Research Interests
My research lies at the interplay between actuarial science and quantitative finance. From the study of stochastic processes to the statistical analysis of real-world problems.
Here are some recent topics:
- Pricing and hedging in incomplete markets.
- Longevity modelling and model uncertainty.
- Statistical learning for life insurance.
Ongoing projects
Selection of an appropriate longevity model and detection of abrupt changes in longevity dynamics is critical for the insurance industry. In this project, we investigate the model choice issue by the use of regularization and bayesian statistics. Regularization is a great tool to reduce overfitting and bayesian statistics allows to account for parameter and model uncertainty.
Published paper on Smoothing and forecasting mortality using regularization and cross-validation
Working paper on Bayesian model averaging for mortality forecasting using leave-future-out validation
Collaborators: Yahia Salhi, Stephane Loisel and Pierre-Olivier Goffard
Pricing life insurance contracts with financial death and survival guarantees boils down to solving a high-dimensional pricing problem. In this project, we show that the price is the solution of a multi-dimensional partial differential equation in continuous time. By using the connection between PDE and BSDE, we solve the problem numerically by deep neural networks.
Collaborator: Lukasz Delong
Hedging insurance and financial products is typically a dynamic problem where hedging positions and insurance valuations have to be determined at different points in time. In this context, it is important that the different valuations are consistent with each other, what is called time-consistency. Moreover, to appropriately account for the risk in the tails, we make use of quantile hedging.
Collaborators: Valeria Bignozzi and Andreas Tsanakas
Working papers
- Barigou, K., Goffard P-O., Loisel S., Salhi Y. (2021). Bayesian model averaging for mortality forecasting using leave-future-out validation. arXiv:2103.15434
- Barigou, K., Bignozzi, V., & Tsanakas, A. (2020). Insurance valuation: A two-step generalised regression approach. arXiv preprint arXiv:2012.04364.
- Barigou, K., & Delong, L. (2020). Pricing equity-linked life insurance contracts with multiple risk factors by neural networks. arXiv preprint arXiv:2007.08804.
Publications
- Barigou, K.; Loisel, S.; Salhi, Y. Parsimonious Predictive Mortality Modeling by Regularization and Cross-Validation with and without Covid-Type Effect. Risks 2021, 9, 5.
- Delong, Ł., Dhaene, J., & Barigou, K. (2019). Fair valuation of insurance liability cash-flow streams in continuous time: Applications. ASTIN Bulletin: The Journal of the IAA, 49(2), 299-333.
- Delong, Ł., Dhaene, J., & Barigou, K. (2019). Fair valuation of insurance liability cash-flow streams in continuous time: Theory. Insurance: Mathematics and Economics, 88, 196-208.
- Barigou, K., Chen, Z., & Dhaene, J. (2019). Fair dynamic valuation of insurance liabilities: Merging actuarial judgement with market- and time-consistency. Insurance: Mathematics and Economics, 88, 19-29.
- Barigou, K., & Dhaene, J. (2019). Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting. Scandinavian Actuarial Journal, 2019(2), 163-187.
- Dhaene, J., Stassen, B., Barigou, K., Linders, D., & Chen, Z. (2017). Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency. Insurance: Mathematics and Economics, 76, 14-27.
Open-source software
Creator and maintainer of the R package StanMoMo for Bayesian Mortality Modelling with Stan. Joint collaboration with Pierre-Olivier Goffard.
Reviewer
Peer-reviewer for Insurance: Mathematics and Economics, North American Actuarial Journal, European Actuarial Journal, Acta Applicandae Mathematicae, International Journal of Environmental Research and Public Health (All verified by Publons).