Arthur Charpentier, blog

Arthur Charpentier Université Rennes 1 Faculté des Sciences Economiques 7, Place Hoche - 35065 Rennes Cedex, France mel: arthur.charpentier@univ-rennes1.fr blog: http://blogperso.univ-rennes1.fr/arthur.charpentier/index.php/ tel: (33)+2.23.23.35.61 fax: (33)+2.23.23.35.99
BLOG \| CV \| EXPERIENCE \| TEACHING \| CONFERENCES \| PUBLICATIONS \| SUPERVISION AREAS OF RESEARCH Copula theory, multiple risks models Extreme values, with applications in Finance and Insurance Option pricing, and numerical aspects Actuarial science and statistics of insurance Risk measures, capital allocation, diversification Time series and long range dependence STUDIES 2002-2006 PhD Thesis in Mathematics (Statistics), Katholieke Universiteit Leuven, supervisors Jan Beirlant (KUL) & Michel Denuit (UCL) Dependence structure and limiting results: some applications in finance and insurance bijgevoegde stelling Temporal dependencies for natural events Jury : J Beirlant, J Dhaene, M Denuit, A-L Fougères, I Gijbels, C Gouriéoux & W Schoutens Scor-Tillinghast award for the best PhD thesis in acturial science 1999-2000 Associated member of the Canadian Institute of Actuaries 1998-1999 Qualified member of the French Institute of Actuaries 1998-1999 Master degree in Mathematics applied to economics (DEA MASE), University Paris IX Dauphine 1996-1999 National School in Statistics and Economics (ENSAE) EXPERIENCE 2007-2008 Assistant Professor at the Falculty of Economics, Université de Rennes I 2006-2007 Assistant Professor in Statistics, at ENSAI 2002-2006 Assistant Professor in Finance and Actuarial Science, at Paristech-ENSAE (National School in Statistics) 2001-2002 Statistical Department of FFSA (French Federation of Insurance) 1999-2001 Actuary, assistant manager, AXA General Insurance Hong Kong 1999 Actuary GIE AXA (Actuariat central, non life insurance - Paris) 1998-1999 Research team, fixed income products - Exane (Broker - Paris) TEACHING ACTIVITIES 2008/2009 Course on Economics of uncertainty – Ecole Polytechnique 2009 (short) Course on Modeling Natural Catastrophes – Sao Paulo Summer School 2008/2009 Course on Nonlinear Econometrics – Fondation du Risque 2008/2009 Course on Aximatic of risk – University Rennes 1 (Master 2) 2008/2009 Course on Statistics of actuarial science – University Rennes 1 (Master 1) 2008/2009 Course on Multivariate Data Analysis – University Rennes 1 (Master 2) 2008/2009 Course on Advanced techniques in portfolio management – University Rennes 1 (Master 2) 2008/2009 Course on Economics of Finance – University Rennes 1 (Master 2) 2008/2009 Course on Economics (beyound linear) – University Rennes 1 (Master 1) 2008/2009 Course on Probability and Statistics – University Rennes 1 (Master 1) 2009 (short) Course on Claims reserving – internal training 2007/2008 A short introduction to R for econometrics - University Rennes I 2007/2008 Practicals in Econometrics - University Rennes I (M1) 2007/2008 Practicals in Statistics - University Rennes I (L3) 2007 (short) course R for actuaries, internal training 2007 Cours Sales Forecasting 2007 (short) course Risk management: risk measures, extremes and dependence, internal training, EdF 2007 (short) course Extremal dependence in insurance and reinsurance, internal training, SCOR 2007 (short) course Measuring and covering catastrophic risk, internal training, AXA University 2006/2007 Course on Auditing Insurance Companies – IGR, Master Finance (Master 2) 2006/2007 Course on Statistics for insurance – ISFA-Vietnam, Hô-Chi-Minh Ville, (Master 1) 2006/2007 Course on Extreme Value Theory and applications in insurance – IMA, Angers (Master 2) 2006/2007 Course on Risk measures, aggregation and diversification – ENSTA (Master 2) 2006/2007 Course on Financial Econometrics - IGR, Master Finance (Master 2) 2006/2007 Course on Markov processes - ENSAI (Master 1) 2006/2007 Practicals (R language) on Computer based techniques in statistics - ENSAI (Master 1) 2006/2007 Practicals on Statistical inference - ENSAI (Licence 3) 2006 Short course on Dependence in finance and insurance – Warsaw Summer School, Varsovie 2005/2007 Course on Option pricing - Institut de Gestion de Rennes – IGR, Master Finance (Master 2) 2005/2006 Course on Testing statistical assumptions – University Saint-Joseph de Beyrouth, Liban – Master 2006 Course on Risk measures – Formation continue Centre d’Etudes Actuarielles 2005/2006 Course on Reinsurance - University Paris I Sorbonne - Master Banque-Finance-Assurance (Master 2) 2005/2006 Course on Numerical techniques in Finance - ENSAI (Master 2) 2004/2006 Course on Extremal events and correlated risks - ENSAI (Master 2) 2004/2006 Cours de Hedging extremal events in insurance - ENSAE (Master 2) 2004 (Short) course on Advances Statistical Methods for Insurance - Samos Summer School 2003/2004 Course on Non-life insurance mathematics - ENSEA (Abidjan) - (Master 2) 2003/2005 Course on Extremal and correlated risks in insurance (with Christian Hess) - University Paris Dauphine 2003/2004 Seminar in Insurance Securitization in insurance - ENSAE (Master 2) 2002/2003 Practicals on Nonlinear Econometrics - ENSAE (Master 1) 2003/2006 Préparation au concours interne d’Administrateur INSEE Statistics and probability 2002/2006 Course on Non-life insurance mathematics: ratemaking and reserving (with F.Bucchini, AXA) - ENSAE 2001/2005 Course on Time Series: theory and applications - University Paris Dauphine (Master 2) 2002/2005 Practicals on Actuarial mathematics - University Paris IX Dauphine (Master 1) 2001/2002 Practicals on Linear time series - ENSAE (Master 1) CONFERENCES & SEMINARS Forthcoming conferences and seminars Fourth Brazilian Conference on Statistical Modelling in Insurance and Finance, Sao Paulo, April 2009 Previous conferences and seminars 'Tails of Archimedean copulas' International workshop on dynamic and multivariate risk measures, IHP, October 2008 'Ruin and reinsurance' 7th International Workshop on Rare Event Simulation, Rennes, September 2009, 'Solvency and Dependence' Summer School of the Groupe Consultatif Actuariel Européen: Enterprise Risk Management (ERM) and Solvency II, ISFA, Lyon, July 2008 'Aging of Archimedean copulas' International Workshop on Applied Probability, Université Compiègne, Juillet 2008 'Tails of Archimedean copulas' Grands risques et réassurance, Université Paris Dauphine, Juin 2008 'Tails of Archimedean copulas' Journées de statistiques SSC-SFdS, Ottawa, Canada, Mai 2008 Public Economics At the Regional and Local level in Europe, Rennes, Mai 2008, 'Nonparametric estimation of quantiles' Université Rennes 1, April 2008 'Princing risk, the interplay between finance and insurance' Université Nantes, April 2008 'Princing risk, the interplay between finance and insurance' Université Rennes 1, March 2008 'Copulas in insurance' Université Paris 6, March 2008 'Pricing catastrophe options' Actuarial and Financial Mathematics Conference (interplay between Finance and Insurance), Bruxelles, Belgique, Février 2008 Workshop: prospective mortality tables, longevity and mortality linked securities, Paris, Février 2008, 'Estimating quantiles and related risk measures’, niversiteit van Amsterdam, January 2007 'Estimating quantiles and related risk measures’, Université Toulouse I, GREMAQ, December 2007 ‘Dépendance des extrêmes et conséquences sur les modèles de solvabilté’, Conférence Solvabilité 2: les facteurs essentiels d'un modèle interne, Paris, September 2007 ‘Utilisation des copules et conséquences en allocation de capital’, Conférence Mesures de risque, dépendance stochastique et allocation de capital, Paris, June 2007 ‘Allocation optimale sous contrainte de minisation de Value-at-Risk’, Journées SfDS XXXVIVèmes Journées de statistique, Angers, June 2007 ‘Estimation nonparamétrique de quantiles’, Journées SfDS XXXVIVèmes Journées de statistique, Angers, June 2007 ‘Dependence between extremal events’, Imperial College, London, May 2007 ‘Estimation de densités de copules’, Groupe de travail, Université de Nanterre, Paris, March 2007 ‘Advances in copula density estimation’, Gemeinsame Jahrestagung der Deutschen Mathematiker-Vereinigung und der Gesellschaft für Didaktik der Mathematik, Multivariate Dependence Modelling using Copulas - Applications in Finance, Humboldt-Universität zu Berlin, March 2007 ‘Dépendance entre évènements extrêmes’, Séminaire de CES Paris 1, Université Paris I Sorbonne, ENS Cachan, Paris, March 2007 ‘Dépendance entre évènements extrêmes’, Séminaire de Statistiques, Université de Grenoble, March 2007 ‘Insurance and reinsurance of natural catastrophes’, Workshop on Insurance and Adaptation to Climate Change, Paris, March 2007 ‘An introduction to multivariate extremes’, Actuarial & Statistical Seminar, Hong Kong University, February 2007 ‘Actuariat et Data mining: prise en compte des dépendances’, Journées "Extraction et gestion des connaissances", Université de Namur, January 2007 ‘Dépendance entre évènements extrêmes’, Séminaire de Mathématiques Appliquées, Université de Compiègne, January 2007 ‘Estimating (properly) copula densities in tails’, Seminar, Universidad de Valparaiso, Chile, December 2006 ‘De l'intérêt des copules archimédiennes’, Conference Statistique et Assurance, Institut de Mathématiques Appliquées, Angers, November 2006 ‘Dépendance entre évènements extrêmes’, Séminaire de statistique ENSAI-Univ. Rennes I & Univ. Rennes II, Septembre 2006 ‘Quelques problèmes liés aux tables de mortalité, et quelques réponses actuarielles’, Groupe de travail Allongement de la vie - Assurance et santé, Paris Jourdain, Sciences Economiques, September 2006 ‘Tails of Archimedean copulas’, Conference I.M.E. (Insurance Mathematics and Economics) Leuven, July 2006 ‘Comportement limite des copules Archimédiennes’, Journées SfDS XXXVIIIèmes Journées de statistique, Clamart, May 2006 ‘Estimating (properly) copula densities in tails’, Séminaire de Statistique, Katholieke Universiteit Leuven, February 2006 ‘Quelques idées reçues sur les mesures de risque’, Institut de Mathématiques Appliqués, Angers, January 2006 ‘Estimation non-paramétrique des densités de copules’, Journées de Statistique Rennaise, Rennes, November 2005 ‘Estimating (properly) copula densities in tails’, Conférence Extreme Values, Copulas and Application Day (X-Day 1) Montréal, July 2005 ‘Can one model natural hazard independently ?’, Conference I.M.E. (Insurance Mathematics and Economics) Québec, July 2005 ‘Dépendance temporelle et spatiale des phénomènes climatiques’, seminar ENSAI Rennes, April 2005 ‘Les assureurs doivent-ils, peuvent-ils, savent-ils couvrir le risque de catastrophe naturelle ?’, Commission Dommage, Institut des Actuaires, March 2005 ‘Extrêmes et dépendance, une approche par copules’, conference STATDEP 2005, Statistics for dependent data, CREST, January 2005 ‘Modélisation des risques dépendants en assurance et en finance’, seminar Risque, incertain et décision, Université Paris 1, November 2004 ‘Extrêmes et dépendance, une approche par copules’ Journées de Statistique Rennaise, Rennes, October 2004 ‘Le risque de longévité et les tables de mortalité prospectives’ 1ère conférence AXA-ENSAE, Paris, October 2004 ‘Extremes and dependence, a copula approach’ 3rd Conference in Actuarial Science & Finance, Samos, Greece, September 2004 'Déformation des structures de dépendance : application en réassurance et en assurance décès', Séminaire du Laboratoire Finance-Assurance du CREST, June 2004 'Limiting dependence structure for credit defaults', Conference Dependence Modelling : Statistical theory and applications in Finance and Insurance, Québec, May 2004 'Distribution limite des structures de dépendance dans des processus de défauts', Journées SfDS XXXVIèmes Journées de statistique, Montpellier, May 2004 'Risques corrélés en assurance : vers une approche inférentielle’, Groupe de Travail Mathématiques du risque et de l’assurance, Univ. Paris Dauphine, May 2004 'Multivariate extreme values : limiting results for copulas' Seminar of the Institut de Statistique, Université Catholique de Louvain la Neuve, November 2003 'Dependence and tail distributions' Conference "Statistical Issues in Actuarial Risk Modelling: Dependence Modelling and Detrending" EURANDOM, Technische Universiteit Eindhoven, September 2003 'Tail distributions and dependence measures' Colloquium ASTIN (Actuarial Studies in Non-life Insurance) Berlin, August 2003 'Dependence and tail distributions' Conference I.M.E. (Insurance Mathematics and Economics) Lyon, June 2003 'Etude de la dépendance dans les queues de distribution' Seminar Sciences Actuarielles, UCL Louvain-la-Neuve, May 2003 'Rentes et corrélation', Séminaire Scientifique, FFSA, Paris, April 2003, with C.Partrat 'Gestion des risques multiples en assurance : introduction à la théorie des copulas' Groupe de Travail Finance CREST, Paris, November 2002 'Corrélation, solvabilité et tarification', Commission Dommage de la FFA, Paris, October 2001, with C.Partrat and C.Y.Robert 'Corrélation, solvabilité et tarification', journées d'étude de l'Institut des Actuaires, Biarritz, September 2001, with C.Partrat and C.Y.Robert 'Gestion globale des grands risques industriels', ASTIN, Paris, June 2000, with C.Chalin Referee & discutant Discussant of the PhD thesis of N. Benlagha, supervised by M Grun-Rehomme, Univ Paris II Organizer of the session ‘copulas', Conference SFdS-SCS, July 2008 Chairman of the session ‘risk management', Conference SFdS, June 2007 Chairman of the session ‘dependence in finance', Conference I.M.E. Leuven, July 2006 Chairman of the session ‘dependence models’, Conference I.M.E. Québec, July 2005 Discussant - Seminar A.F.F.I. (Association Française de Finance), Paris, December 2001 Referee for Stochastic Environmental Research and Risk Assessment, Theory and Decision, Insurance: Mathematics and Economics, Comptes Rendus de l'Académie des Sciences, Revue des Nouvelles Technologies de l'Information, Journal of Banking and Finance, Journal Canadien de Statistiques, Journal of Computational and Graphical Statistics, Journal of Multivariate Analysis, Bulletin Français d'Actuariat, Communications in Statistics: Theory and Methods, Quantitative Finance, The European Journal of Finance, Journal of the American Statistical Association PUBLICATIONS Books ‘Mathématiques de l’Assurance Non-Vie - Concepts fondamentaux de théorie du risque’, Tome 1 (2004), Economica, with M. Denuit ‘Mathématiques de l’Assurance Non-Vie - Tarification et provisionnement’, Tome 2 (2005), Economica, with M. Denuit Participation ‘L'Évaluation du préjudice corporel’, (2004) Litec, Annexes techniques, de le Roy,M. ‘L'Etat et l'assurance des risques nouveaux’, (2006) Documentation française, de G. Bentoglio et J.P. Betbeze ‘The estimation of copulas : theory and pratice’, in Copulas: from theory to application in finance, (2006), Risk Book, with J.D. Fermanian and O. Scaillet Accepted papers ‘Wind in Ireland: seasonality or long memory’ (2006), Stochastic Environmental Research & Risk Assessment, vol 20.3, pp 141-151, with J.C. Bouette, J.F. Chassagneux, D. and R. Terron ‘Limiting dependence structures for tail events, with applications to credit derivatives’ (2006), Journal of Applied Probability, 44, 563–586, with A. Juri ‘Insuring risks when pure premium is infinite ?’ (2006), Bulletin Français d'Actuariat, vol 7 (13), 67-82, ‘Convergence of Archimedean copulas’ (2006), Statistical and Probability Letters, 78, 412-419, ‘Lower tail dependence for Archimedean copulas: characterizations and pitfall’ (2006), with J.Segers, Insurance Mathematics and Insurance, 40, 525-532 ‘Dependance et datamining' (2007) Revue des Nouvelles Technologies de l'Information ‘Crédibilité:un pasteur et un philosophe à l'aide des actuaires' (2007) Risques, 71, 122-126, ‘Ajuster les tables de mortalité : le rôle des actuaires' (2007) Risques, 72, 127-130, ‘Insurability of climate risks' (2008) Geneva Papers on Risk and Insurance, 33, 91-104. ‘Dynamic flood modelling: Combining Hurst and Gumbel's approach’ (2009), with D. Sibaï, Environmetrics ‘Estimating allocations for Value-at-Risk portfolio optimization’ (2007), with A. Oulidi, Mathematical Methods of Operations Research. Proceedings 1. ‘Tail distribution and dependence measure’ (2003), Proceedings ASTIN Berlin. 2. ‘Extremes and dependence: a copula based approach’ (2004), Proceedings of the 3rd Conference in Actuarial Science & Finance in Samos. 3. 'Pricing catastrophe options in incomplete market', (2008), Proceedings of the Actuarial and Financial Mathematics Conference: Interplay between Finance and Insurance, 4. 'Optimal reinsurance under ruin probability target', (2008), Proceedings of the Rare Event Simulation Conference STUDENT SUPERVISOR - JURYS 2005/2006 Master thesis (Univ. Paris 1 Sorbonne): Pricing of cat options using Essher transform 2005/2006 Master thesis (Univ. Paris 1 Sorbonne): Distortion premium for large claims 2005/2006 Applied Statistics report (ENSAE Master 1): Global warming: trends and extremal events with E. Masse 2005/2006 Master thesis (ENSAE Master 2): Pricing cat options by utility indifference with R. Elie 2004/2005 Master thesis (ENSAE Master 2): Capital allocation 2004/2005 Master thesis (ENS Cachan, Master 1): Capacities and nonadditive measures in economics 2004/2005 Applied Statistics report (ENSAE Master 1): Prospective life tables (in France) 2003/2004 Stage de 2ème année (ENSAE, Master 2): Bounds on transforms of random vectors 2003/2004 Master thesis (ENSAE Master 2): Modeling flood events, with AC Favre 2003/2004 Applied Economics report (ENSAE Master 1): Non-expected utility models, with B. Menoni 2003/2004 Applied Statistics report (ENSAE Master 1): Modeling extremal events, the Neptune project 2002/2003 Applied Statistics report (ENSAE Master 1): Windspeed in ireland, from Haslett, J. and Raftery, A. E. (1989) 2004/2008 Member of the preselection jury for the Scor-Tillinghast price (best actuarial thesis) 2003/2006 Member of the Scientific Comission of the Institute of Actuaries 2003/2004 Member to the Groupe de Travail TELEMAQUE au Commissariat Général au Plan, 2003/2005 Member of the jury for the concours externe de l’ENA (Ecole Nationale d’Administration) 2002/2003 Member of the Jury of the Institut des Actuaires, ENSAE, Université Paris 9 Dauphine and ISUP.