Research topics: Stochastic population dynamics (and their simulation), interacting point processes, averaging in random environment, human longevity and mortality by socioeconomic circumstances, demographic risks and pension design, dynamic utilities.
IBMPopSim R package
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)
- Optimal and sustainable Pay-As-You-Go pension policy with minimum pension guarantee and intergenerational risk sharing, with C. Hillairet (CREST-ENSAE) and M. Mrad (LAGA, Univ. Paris 13).
- 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).
- Dynamic systemic risk measures and their calibration, with A. Matoussi and A. Tamtalini (LMM, Le Mans Université).