Academic Vita

EXPERIENCES

QUALIFICATIONS

PROFESSIONAL DESIGNATIONS

AWARDS

  • Kulp-Wright book award granted by the American Risk and Insurance Association for «Extreme Financial Risks and Asset Allocation», Boston, 2016
  • Best Paper Award, AFIR/ERM conference, Sydney, 2015
  • Best Paper Award, International Congress of Actuaries, Cape Town, 2010
  • Best Paper Award in Derivatives at the Eastern Finance Association conference, New Orleans, 2007
  • Best Paper Award in the North American Actuarial Journal in 2006
  • Best Paper Award in Revue Finance in 2005
  • Ph.D. Award (SCOR Prize), 2004

BOOKS, BOOK TRANSLATIONS, AND BOOK CHAPTERS

  • « Probability Theory. Key Concepts and Tools for SOA Exam P & CAS Exam 1 », CreateSpace Independent Publishing Platform, 2018
  • Book chapter titled « Lévy processes and extreme value theory » co-authored with Christian Walter and published in « Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications », edited by François Longin, Wiley, p. 171-193, 2016
  • « Extreme Financial Risks and Asset Allocation », with Christian Walter, Imperial College Press, 2014
  • « Risques Financiers Extrêmes et Allocation d’Actifs », with Christian Walter, Economica, 2012
  • Book chapter titled « Sur la théorie de la ruine » and published in « Nouvelles normes financières », edited by Christian Walter, Springer, p. 43-58, 2010
  • Translation from the Italian to the French of « Assurance-Vie. Evaluation des Contrats et des Portefeuilles » by Annamaria Olivieri and Ermanno Pitacco, Pearson, sponsored by SCOR, 2008

PUBLISHED AND FORTHCOMING ARTICLES

  • « Health and Portfolio Choices: a Diffidence Approach », with D. Crainich and L. Eeckhoudt, European Journal of Operational Research, Vol. 259, N°1, p. 273-279, 2017
  • « Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with the least-squares Monte Carlo method », with A. Floryszczak and M. Majri, Insurance: Mathematics and Economics, Vol. 71, p. 15-26, 2016
  • « Portfolio Optimisation with Jumps: Illustration with a Pension Accumulation Scheme », with F. Menoncin, Journal of Banking and Finance, Vol. 60, p. 127-137, 2015
  • « An Intensity Model for Credit Risk with Switching Lévy Processes », with D. Hainaut, Quantitative Finance, Vol. 14, N°8, p. 1453-1465, 2014
  • « Decreasing Downside Risk Aversion and Background Risk », with D. Crainich and L. Eeckhoudt, Journal of Mathematical Economics, Vol. 53, 2014
  • « The Computation of Risk Budgets under the Lévy Process Assumption» with C. Walter, Revue Finance, Vol. 35, N°2, 2014
  • « On Surrender and Default Risks », with H. Nakagawa, Mathematical Finance, Vol. 23, N°1, p. 143-168, 2013
  • « On the Bankruptcy Risk of Insurance Companies », with R. Randrianarivony, Revue Finance, Vol. 34, N°1, p. 43-72, 2013
  • « Concentration des portefeuilles boursiers et asymétrie des distributions de rentabilités d’actifs », with C. Walter, Journal de la Société Française de Statistiques, Vol. 153, N°2, p. 1-20, 2012
  • « Asset Risk Management of Participating Contracts », with C. Bernard, Asia-Pacific Journal of Risk and Insurance, Vol. 6, N°2, 2012
  • « Performance Regularity: a New Class of Executive Compensation Packages », with C. Bernard, Asia-Pacific Financial Markets, Vol. 19, N°4, p. 353-370, 2012
  • « Protection of Participating Policies in a Market-Based Framework », with C. Bernard and F. Quittard-Pinon, North American Actuarial Journal, Vol. 14, N°1, p. 131-149, 2010
  • « Fair Valuation of Participating Life Insurance Contracts with Jump Risk », with F. Quittard-Pinon, Geneva Risk and Insurance Review, Vol. 33, N°2, p. 109-136, 2008
  • « Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment », with C. Bernard and F. Quittard-Pinon, Journal of Economic Dynamics and Control, Vol. 32, N°9, p. 2903-2938, 2008
  • « The Optimal Capital Structure of the Firm with Stable Lévy Assets Returns », with F. Quittard-Pinon, Decisions in Economics and Finance, Vol. 31, N°1, p. 51-72, 2008
  • « Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model », with F. Quittard-Pinon, Asia-Pacific Financial Markets, Vol. 13, p. 11-39, 2006
  • « Development and Pricing of a New Participating Contract », with C. Bernard et F. Quittard-Pinon, North American Actuarial Journal, Vol. 10, N°4, p. 179-195, 2006
  • « Le Point Sur… Les Options Parisiennes et leurs Applications », with C. Bernard, Banque et Marchés, N° 82, p. 81-90, 2006
  • « A New Procedure for Pricing Parisian Options », with C. Bernard and F. Quittard-Pinon, Journal of Derivatives, Vol. 12, N°4, p. 45-53, 2005
  • « Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk », with C. Bernard and F. Quittard-Pinon, Insurance: Mathematics and Economics, Vol. 36, N°3, p. 499-516, 2005
  • « A Study of Mutual Insurance for Bank Deposits », with C. Bernard and  F. Quittard-Pinon, Geneva Risk and Insurance Review, Vol. 30, N°2, p.129-146, 2005
  • « Evaluation en Fair Value de Contrats Participatifs », with C. Bernard and F. Quittard-Pinon, Revue Finance, Vol. 26, N°1, p.73-107, 2005
  • «  Measure Changes in Finance and Insurance », with F. Quittard-Pinon, Revue Finance, Vol. 25, N° Spécial, p. 95-120, 2004
  • « Changes of Probability Measures for Finance », with F. Quittard-Pinon, Finance India, Vol. 18, N° Spécial, p. 611-624, 2004
  • « Evaluation Numérique des Options Parisiennes », with C. Bernard and  F. Quittard-Pinon, Banque et Marchés, N° 69, p. 30-37, 2004
  • « Modelling Stock Returns with Lévy Processes », Banque et Marchés, N° 66, p. 36-46, 2003

CONFERENCES

  • INFORMS Annual Meeting, “Structural pricing of COCOs and deposit insurance with regime switching and jumps”, Houston, October 22-25, 2017
  • 16th International Conference on Finance and Banking, Keynote Speech, “Solvency 2 Regulation: Goals, Methods and Challenges”, Ostrava, October 11-12, 2017
  • 16th FRAP-Perspectives Conference, “Structural pricing of COCOs and deposit insurance with regime switching and jumps”, Cambridge, September 24-26, 2017
  • AFIR/ERM, “A SAHARA-CPT Framework for Own Risk and Solvency Assessments”, Panama, August 21-24, 2017
  • Academic Forum on the IAIS Insurance Capital Standard (IAIS-SRM), “Credit Solvency Capital Requirements”, New York, December 9, 2016
  • IFRS – Basle – Solvency Colloquium, “Credit Solvency Capital Requirements”, Lille, December 1-2, 2016
  • Joint Statistical Meeting, Participation in the “Credibility Analysis: Theory, Practice and Evolution” Panel, Chicago, July 30 – August 4, 2016
  • 51st Actuarial Research Conference, “q-credibility”, Minneapolis, July 27-30, 2016
  • 20th International Congress on Insurance: Mathematics and Economics, “Credit Solvency Capital Requirements” Atlanta, July 24-27, 2016
  • Journées Internationales du Risque, « q-credibility » and « Credit Solvency Capital Requirements », Niort, June 9-10, 2016
  • AFIR/ERM, “Credit Solvency Capital Requirements”, Edinburgh, May 30 – June 2, 2016
  • 33rd International Conference of the French Finance Association, “Credit Solvency Capital Requirements”, Liège, May 23-25, 2016
  • Mathematical and Statistical Methods for Actuarial Sciences and Finance, “q-credibility”, Paris, March 30 – April 1, 2016
  • AFIR/ERM, “Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach”, Sydney, August 23-27, 2015
  • 3rd World Risk and Insurance Economics Congress, “Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach”, München, August 2-6, 2015
  • 19th International Congress on Insurance: Mathematics and Economics, “q-Credibility”, Liverpool, June 24-26, 2015
  • 32nd International Conference of the French Finance Association, “Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach”, Paris, June 1-3, 2015
  • 14th FRAP-Perspectives Conference, “The Tempered Multistable Approach and Asset Return Modeling”, Oxford, September 23, 2014
  • 18th International Congress on Insurance: Mathematics and Economics, “The Tempered Multistable Approach and Asset Return Modeling” Shanghai, June 10-12, 2014
  • 8th World Congress of the Bachelier Finance Society, “The Tempered Multistable Approach and Asset Return Modeling” Brussels, June 2-6, 2014
  • Journées Internationales du Risque, « An Index of (Absolute) Correlation Aversion : Theory and Some Implications », Niort, June 12-13, 2014
  • Quantitative Methods in Finance (QMF) Conference, “Portfolio Optimization with Jumps: Illustration with a Pension Accumulation Scheme”, Sydney, December 17-20, 2013
  • XXVI EURO – INFORMS 26th European Conference on Operational Research, “Portfolio Optimization with Jumps: Illustration with a Pension Accumulation Scheme”, Roma, July 1-4, 2013
  • Risk and Choice: a Conference in Honor of Louis Eeckhoudt, “On Prudence, Temperance, and Monoperiodic Portfolio Optimization”, TSE, Toulouse, July 12-13, 2012
  • 2nd Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM), “On Portfolio Optimization with Levy Processes”, Tsukuba, July 9-14, 2012
  • 16th International Congress on Insurance: Mathematics and Economics, “Management of Pension Funds when Asset Returns are Driven by Lévy Processes”, Hong-Kong, June 28-30, 2012
  • 29th International Conference of the French Finance Association, “Management of Pension Funds when Asset Returns are Driven by Lévy Processes”, Strasbourg, May 14-16, 2012
  • 4th Workshop on Risk Management and Insurance, “A Study on Value-at-Risk and Lévy Processes”, Sevilla, October 20-21, 2011
  • 15th Annual Conference of the Asia-Pacific Risk and Insurance Association, “Asset Risk Management of Participating Contracts”, Tokyo, July 31 – August 3, 2011
  • Asian Finance Association, “A Study on Value-at-Risk and Lévy Processes”, Macau, July 10-13, 2011
  • Journées Internationales du Risque, “A Study on Value-at-Risk and Lévy Processes”, Niort, May 26-27, 2011
  • 2nd World Risk and Insurance Economics Congress, “Performance regularity : A New Class of Executive Compensation Packages”, Singapore, July 25-29, 2010
  • 27th International Conference of the French Finance Association, “Performance regularity: a new class of executive compensation packages”, Saint-Malo, May 10-12, 2010
  • 29th International Congress of Actuaries, “On Surrender Risk and the Default of Insurance Companies” and “Lévy-VaRs and Basle Multipliers”, Cap Town, March 7-12, 2010
  • 13th Annual Conference of the Asia-Pacific Risk and Insurance Association, “On Surrender Risk and the Default of Insurance Companies” and “On the Bankruptcy Risk of Insurance Companies”, Beijing, July 19-22, 2009
  • 13th International Congress on Insurance: Mathematics and Economics, Istanbul, “On credit and surrender risks in insurance companies” and “Lévy-VaRs and Basle Multipliers”, May 26-29, 2009
  • Risk Management in Financial Institutions, “Protection of Life Insurance Companies in a Market-Based Framework”, Nantes, April 23-25, 2009
  • 12th International Congress on Insurance: Mathematics and Economics, “On the Market Value of Safety Loadings”, Dalian, July 16-18, 2008
  • Nippon Finance Association (ASFA-NFA), « Assessing the Market Value of Safety Loadings », Yokohama, July 6-9, 2008
  • 12th Annual Conference of the Asia-Pacific Risk and Insurance Association, “Assessing the Market Value of Safety Loadings”, Sydney, July 6-9, 2008
  • 25th International Conference of the French Finance Association, “On the Market Value of Safety Loadings”, Lille, May 20-22, 2008
  • Eastern Finance Association Annual Meeting, “Assessing the Market Value of Safety Loadings”, Florida, April 9-12, 2008
  • 41st Euro-Working Group in Financial Modeling (EWGFM) Meeting, “Assessing the Market Value of Safety Loadings”, Lisbon, November 8-10, 2007
  • 11th International Congress on Insurance: Mathematics and Economics, “Ruin Theory with Stable and Double Exponential Lévy Processes”, Athens, July 10-12, 2007
  • European Financial Management Association Annual Meeting, “Pricing Derivatives with Barriers in a Stochastic Interest Rate  Environment”, Vienna, June 17-30, 2007
  • Eastern Finance Association Annual Meeting, “Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment”, New Orleans, April 18-21, 2007
  • 41st Western Risk and Insurance Association Annual Meeting, “Assessing the Market Value of Safety Loadings”, San Diego, January 3-6, 2007
  • 14th Paris December Finance Meeting, “Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model”, Paris, December 19-20, 2006
  • 33rd Seminar of the European Group of Risk and Insurance Economist (EGRIE), “Assessing the Market Value of Safety Loadings”, Barcelona, October 18-20, 2006
  • 4th Bachelier Finance Society World Congress, Tokyo, August 17-20, 2006
  • 23th International Conference of the French Finance Association, Poitiers, June 26-27, 2006
  • 9th International Congress on Insurance: Mathematics and Economics, Québec, July 6-8, 2005
  • 36th Euro-Working Group in Financial Modeling (EWGFM) Meeting, “Market Value of Life Insurance Contracts and Barrier Derivatives under Stochastic Interest Rates and Default Risk”, Brescia, May 5-7, 2005
  • 22nd International Conference of the French Finance Association, Paris-la-Défense, June 27-28, 2005
  • 7th Spanish-Italian Meeting on Financial Mathematics, Cuenca, July 8-9, 2004
  • 21st International Conference of the French Finance Association, Cergy-Pontoise, June 24-26, 2004
  • 8th International Congress on Insurance: Mathematics and Economics, Rome, June 14-16, 2004
  • XXIèmes Journées Internationales d’Economie Monétaire et Bancaire, Nice, June 10-11, 2004
  • 11th Paris December Finance Meeting, “A Study of the Mutual Insurance of Bank Deposits”, Paris, December 18-19, 2003
  • International Society for Intercommunication of New Ideas (ISINI) International Conference, Lille, August 20-23, 2003
  • 20th International Conference of the French Finance Association, “A Structural Model with Jumps of Both Signs”, Lyon, June 23-25, 2003
  • 7th International Congress on Insurance: Mathematics and Economics, “Finite Time Ruin Probabilities with Lévy Stable Processes” Lyon, June 25-27, 2003
  • International Meeting Tunisia, “Changes of Probability Measures in Finance and Insurance”, Hammamet, March 13-15, 2003
  • 10th Paris December Finance Meeting, “One Century of Lévy Processes in Finance” Paris, December 12, 2002

WORKSHOPS AND SEMINARS

  • ECNU-University of Lyon Joint Workshop on Innovation, Finance and Marketing, “Structural pricing of COCOs and deposit insurance with regime switching and jumps”, Shanghai, November 19, 2017
  • emlyon business school (2017 France-China Symposium on Management Science), “Structural pricing of COCOs and deposit insurance with regime switching and jumps”, Lyon, July 4, 2017
  • Manchester Business School, “Credit Solvency Capital Requirements”, Manchester, October 5, 2016
  • CORE, “Credit Solvency Capital Requirements”, Louvain La Neuve, September 23, 2016
  • University of Villetaneuse, “q-Credibility”, Villetaneuse, April 13, 2016
  • Illinois State University, “q-Credibility” and “Profit Testing of Life Insurance Companies”, Normal, February 23, 2016
  • University of Lille 1, “Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach”, Lille, February 9, 2016
  • Ludwig-Maximilians-Universität, “q-Credibility”, München, January 18, 2016
  • Cass Business School, “Inside the Solvency 2 Black Box: Net Asset Values and Solvency Capital Requirements with a Least-Squares Monte-Carlo Approach”, London, February 4, 2015
  • Colloque SMABTP, “Type de Processus Aléatoire, Pertinence des Benchmarks et Risque Systémique”, Paris, November 20, 2013
  • ESSEC, “The Tempered Multistable Approach and Asset Return Modeling”, Paris, November 25, 2013
  • Colloque SMABTP, “Finance discontinue : Nouvelles méthodes de gestion des risques, nouveaux enjeux de régulation ? ”, Paris, October 26, 2011
  • University of Lyon 2, “Performance regularity: a new class of executive compensation packages”, January 21, 2011
  • Taiwan Insurance Institute, “Why Ruin Theory Fails in Practice”, Taipei, July 23, 2010
  • National Chengchi University, “A Study on Value-at-Risk and Lévy Processes”, Taipei, July 22, 2010
  • 8th RiskLab-Madrid Meeting on Financial Risks, “Lévy VaR with ALaM processes”, Madrid, September 17, 2009
  • University of Hitotsubashi, “Value at Risk with ALaM processes”, Tokyo, July 17, 2009
  • University of Kyoto, “Lévy-VaR and the Protection of Banks and Insurance Companies”, Kyoto, July 15, 2009
  • University of Lille 2, “Lévy-VaR and Basle Multipliers”, Lille, May 11, 2009
  • GATE, University of Lyon 2, “Risk-Neutral and Actual Default Probabilities with an Endogenous Bankruptcy Jump-Diffusion Model, Lyon”, April 2006
  • Risk-Lab Madrid, Universidad Autónoma de Madrid, “Market Value of Life Insurance Contracts and Barrier Derivatives under Stochastic Interest Rates and Default Risk”, April 20, 2005
  • University of Paris 1 – Sorbonne, “A Study of the Mutual Insurance of Bank Deposits”, Paris, October 2004
  • University of Brescia, “A Study of the Mutual Insurance of Bank Deposits”, Brescia, February 2004
  • ESSEC, “A Structural Model with Jumps of Both Signs”, Cergy, November 2003
  • Lyon–Lausanne Seminar in Finance and Insurance, “A Structural Model with Jumps of Both Signs”, Lausanne, November 2003
  • University of Grenoble, “A Structural Model with Jumps of Both Signs”, Grenoble, October 2003
  • Paris–Dijon–Lyon Seminar in Management, “A Structural Model with Jumps of Both Signs”, Dijon, May 2003
  • Lyon–Lausanne Seminar in Finance and Insurance, “One Century of Lévy Processes in Finance”, Lyon, October 2002
  • Paris–Dijon–Lyon Seminar in Management, “One Century of Lévy Processes in Finance”, Paris, June 2002

ORGANIZATION OF EVENTS

  • Quant 12 Seminar, Lyon, November 2015
  • Association Française de Finance (AFFI) Conference, May 2013
  • First French Inter-Business Schools Seminar in Finance, February 2010
  • CEFRA internal seminars. Since 2007
  • « New Trends in Finance and Risk Management » seminar between 2004 and 2006; since 2007: CEFRA workshops
  • Jacques Cartier Colloquium on Pensions, December 2006

PhD SUPERVISION

GRADUATED PHD STUDENT:

  • Li Shen, “Trois essais sur la profitabilité et les risques des compagnies d’assurance-vie”, June 27, 2017

CURRENT PHD STUDENTS:

  • Xia Xu, Asset Allocation
  • Xiaoshan Su, CoCos and Life Insurance

MEMBER OF PhD (DBA) COMMITTEES

  • Abderrahim Ben Jazia, “Flexible Public Private Partnerships: a real-option-based optimization approach”, September 22, 2017, University of Aix-Marseille (referee)
  • Christopher Myers (DBA), « Essays Surrounding Enterprise Risk Management’s Influence on Risk Tolerance, Value and Performance », 2017, Alliance Manchester Business School (external referee)
  • Paul Zimmermann, « On the hybrid nature of convertible bonds », 2015, University of Paris 1 – Panthéon Sorbonne (referee)
  • Eric André, « Trois essais sur la généralisation des préférences moyenne–variance à l’ambiguïté », December 8, 2014, University of Aix-Marseille (referee)
  • Hai Nam Nguyen, « Contributions to Credit Risk and Interest Rate Modeling »,  January 6, 2014, Université d’Evry-Val-d’Essonne (referee)
  • Sélim Mankai, « Essais sur les politiques de capitalisation, d’investissement et de gestion des risques des sociétés des sociétés d’assurance non-vie », December 5, 2013, Université de Paris Ouest Nanterre la Défense (referee)
  • Bertrand Tavin, « Trois essais en finance de marché »,  November 7, 2013, Université de Paris 1 – Panthéon Sorbonne (referee)
  • David Roubaud, « Options Réelles et Ambiguïté »,  December 6, 2011, University of Aix-Marseille
  • Stefan Macovschi, « Aspects Quantitatifs pour la Gestion de Position en Finance de Marché », May 19, 2005, University Lyon III

LANGUAGES

  • French
  • English
  • Spanish
  • Japanese