CV
I am an assistant pofessor at Laboratoire Jean Kuntzman (LJK) and teach at Ensimag, both in the city of Grenoble.
At LJK, my research focuses on actuarial science with an emphasis on non-life insurance, extreme risks, generalized linear models.
I maintain 15 R packages, either as single author or as a co-author, see published software list and resources.
I am supervising two PhD students and many master students, see student list.
At Ensimag, my courses are about probability and statistics (L3 level), linear models, stochastic processes with application to finance
in discrete and continuous time (M1 level), financial time series modeling, risk measures and stochastic models for unit-linked securities (M2 level), see teaching list.
Professional Experience
- 2022 - present at LJK and Ensimag,
Grenoble INP,
UGA:
assistant professor.
- 2017 - 2022 at CEREMADE and
MIDO,
Université Paris Dauphine:
assistant professor.
- 2013 - 2017 at LMM
and IRA,
Université du Mans: assistant professor.
- 2012 - 2013 at IRMA,
Université de
Strasbourg: assistant professor.
- 2012 - 3 months at ISFA,
Université Lyon 1 and HEC,
Université de Lausanne: post-doc position.
- 2008-12 - 4 years at AXA Group Risk Management: in the P&C
Economic Capital and Value modelling, in charge of various actuarial
tool developments for non life insurance (without mentioning the Ph.D.
thesis).
- 2007 - Research memoir/internship (4.5 months)
at Université Laval (Québec city, Canada): research memoir on optimal
reinsurance, paper writing, contribution to the R package actuar.
- 2006 - Internship (2 months) at JPMorgan
(Bournemouth, UK): IT project management support and script developer.
Education
- 2023: ILB Research fellow
in
the academic college.
- 2021: HDR thesis in mathematics at Paris Dauphine | PSL
entitled: 'Some statistical and game-theoretic models with an actuarial perspective',
pdf.
- 2014: certified member of the French Institute of Actuaries1.
- 2013: qualification in the 26th section of the CNU
and qualification of the French
Institute of Actuaries1.
- 2009-2012: Ph.D. thesis in actuarial science, collaboration
between ISFA2 and AXA GRM:
Thesis title: 'Studying non-life insurance markets with Nash equilibria and dependent risk models',
Advisors: Stéphane
Loisel and Véronique
Maume-Deschamps, Slides presentation file
and printable version,
Abstract,
Thesis,
Errata.
- 2011: Awarded the French
actuary1 diploma: Abstract,
Memoir.
- 2007-2008 - Professional Master SAF at ISFA2,Lyon:
working group on securitization of insurance risks.
- 2006-2007 - Research Master SAF at ISFA2, Lyon:
research memoir on optimal reinsurance,
working group on climate derivatives [in French].
- 2004-2007 - a 3-year engineering school at ENSIMAG3,
Grenoble
- 2002-2004 - a 2-year university level school at CPP4,
Grenoble
- 2002: Awarded the Baccalauréat Général
- majoring in Sciences with high honours.
1 - what is an actuary?
2 - Institut de Science Financière et
d'Assurances [institute of financial and actuarial sciences,
leading to the French actuary diploma]
3 - Ecole
Nationale Supérieure d'Informatique et de
Mathématiques Appliquées de Grenoble [a French
engineering school of computer science and applied
mathematics],
4 - Cycle Préparatoire
Polytechnique [a French '
classe
prepa'
preparing for engineering schools]