I am currently a visiting researcher at the CMAP (Ecole Polytechnique), supported by the ERC project SINGER of S. Méléard.

Research topics: Stochastic population dynamics (and their simulation), interacting point processes, averaging in random environment, human longevity, demographic risks and pension design, modeling of biological aging, dynamic utilities,stochastic control, systemic risk measures.

IBMPopSim R package

• Package documentation and examples (2020).

I am the co-author, with D. Giorgi and V. Lemaire (LPSM, Sorbonne-Université) of the R package IBMpopSim, available on the CRAN. The IBMPopSim package aims at simulating the random evolution of a wide range of heterogeneous populations models, called stochastic Individual Based Models (IBMs). Such models have various applications in fields including actuarial sciences, biology, demography, or ecology.

Presentation of the paper at the GT ARC (december 2020, in french)

Preprints

• Efficient simulation of individual-based population models: the R Package IBMPopSim, https://arxiv.org/abs/2303.06183, submitted, with D. Giorgi and V. Lemaire (2023).
• Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation,submitted, arXiv:2210.13825, with A. Matoussi and A. Tamtalini (2022).
• Utility Maximization Problem with Uncertainty and a Jump Setting, arXiv:2210.07640, with A. Matoussi and A. Tamtalini (2022).
• Inextricable complexity of two centuries of demographic changes: A fascinating modeling challenge,hal-01745901, with N. El Karoui and K. Hadji (2018).

Publications

• Deep learning scheme for forward utilities using ergodic BSDEs, accepted in Probability, Uncertainty and Quantitative Risk, with G. Broux-Quemerais, W. Sabbagh and A. Matoussi (2024).
• Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms, to appear in SIAM Journal on Financial Mathematics, with A. Matoussi and A. Tamtalini (2024).
• Time-consistent pension policy with minimum guarantee and sustainability constraint, Probability, Uncertainty and Quantitative Risk, with C. Hillairet and M. Mrad (2024).
• Birth Death Swap population in random environment and aggregation with two timescales, Stochastic Processes and Applications, with N. El Karoui (2023).
• Ethical and social implications of approaching death prediction in humans-when the biology of ageing meets existential issues. BMC Medical Ethics, with M. Gaille, M. Araneda,C. Dubost, C. Guillermain, E. Ricadat & M. Rera (2020).
• How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach, Insurance Mathematics and Economics, with H. Labit-Hardy, S. Arnold(-Gaille) & N. El Karoui (2019).

  Presentation of the paper at Séminaire Cournot (2019, in french)

Working papers

• Consistency of national and sub-national mortality forecasts within population dynamics framework, with H. Labit-Hardy and A. Villegas Ramirez (both at the School of Risk and Actuarial Studies, UNSW and CEPAR, Sydney).

I have been an assistant professor (Maître de conférence) at Le Mans University since september 2018. Below are some of of the classes i am currently teaching (more ressources coming).

Master

• Survival analysis, mortality modelling and life insurance.
• Advanced probability.
• Monte Carlo methods in R and Python.
• Introduction to Python.

Licence

• Measure and Integration theory.
• Linear Algebra (Licence 1 and 2).

• La pandémie de Covid-19 pourrait, comme celles de choléra au XIXe siècle, amener à une nouvelle révolution de la santé publique Tribune in Le Monde, with Nicole El Karoui (2021)
• I am currently involved in teaching mathematics to foreign isolated minors. Please contact me if you wish to know more.
• Journée Filles et maths, Le Mans Université (2019).
• Conférence Women in Science, in the honor of Nicole El Karoui's 75th birthday (2019).