Research Interests

As a researcher with expertise at the interplay between insurance and finance, my research agenda is driven by a passion for innovative and practical solutions to complex insurance and financial problems. I am particularly intrigued by the use of statistical learning for the pricing and hedging of insurance liabilities, as well as the incorporation of emerging risks into mortality modeling, such as those presented by global pandemics and climate change. My work aims to enhance the robustness and adaptability of actuarial models in the face of these challenges.

Here are some recent topics:

Current and recent projects

Our current research project challenges the conventional assumption that investment strategies for participating life insurance are exogenous. We delve into the dynamic nature of asset management by considering how insurers might adjust their investment tactics in response to fluctuations in liability values and asset-liability ratios. Our study sheds light on the impacts of endogenous investment strategies on contract valuations and solvency risks.

Furthermore, we aim to propose a data-driven method that leverages neural networks to identify optimal hedging strategies for these contracts. This innovative approach promises to reveal critical insights into the nuanced differences between exogenous and endogenous liabilities in life insurance. Stay tuned for more on this exciting venture!

Collaborator: Peter Hieber

 

Standard age-period-cohort mortality models such as the Lee-Carter model do not allow for pandemic jumps. Models with jumps in the literature either assume transitory effects of one year only or permanent effects. In this paper, we propose an extension of the Lee-Carter model with vanishing jumps and using COVID-19 data, we show that such approach outperforms the Liu-Li approach which considers transitory jumps.

Preprint on Bayesian mortality modelling with pandemics: a vanishing jump approach

Collaborators: Julius Goes and Anne Leucht

 

Selection of an appropriate longevity model and detection of abrupt changes in longevity dynamics is critical for the insurance industry.

In the first part of this project, we investigate the model choice issue by the use of regularization and bayesian statistics.

In the second part of the project, we tackle the change-point detection problem for longevity trends and for multi-sensors (corresponding to monitoring of different age groups or different classes of policyholders). A sudden change in the longevity trend can induce serious financial consequences, and it is necessary to react as soon as data would suggest it. The specific context of COVID-19, and its potential impact on longevity trend will also be covered. Therefore, we will provide optimal surveillance strategies suited for longevity risk.

Collaborators: Nicole El Karoui, Pierre-Olivier Goffard, Stephane Loisel and Yahia Salhi

 

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.

Published paper on Pricing equity-linked life insurance contracts with multiple risk factors by neural networks

Collaborator: Lukasz Delong

 

Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the preferences represented by the regulatory risk measure are not reflected in the hedging process. We address this issue by an alternative two-step hedging procedure, based on generalised regression arguments, which leads to portfolios that are neutral with respect to a risk measure, such as Value-at-Risk or the expectile. First, a portfolio of traded assets aimed at replicating the liability is determined by local quadratic hedging. Second, the residual liability is hedged using an alternative objective function. The risk margin is then defined as the cost of the capital required to hedge the residual liability. In the case quantile regression is used in the second step, yearly solvency constraints are naturally satisfied; furthermore, the portfolio is a risk minimiser among all hedging portfolios that satisfy such constraints. We present a neural network algorithm for the valuation and hedging of insurance liabilities based on a backward iterations scheme. The algorithm is fairly general and easily applicable, as it only requires simulated paths of risk drivers.

Published paper on Insurance valuation: a two-step generalized regression approach

Collaborators: Valeria Bignozzi and Andreas Tsanakas

 

Work in progress

Working papers

Publications

Open-source software
 

Creator and maintainer of the R package StanMoMo, an advanced tool for Bayesian Mortality Modelling using Stan, developed in joint collaboration with Pierre-Olivier Goffard.

Key features of StanMoMo:

  • Robust estimation and forecasting capabilities for popular mortality models, including the Lee-Carter, APC, CBD, and their extensions, all within a comprehensive Bayesian framework. This allows users to incorporate prior knowledge and quantify uncertainty in a principled way.
  • Innovative model averaging techniques that employ leave-future-out validation, which is an out-of-sample validation method. This is particularly useful for enhancing model predictive performance and reliability.
  • Dedicated functions for conducting extensive simulation studies, enabling users to validate model assumptions and performance in a controlled setting.

StanMoMo is designed to empower actuaries, demographers, and researchers with sophisticated tools for analyzing and predicting mortality trends, a critical component in the fields of insurance, pension planning, and public health.

 
Reviewer
 

Peer-reviewer for Journal of Statistical Software, Insurance: Mathematics and Economics, Scandinavian Actuarial Journal, North American Actuarial Journal, ASTIN Bulletin, Annals of Actuarial Science, European Actuarial Journal, Risks, Financial Innovation, Decisions in Economics and Finance, Forecasting, Quarterly Review of Economics and Finance, Acta Applicandae Mathematicae, International Journal of Environmental Research and Public Health.