Research interests






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Current research topics

My research is currently focused on the following themes: The PhD thesis made me develop many research interests, among which classification issues, generalized linear models and survival analysis. I have been particularly interested in Classification and Regression Trees (CART algorithm), and ensemble methods (e.g. Random Forests so as to improve robustness).
Considering Generalized Linear Models was straightforward to make comparisons, as an extension to classical regression techniques which enables to specify some different link functions in order to model various response variables. I personnally used the logistic link to model surrender/lapse behaviours, and compared this method with other classification algorithms in a discriminant analysis perspective (see publications below).
Concerning Survival Analysis, I performed some studies using the famous proportional hazards model by Cox (1972), but also used other intensity models like Weibull or the Accelerated (respectively Decelerated) Failure Time model. I compared this famous models to competing risks models, an adequate framework to study endpoints (contract lifetime) in life insurance. A natural extension, still under study, concerns how to deal with censored data in nonparametric regression techniques such as regression trees.
I also had to deal with problems like overdispersion and heterogeneity. This made me investigate another framework: Finite Mixture Models, and their dynamic extension known as Regime Switching Models. The aim was to develop new results in terms of model selection in this framework. On one hand, my recent research thus focuses on GLM Markov switching models, as well as self-excited processes because they allow us to integrate dynamic correlation between agents. On the other hand, those matters also appear in nonparametric settings, which explains the focus of my recent theoretical research.


Main published papers and talks

I would like to thank again my co-authors for these works together. ...and the following talks (non exhaustive list):

Ph.D. thesis in Applied Mathematics

Title of the thesis:

GLM mixtures and number of components: application to surrender risk modelling in life insurance (here).

Slides (defense): here.



Actuarial thesis at AXA Global Life (AGL, AXA Insurance Company):

Topic:

Segmentation and modelling of surrender behaviours in life insurance. File here.



Referee

I reviewed some papers in the following journals:

Awards

It is with great honnor that I received the following distinctions: