Multivariate Data-based Risk Measures
In [12], the concept of natural risk statistics is introduced as a data-based risk measure, i.e. as an axiomatic risk measure defined in...
19th Congress on Insurance Mathematics and Economics - Liverpool, UK
I attended and give a contributed talk in this congress. IME is the leading congress in the field of insurance mathematics.
Trend Detection Using a Statistical Learning Algorithm: An Exercice in Algorithmic Trading
In partnership with a private broker, we explored various machine learning methods in order to produce a trend-detecting algorithm that...
Identifying Structural Regime Changes with Self-Organizing Maps in Financial Markets
In partnership with CIBC Asset Management, we explored the applications of Self-organizing maps in detecting macro-economical regime...
On the Price of Risk of the Underlying Markov Chain in a Regime-Switching Exponential Lévy Model
Regime-switching models (RSM) have been recently used in the literature as alternatives to the Black-Scholes model. Several authors favor...
18th Congress on Insurance Mathematics and Economics - Shanghai, China
I attended and presented a contributed talk at this congress.
Introducing Non-ruin Quantities in Collective Risk Theory
My current research program in Ruin Theory includes exploring non-ruin quantities as proxies for risk. Quantities like drawdowns can be...
Lévy Insurance Risk Processes
We study general risk models where the aggregate claims, as well as the premium function, evolve by jumps. This is achieved by...
2013 Bernoulli Society Satellite Meeting to the ISI World Statistics Congress - Tokyo, Japan.
Invited talk at this satellite meeting in Tokyo, Japan.
