Unconstrained Recurquantization, SIAM J. on Numerical Analysive Importance sampling, Annals of Applied
sis, 50:747-780, 2012
Probability, 20(3):1029-1067, 2010.
2. S. Graf, H. Luschgy, G. Pagès, The lo5. G. Pagès, A. Sellami, Convergence of multical quantization behaviour of absolutely condimensional quantized SDEÕs, Séminaire de
tinuous probabilities, Annals of Probability,
Probabilités XLIII (C. Donati-Martin, A. Le40(4):1795-1828, 2012.
jay, A. Rouault eds), Springer, Berlin, 2693. F. Panloup, G. Pagès, Ergodic approximation
308, 2011.
of the distribution of a stationary diffusion :
Frédéric PLANCHET
Current position: Professeur (Full time Professor) at Université Lyon 1 since September 2003, Laboratoire de Sciences Actuarielle et Financière (équipe d’accueil 2429)
Web: http://www.ressources-actuarielles.net
1991–2012 Actuaire associé (Partner actuary) at
– HDR in actuarial sciences
WINTER & Associés
– PhD Thesis, in actuarial sciences
Research interests: Solvency II (Pillars 1 and 2), IFRS, MCEV : internal models, ORSA quantitative
models, market consistent valuations, economic scenario generators (both risk-neutral and historical
views) - Modeling censored and truncated data (mortality, disability, lapse, etc.) : best-estimate
assumptions for reserve calculations, longevity risk evaluation, catastrophic risk in life insurance Stochastic models and simulation techniques : best estimate and SCR calculation, both in standard
model and internal model ; time optimization for Monte-Carlo methods. - Liabilities valorization
and asset-liability management in life insurance.
11
1. Guibert Q., Juillard M., Planchet F. [2012]
Measuring Uncertainty of Solvency Coverage Ratio in ORSA for Non-Life Insurance,
European Actuarial Journal, 2:205-226, doi:
10.1007/s13385-012-0051-7.
2. Nteukam-T. O., Planchet F., Thérond P.E.
[2011] Optimal strategies of hedging portfolio of unit-linked life insurance contracts with
minimum death guarantee, Insurance: Mathematics and Economics, Vol. 48, Issue 2, pp.
161-175.
3. Planchet F. [2012] Modélisation du risque de
pandémie dans Solvabilité 2, Assurances et
gestion des risques, To appear.
4. Nteukam-T. O., Planchet F. [2012] Stochastic
Evaluation of Life Insurance Contract: Model
Point on Asset Trajectories & Measurement
of the Error Related to Aggregation, Insurance: Mathematics and Economics. Vol. 51,
pp. 624-631.
5. Kamega A., Planchet F. [2013] Construction de tables de mortalité prospectives sur
un groupe restreint : mesure du risque
d’estimation, Bulletin Français d’Actuariat,
vol. 13, no25.
Denys POMMERET
Age, situation: 44 years, male, married, three childs
Current position: Professor at Aix Marseille University since September 2006, Institute of Mathematic
of Luminy.
Web: http://iml.univ-mrs.fr/~pommeret/
1995–1996 Contract assistan Professor, Toulouse,
1999–2006 Assistant professor at ENSAI, Rennes
Paul Sabatier University
2004 Habilitation à Diriger de Recherches,
1992–1995 PhD Thesis, in applied mathematics,
Rennes University II.
Toulouse, Paul Sabatier University
1996–1999 Assistant professor, ENITIAA, Nantes
Research interests: Goodness of-fit-test, Bayesian statistics, latent variables.
Coordination of research programs: Head of the Statistical Team at the Institute of Mathematics
of Luminy, Responsible of the 42th congress of the French Statistical Society.
PhD students: 3 PhD supervised students.
1. Baragatti, A. Grimaud, D. Pommeret, (2012)
ments on Bayesian variable selection for disLikelihood-free parallel tempering, Statistics
ease classification using gene expression data,
Bioinformatics, 27:1194.
and Computing, DOI 10.1007/s11222-0129328-6.
6. Pommeret, D. (2011) Data driven smooth test
2. Druilhet, P. Pommeret, D. (2012) Invariant
for contaminated data, Journal of Statistical
conjugate analysis for exponential families,
Theory and Practice, 5(4)
Bayesian Analysis, 7, 903–916.
7. Ghattas, B. Pommeret, D. Reboul, L. Yao,
A.F. (2011) Data driven smooth test for paired
3. Baragatti, M. Grimaud, A. Pommeret, D.
(2012) Parallel tempering with Equi-Energy
populations, Journal of Statistical Planning
moves, Statistics and Computing, DOI
and Inference, 141 (1) 262-275
10.1007/s11222-012-9313-0.
8. Pommeret, D. (2010) Testing Mixed Distribu4. Baragatti, M. Pommeret, D. (2011) Ridge
tions when the Mixing Distribution Is Known,
parameter for g-prior distribution in probit
Advances in Data Analysis, Data Handling
mixed model, Computational Statistics and
and Business Intelligence. Studies in ClassiData Analysis, 56, 1920–1934.
fication, Data Analysis, and Knowledge Orga5. Baragatti, M. Pommeret, D. (2011) Comnization.
Béatrice REY
Current position: Maı̂tre de Conférences (Associate Professor), University of Lyon, University Lyon 1
12
LSAF (Laboratoire de Sciences Actuarielle et Financière) researcher.
1991 Postgraduate degree in economic and
2010 H.D.R. in economics, University Lyon 1.
econometrics, University Toulouse 1.
1994 Ph.
D. in economics, University
Toulouse 1.
Research interests: Risk Theory, Health Economics, Insurance
tion”, Louis Eeckhoudt et Béatrice Rey, The1. “Benchmark values for higher coefficients of
ory and Decision, 2011, 71: 227-234
relative risk aversion”, Michel Denuit and
7. “Preserving preference rankings under nonBéatrice Rey, Theory and Decision, to appear
financial background risk”, Yannick Malev2. “On Relative and Partial Risk Attitudes: Theergne and Béatrice Rey, Journal of the Operaory and Implications”, W.H. Chiu, Louis
tional Research Society, 2010, 61 : 1302-1308
Eeckhoudt and Béatrice Rey, Economic The8. “Prudence, Temperance, Edginess, and Risk
ory, 2012, 50 : 151-167
Apportionment as Decreasing Sensitivity to
3. “Priority setting in health care and higher
Detrimental Changes”, Michel Denuit and
order degree change in risk”, Christophe
Béatrice Rey, Mathematical Social Sciences,
Courbage and Béatrice Rey, Journal of Health
2010, 60 : 137-143
Economics, 2012, 31 : 484-489
9. “Some consequences of correlation aversion in
4. “Optimal prevention and other risks in a
decision science”, Michel Denuit, Louis Eecktwo-period model”, Christophe Courbage and
houdt and Béatrice Rey, Annals of Operations
Béatrice Rey, Mathematical Social Sciences,
Research, 2010, 176 : 259-269
2012, 63 : 213-217
10. “On Cross Risk Vulnerability”, Yannick
5. “Prevention and Precaution”, Christophe
Malevergne and Béatrice Rey, Insurance:
Courbage, Béatrice Rey and Nicolas TreMathematics and Economics, 2009, 45 : 224ich, chapter book in Handbook of Insurance,
229
Kluwer Publishers, 2012
6. “Risk vulnerability: a graphical interpreta-
Christian Yann ROBERT
Current position: Professeur des Universités (Full Professor) at Université Lyon 1 since November
2010, Laboratoire de Sciences Actuarielle et Financière (équipe d’accueil 2429)
E-mail: [email protected] Web: http://isfa.univ-lyon1.fr/christian robert
2006–2010 Associate Professor at ENSAE, Paris
1997–1998 Postgraduate degree in Statistics from
2003–2006 Assistant Professor at CNAM, Paris
University Paris Diderot
2002–2003 Actuary at SCOR, Paris
1995–1998 Postgraduate degree in Statistics and
2001–2002 Assistant Professor at ENSAE, Paris
Economics at ENSAE, Paris. Actuary,
1998–2001 Ph.D. in applied mathematics at UniverMember of the Institut des Actuaires
sity Paris Diderot
Research interests: Extreme Value Theory and Statistics, Actuarial Theory and Practice, Statistical
Finance.
PhD students: 4 PhD supervised students.
13
1. Robert, C. (2007). Stochastic stability of
some state-dependent growth-collapse processes. Advances in Applied Probability, 39,
1-32.
2. Robert, C. (2008). Estimating the multivariate extremal index function. Bernoulli, 14,
1027-1064.
3. Robert, C. and Segers, J. (2008). Tails of random sums of a heavy-tailed number of lighttailed terms. Insurance: Mathematics and
Economics, 43, 85-92.
4. Robert, C. (2009). Inference for the limiting cluster size distribution of extreme values.
The Annals of Statistics, 37, 271-310.
5. Lescourret, L. and Robert, C. (2011). Transparency matters: Price formation in presence
of order preferencing. Journal of Financial
Markets, 14, 227-258.
6. Robert, C. and Rosenbaum, M. (2011). A
new approach for the dynamics of ultra high
frequency data: the model with uncertainty
zones. Journal of Financial Econometrics, 9,
344-366.
7. Robert, C. and Rosenbaum, M. (2012).
Volatility estimation under endogenous microstructure noise. Mathematical Finance, 22,
133-164.
Mathieu ROSENBAUM
Age, situation: 31 years, male, married
Current position: Professor at University Pierre et Marie Curie since September 2011, Laboratory of
Probability and Random Models.
2003–2004 DEA in Statistics and Random Models,
2010 Habilitation à diriger les recherches
University Paris 7
2004–2007 PhD Thesis in Financial Statistics, Uni2001–2004 ENSAE
versity Paris Est
Research interests: Statistics of Random Processes, Mathematical Finance, Microstructure of Financial
Markets.
Coordination of research programs: Associate Editor of Electronic Journal of Statistics.
Awards: Scor Price 2008
PhD students: 4 PhD students.
1. M. Rosenbaum Integrated volatility and round
2011.
off error, Bernoulli, 15 pp 687-720, 2009.
4. C.Y. Robert and M. Rosenbaum Volatility
2. M. Rosenbaum and P. Tankov Asymptotic reand covariation estimation when microstrucsults for time-changed Lévy processes samture noise and trading times are endogenous,
Mathematical Finance, 15 pp 687-720, 2012.
pled at hitting times, Stochastic Processes and
5. M. Hoffmann, M. Rosenbaum and N. Yoshida
Their Applications, 121 pp 1607-1632, 2011.
3. C.Y. Robert and M. Rosenbaum A new apEstimation of the lead-lag parameter from
proach for the dynamics of ultra high frequency
non-synchronous data, to appear in Bernoulli,
2011.
data: the model with uncertainty zones, Journal of Financial Econometrics, 9 pp 344-366,
Jessica TRESSOU
Age, situation: 34 years, female, married, two children
Current position: Chargée de recherche (Permanent researcher) at National Institute for Agronomic
Resaerch (INRA) since January 2007, Met@risk : Methodologies for Food Risk Analysis (Unité
1204).
14
Web: http://paris.inra.fr/metarisk/our team/tressou cosmao jessica
Fall 2011 Instructor at Columbia University, New Spring 2006 Program assistant, with Prof. Albert
Lo, HKUST
York, USA
2007–2009 Visiting scholar, Instructor (statistics 2004–2005 PhD student, INRA Met@risk, Paris,
France
courses), Hong Kong University of Sci2002–2003 PhD student, INRA Corela, Ivry-surence and Technology (HKUST)
Seine, France
Fall 2006 Postdoctoral fellow, with Prof. Albert
Lo, HKUST
Research interests: Food Risk Analysis, Extreme value Analysis, Simulation & Resampling Techniques,
U-Statistics, Bootstrap, Monte Carlo Markov Chains, Survival Analysis, Markovian Processes &
Regeneration, Bayesian Nonparametric Statistics, Statistical Learning.
Awards: ERS IASC Young Researchers Award, COMPSTAT, Prague, 2004.
the (pseudo-)regenerative method Extremes
1. P. Bertail, S. Clémençon & J. Tressou Re12(4), 327-360, 2009.
generative Block-Bootstrap Confidence Inter4. Bertail, P., S. Clémençon, S. & Tressou,
vals for Tails and Extremal Indexes SubmitJ. A Storage Model With Random Release
ted, 2012.
Rate For Modeling Exposure To Food Con2. Bertail, P., S. Clémençon & J. Tressou Statistaminants Mathematical Biosciences and Entical analysis of a dynamic model for food congineering 5(1), 35-60, 2008.
taminant exposure with applications to dietary
5. Tressou, J. Bayesian Nonparametrics for
methylmercury contamination Journal of BioHeavy Tailed Distribution. Application to
logical Dynamics 4(2), 212-234, 2010.
Food Risk Assessment Bayesian Analysis 3(2),
3. A. Bertail, P., S. Clémençon & J. Tressou Ex367-392, 2008.
treme value statistics for Markov chains via
Julien VEDANI
Age, situation: 25 years, male, single
Current position: PhD Student at Université Lyon 1 since March 2012, Laboratoire de Sciences Actuarielle et Financière.
2010–2012 Institut d’Etudes Politiques de Paris, 2007–2011 Ecole Nationale de la Statistique et
Master 2 in Finance and Strategy
de l’Administration Economique de
2010–2011 Actuarial Diploma, Ecole Nationale de
Malakoff, Master’s degree in Statistical
la Statistique et de l’Administration
and Economical Engineering
Economique de Malakoff
Research interests: The Own Risk and Solvency Assessment implementation, Monitoring solvency
through years, Multi-year Nested Simulations and its alternatives, Order statistics.
1. J. Vedani, L. Devineaul Solvency assessment
of margins to approximate the Net Asset Value
within the ORSA framework: issues and quanadversity order, in progress
titative methodologies, submited
3. J. Vedani, L. Devineau Permanent conformity
2. J. Vedani, S. Loisel Use of Net Present Value
within the ORSA framework , in progress
15

Flavia BARSOTTI Jean BÉRARD - Université Claude Bernard Lyon 1

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