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
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
- Deep learning scheme for forward utilities using ergodic BSDEs, hal-04516019, with G. Broux-Quemerais, W. Sabbagh and A. Matoussi (2024).
- Efficient simulation of individual-based population models: the R Package IBMPopSim, https://arxiv.org/abs/2303.06183, with D. Giorgi and V. Lemaire (2023).
- Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms, in revision, arXiv:2211.16159, with A. Matoussi and A. Tamtalini (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
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).