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Assistant professor at ISFA (Institute of Financial and Actuarial Sciences, University of Lyon, France), member of the research team SAF (Actuarial Science and Finance lab).
Scientific Director (with Katrien Antonio, KU Leuven) of the Research project DIALog (Digital Insurance and Long-term Risks) sponsored by CNP Assurances).
Fellow of the International Actuarial Association (IAA), fellow of the french Institute of Actuaries (Institut des Actuaires).
- Publications in international peer-reviewed journals:
- X. Milhaud, D. Pommeret, Y. Salhi, P. Vanderkerkhove, Semiparametric two-sample admixture components comparison test: the symmetric case, accepté dans Journal of Statistical Planning and Inference, (2021). Lien HAL ici
- Milhaud, X., Hétérogénéité inobservable, volumétrie limitée et mutualisation, L'Actuariel, 39 (2021).
- O. Lopez, X. Milhaud, Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays, Scandinavian Actuarial Journal, (2020) ; doi:10.1080/03461238.2020.1793218. Link to an old version of the paper
- O. Lopez, X. Milhaud, P.-E. Therond, A tree-based algorithm adapted to microlevel reserving and long development claims, ASTIN Bulletin, (2019) Volume 49 issue 3, pp.741-762 ; doi:10.1017/asb.2019.12. Link to an old version of the paper
- X. Milhaud, V. Poncelet, C. Saillard, Operational choices for risk aggregation in insurance: PSDization and SCR sensitivity, Risks, (2018) Volume 6 issue 36, pp.1-22 ; doi:10.3390/risks6020036. Link to an old version of the paper
- X. Milhaud, C. Dutang, Lapse tables for lapse risk management in insurance: a competing risk approach, European Actuarial Journal, (2018) Volume 8 issue 1, pp.97-126 ; doi:10.1007/s13385-018-0165-7. Link to an old version of the paper
- O. Lopez, X. Milhaud, P. Therond, Tree-based censored regression with applications in insurance, Electronic Journal of Statistics, (2016) Volume 10 issue 2, pp.2685-2716. Link to an old version of the paper
- F. Barsotti, X. Milhaud, Y. Salhi, Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors, Insurance: Mathematics and Economics, (2016) Volume 71, pp.317-331. Link to an old version of the paper
- Milhaud X., Exogenous and endogenous risk factors management to predict surrender behaviours, ASTIN Bulletin, (2013) Volume 43 issue 3, pp.373-398, DOI: 10.1017/asb.2013.2. Link to the paper
- Loisel S., Milhaud X., From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital, European Journal of Operational Research (EJOR), (2011) Volume 214 issue 2, pp.348-357. Link to an old version of the paper
- Milhaud X., Maume-Deschamps V. et Loisel S., Surrender triggers in Life Insurance: what main features affect the surrender behavior in a classical economic context?, Bulletin Français d'Actuariat (BFA), (2011) n.22, pp.5-48. Link to an old version of the paper
- Milhaud X., Gonon M-P. et Loisel S., Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise, Risques, (2010) Volume 83, pp.76-81 (Link to an old (french!) version of the paper).
- Submitted, in revision process, or working papers:
- X. Milhaud, D. Pommeret, Y. Salhi, P. Vanderkerkhove, Shape constraint free two-sample contamination model testing.Lien HAL vers l'article
- P. Chatelain, X. Milhaud, Regression and data quality through individualized credibility index.
- X. Milhaud, D. Pommeret, Y. Salhi, P. Vanderkerkhove, K-sample tests and clustering.
- X. Milhaud, admix: an R package for estimation, testing and clustering in admixtures.
- C. Genest, X. Milhaud, P. Vanderkerkhove, Independence test in multivariate admixture models.
- P. Chatelain, X. Milhaud, Integrating data quality into GLM for fair insurance pricing.
- X. Milhaud, P. Vanderkerkhove, Concordance test for paired samples.
- C. Genest, X. Milhaud, Aggregating correlated loss triangles, a credibility approach.
- X. Milhaud, Excess-of-loss reinsurance and credibility premiums.
- Invited speaker at the 11th Actuarial Science and Finance Conference, Samos (Greece), 05/2020;
- Invited at University of Barcelona (Actuarial Sciences department), 03/2020;
- Invited at CASS Business School, London (UK), 01/2020.
I currently have the pleasure to work with the three following students:J'ai le plaisir d'encadrer actuellement trois étudiants en thèse de doctorat:
- Mathias Valla, on Adaptations of Machine Learning algorithms to insurance-specific data (jointly with K. Antonio, full professor at KU Leuven, Belgium) ;
- Pierre Chatelain, on Integrating data quality into statistical learning techniques;
- Jean Brunet, on Designing a fully integrated reserving process (jointly with Frédéric Planchet, full professor at ISFA).
Research project management
- 2020-2025: scientific director (with K. Antonio, KU Leuven, Belgium) of the Reearch Chair DIALog (Digital Insurance and Long-term risks), CNP Assurances;
- 2015-2017: member of Research Chair DAMI (Data Analytics and Models for Insurance), BNP Paribas;
- 2013-2017: member of ANR (National Research) project LoLitA (Longevity \& Lifestyle Adjustments);
- 2009-2011: member of ANR (National Research) project AST\&RISK (Spatio-Temporal Analysis).
- Creator, developer and maintainer of the R package admix : estimation, hypothesis testing and clustering in admixture (or contamination) models, see here and here for the package documentation;
- Contributor to the R package actuar (Hachemeister model).
Organization of Conference
- To be held at CIRM (26-30th september 2022, Marseille, France); main organizer of Conference MLISTRAL: (M)achine (L)earning in (I)nsurance (S)ector (T)argeted to (R)isk (A)nalysis and (L)osses;
- 2014: main organizer of the Summer School of the french Institute of Actuaries (Paris, France).
- Microlevel reserving in long-development business lines, OICA-WAKA Conference (Online), 05/2020;
- Truncation and reporting delays in reserving, 7th SMIF Conference, Maresias (Brazil), 03/2020;
- Microlevel reserving with tree-based regression in presence of censoring and truncation, Invited talk at CASS Business School, London (UK), 01/2020;
- A tree-based algorithm adapted to claims with long development, IME Conference, Munich Germany), 07/2019;
- Surrender tables for ALM in insurance, with competing risks, EAJ Conference, Universite Catholique de Louvain (Belgique), 09/2018;
- Operational choices for risk aggregation in insurance: PSDization and SCR sensitivity, IME Conference, Sydney (Australie), 07/2018;
- Lapse risk management in insurance, ANR LoLitA Conference, Paris (France), 01/2018;
- Microlevel-reserving with Machine Learning, a comparison, Colloquium AAI, Barcelone (Espagne), 10/2017;
- Weighted decision trees applied to reserving in insurance, EAJ Conference, Lyon (France), 09/2016;
- Tree-based estimators for censored observations with actuarial applications, 12th ICOR, La Havana (Cuba), 03/2016;
- Stress tests for lapse risk: correlation and contagion among policyholdersÕ behaviours, Colloque CIRM Copules - Extremes - Actuariat, Marseille, fev. 2016;
- Mass lapse scenario in insurance, the use of a dynamic contagion process, Séminaire L2, nov. 2015;
- Prediction of lifetimes by tree-based estimators, Longevity 11 Conference (Lyon), sept. 2015;
- Rachats de contrats dÕassurance et Solvency 2, Association Francaise de Gestion Actif-Passif, mars 2015;
- Risque de rachat en assurance, quelques approches, Chaire risques systémiques (ACPR), jan. 2015;
- Surrenders: risk factors and modelling, Autorité du Controle Prudentiel et de Résolution, nov. 2014;
- Tree estimators in censored regression: application to reserving, EAJ Conference (Vienne), Septembre 2014.
- Selection of GLM mixtures with a clustering approach, MBC2 Workshop (Catane), Septembre 2014.
- Regression trees and duration models, Ecole d'été de l'Institut des Actuaires (Paris), Juillet 2014.
- Clustering with mixtures of GLM, 46eme Journées de Statistique (Rennes), Juin 2014.
- Whole life contract lifetime: prediction of lapses, IME Conference Copenhague Danemark, Juillet 2013.
- Surrenders in a competing risks framework, application with the [FG99] model, AFIR/ERM-PBSS-LIFE Colloquim, Lyon, France, Juin 2013.
- Modelling the heterogeneity of surrender behaviours by using GLM mixtures, ASTIN-AFIR-IAALS Congress; Mexico city, Mexico, Octobre 2012.
- GLM Mixture Models to manage the complexity of surrender's behaviour modelling, 15eme Séminaire IME à Trieste, Italie, Juin 2011.
- Classification et prévisions du risque de rachat en Assurance Vie, Journées Modélisation Aléatoire et Statistique (MAS) à Bordeaux, France, Septembre 2010.
- Le risque de rachat en Assurance-Vie, Ecole d'été de l'Institut des Actuaires (Summer school) à Lyon, France, Juillet 2010.
- Rachats et crises de corrélation, Séminaire Statistiques et Probabilités Appliquées à l'Assurance et la Finance dans la cadre du projet AST&RISK à Lyon, France, Juin 2010.
- Déterminants des comportements de rachat, Workshop ED SEG à Lyon, France, Juin 2010.
- Prévision des rachats en Assurance Vie épargne, Séminaire de la Société Franaise de Statistiques (SFdS) à Marseille, France, Mai 2010.
- Cas pratiques et retour d'expérience de l'utilisation des copules en Assurance-Vie, Séminaire Sépia de l'Institut des Actuaires, Paris, Mars 2010.
Other academic activities
- 2017-today: Editorial Board member at Risks;
- Statistics: referee at Electronic Journal of Statistics, Advances in Data Analysis and Clustering, Journal of Statistical Software;
- Probability: referee at Journal of Applied Probability, European Journal of Operational Research;
- Actuarial Sciences: referee at Scandinavian Actuarial Journal, Insurance: Mathematics and Economics, ASTIN Bulletin, Risks, European Actuarial Journal, Annals of Actuarial Science.
- SCOR prize (2013) of the best Ph.D. thesis in Actuarial Sciences;
- Best paper - Section IAALS of International Actuarial Association Colloquium (Mexico, 2012);
- Lloyd's Science of Risk runner-up prize (2011), London (UK), with S. Loisel.
Teaching (lectures and tutorials)
- Data Science and Statistical Learning for actuaries, 37h (2020,2019,2018), Master, ISFA, University Lyon 1, Lectures (L) + Tutorials (T);
- Advanced methods for pricing and reserving in insurance, 34h (2020,2019,2018), Master, ISFA, Univ. Lyon 1, L+T;
- Resampling techniques, Bootstrap and applications, 12h (2019,2018,2017), Master, ISFA, Univ. Lyon 1, L+T;
- Introduction to R open-source statistical language, 12h (2018,2017,2016), Bachelor, ISFA, Univ. Lyon 1, L+T;
- Generalized Linear Models and pricing in Non-Life Insurance, 6h (2017,2016), Master, ISFA, Univ. Lyon 1, L;
- A priori VS a posteriori pricing in Non-Life Insurance, 20h (2016), Master, University Cheick Anta Diop, Dakar (Senegal), L+T.
- Stochastic reserving in Non-Life Insurance, 20h (2018,2016), Master IMSA, University Aix-Marseille (France), L+T;
- Behaviour Modelling in Life Insurance, 8h (2019,2018), Master, ISFA, Univ. Lyon 1, L;
- Econometrics applied to Insurance, 20h (2018,2017,2016), Master, ENSEA Abidjan (Ivory Coast), L+T;
- Credibility theory and applications, 20h (2017,2016,2015), Master, International University of Rabat (IUR, Marocco), L+T.
- Risk theory and premium principles, 20h (2015,2014,2013,2012), Master, ENSAE ParisTech (Paris), L.
- Statistical methods to study the lapse risk, 4h (2012), Master (M2MO), University Paris VII, L.
- Non-parametric, semi-parametric and parametric estimation of copulas, 6h (2013,2012,2011), Master (M2MO), University Paris VII, L.
- Various tutorials in risk theory, probability and inferential statistics.
Work trainings in actuarial statistics
- Advanced pricing methods with Machine Learning in non life insurance, 14h.
- Non-life insurance mathematics: pricing and reserving techniques, 14h.
- Deterministic and stochastic reserving methods in insurance, 16h.
- Introduction to R statistical software, 16h.
- Behaviour Modelling in Life and Non-Life Insurance, 14h.
- Understanding and modelling the operational risk in finance and insurance, 14h.
- 2020 - 2025: Co-holder and scientific director of the Research Chair DIALog (Digital Insurance and Long-term Risks, funded by CNP Assurances), with Katrien Antonio;
- 2018 - present: In charge of Work Trainings to obtain the actuarial diploma at ISFA, with S. Loisel;
- 2016 - present: french coordinator of the actuarial diploma (Master) at ENSEA Abidjan (Ivory Coast) and IIA Yaounde (Cameroon).
- 2016 - present: assistant professor at ISFA (Actuarial Science and Finance), University of Lyon (France).
- 2016 - 2018: head of the actuarial program at Centre d'Etudes Actuarielles (CEA) and scientific advisor, Paris (France).
- 2011 - 2015: in charge of the actuarial department at ENSAE ParisTech (Paris, France): scolarship, go-between with the french Institute of Actuaries, management of teaching and research projects.
- 2008 - 2011: Ph.D. thesis (actuarial department in AGL) - Model selection in GLM mixtures: an application to lapse risk in life insurance. Academic supervisors: Stephane Loisel and V. Maume-Deschamps. Studying surrenders for saving business lines in a few countries (USA, Spain, Belgium and Switzerland): triggers and risk factors, modelling and predictions. Development of an RExcel IT tool for surrender risk management.
- Global - various skills from AGL experience on different topics in modelling life insurance risks: long term care, longevity / mortality, critical illness, disability and CAT reinsurance, Solvency II.
- 2008: research memoir (University Laval, actuarial department; Canada, April-September 2008) - Including temporal trends in credibility models (Buhlmann-Straub, Hachemeister); contribution to the development of the R package actuar. Supervisor: Professor V. Goulet.
- 2007: ENSIMAG second year - 3 months internship in the french bank Crédit Agricole Nord Midi-Pyrénées (cost control department, regional head office): optimization of cash management.
- Finance and Insurance projects: around the modelling of financial (jump diffusion processes, greeks computation) and insurance risks (P&C: cat, car insurance; Life: death benefit, annuities), dealing with correlation effects and their impact on economic capital. See the section 'Projects' on this website.
2007-2008 - Research master in financial and actuarial sciences at ISFA, Lyon
2005-2008 - ENSIMAG engineer (graduate level school of engineering in computer science and applied mathematics at INP Grenoble):
- 2013 - Qualified in CNU sections 26 (applied mathematics) and 06 (management).
- 2009-2012 - Ph.D. thesis in applied mathematics at University Lyon 1 (ISFA) and AXA Global Life (AGL) (french partnership named convention CIFRE). Title: GLM mixtures and selection of the number of components: application to surrender risk in life insurance. Defended on 07/06/2012, jury: H. Albrecher (president), B. Garel and D. Pommeret (referees), V. Maume-Deschamps and S. Loisel (supervisors), and V. Lepez (examinator).
- Segmenting and modelling surrender behaviours in AXA life insurance.
- 2009-2011 - French actuary diploma, defended on 07/11/2011. Fellow of the french institute of actuaries.
at ISFA (June 2010)
- Professional master in financial and actuarial sciences
2002-2005 - Top level athlete (tennis) at Cycle Preparatoire Polytechnique (CPP Toulouse).
- third year: dual degree in actuarial siences and finance at ENSIMAG and ISFA.
- second year: financial mathematics, financial theory and IT applications.
- first year: mathematical theory, IT theory and programming languages.
1Convention Industrielle de Formation par la Recherche en Entreprise.
- Current research interests - machine learning, classification, survival analysis, generalized linear models, finite mixture models, model selection.
- Statistics and Probability - Machine learning and actuarial applications. Statistics and probability theory applied to finance and insurance. Univariate and multivariate descriptive statistics, inferential statistics, tests, model selection. Stochastic calculus and applications. Other research interests: discriminant analysis and clustering, survival analysis, generalized linear models, hidden Markov models.
- Finance, Insurance - actuarial science (mainly pricing and reserving); financial markets; financial theory; corporate finance; risk management in finance and insurance; accounting principles; ruin theory; stochastic models in life and non life insurance, reinsurance theory. Solvency II principles (pillars 1 and 2).
- Numerical methods - Discretization schemes, partial differential equations and finite difference methods (forward Euler, ...).
- OS / Programming: Unix, Mac OS X, Windows / R, RExcel, VBA, C, C++, Java, SQL, Matlab, Scilab, SAS, LateX.
- English, spanish and italian - fluent or almost fluent.
- French - mother tongue.