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Assistant professor at ISFA (Institute of Financial and Actuarial Sciences, University of Lyon 1). Member of LoLitA ANR project. Fellow of the french Institute of Actuaries, fellow of the International Actuarial Association (IAA). Qualified in CNU sections 26 (applied mathematics) and 06 (management).
- Published papers:
- Milhaud X., Exogenous and endogenous risk factors management to predict surrender behaviours, ASTIN Bulletin, (Sept. 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. Old HAL version
- 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 Franšais d'Actuariat (BFA), (2011) n.22, pp.5-48. Old HAL version
- 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 (Old link here).
- Submitted, in revision process, or working papers:
- O. Lopez, X. Milhaud, P. Therond, Consistency of tree-based estimators in censored regression with applications in insurance.
- O. Lopez, X. Milhaud, Model selection of GLM mixtures with a clustering perspective.
- F. Barsotti, X. Milhaud, Y. Salhi, Impact of interest rate movements on policyholders' behaviour in life insurance: contagion effect and massive surrenders.
- C. Dutang, X. Milhaud, Predicting surrenders as a competing risk: the subdistribution approach.
- O. Lopez, X. Milhaud, Combining CART with LASSO techniques for insurance purpose.
- O. Lopez, X. Milhaud, P. Therond, Reserving and claims' predictions with censored CART techniques.
- Tree estimators in censored regression: application to reserving, EAJ Conference (Vienna, Austria), September 2014.
- Selection of GLM mixtures with a clustering approach, MBC2 Workshop (Catania, Sicilia), September 2014.
- Regression trees and duration models, Summer School of the Institute of Actuaries (Paris), July 2014.
- Clustering with mixtures of GLM, 46th Journées de Statistique (Rennes, France), June 2014.
- Whole life contract lifetime: prediction of lapses, IME Conference Copenhagen (Denmark), July 2013.
- Surrenders in a competing risks framework, application with the [FG99] model, AFIR/ERM-PBSS-LIFE Colloquim, Lyon (France), June 2013.
- Modelling the heterogeneity of surrender behaviours by using GLM mixtures, AFIR/ASTIN/IAALS Colloquia Mexico city (Mexico) October 2012.
- GLM Mixture Models to manage the complexity of surrender's behaviour modelling, 15th IME seminar in Trieste (Italy), June 2011.
- Segmenting and predicting surrender risk in life insurance, MAS seminar (MAS) in Bordeaux (France), September 2010.
- Surrender risk in life insurance, Summer school of the french actuarial institute (Summer school) in Lyon (France), July 2010.
- Surrenders and copycat behaviours, SPAAF seminar within the ANR project AST&RISK in Lyon (France), June 2010.
- Determining surrender tiggers, Workshop ED SEG, June 2010.
- Predicting surrender behaviours in saving business, SFdS seminar (french association in statistics) in Marseille (France), May 2010.
- Using copulas in protection and health business, Sepia seminar by the french institute of actuaries (Paris, March 2010).
Teaching (lectures and tutorials)
- Credibility theory, 20h (01/2015), International University of Rabat (IUR, Marocco), lecture at Master 2 level.
- Risk theory and premium principles, 20h (02/2015, 02/2014, 03/2013, 05/2012), ENSAE ParisTech, lecture at Master level.
- Statistical methods to study the surrender risk, march 2012 (4h), University Paris VII, lecture at Master 2 MO (Random Modelling).
- Non-parametric, semi-parametric and parametric estimation of copulas, 12/2012, 02/2012 (4h), 03/2011 (6h), University Paris VII, lecture at Master 2 MO.
- Introduction to copulas, february 2010 (4h), University Paris VII, lecture at Master 2 MO.
- Various tutorials in risk theory, probability and inferential statistics, Master level.
Work trainings in actuarial statistics
- Understanding and modelling the operational risk in finance and insurance, 14h (to appear, nov. 2015), Caritat.
- Non-life insurance mathematics: pricing and reserving techniques, 14h (to appear, june 2015), Caritat.
- Statistical tools for analysing Big Data with actuarial applications, 14h (to appear, june 2015), Caritat.
- Pricing techniques in non-life insurance with parametric and nonparametric techniques, 7x16h (03/2015, 10/2014, 12/2013, 10/2013, 02/2013, 10/2012, 06/2012) with Caritat. Program: multivariate descriptive statistics, hierarchical clustering, generalized linear models (GLM), credibility and applications, collective and individual risk models in insurance.
- Deterministic and stochastic reserving methods in insurance, 16h (may 2012) at Cofidis with Caritat (reserving department). Program: chain ladder, london chain, factorial methods, Mack model, over-dispersed models, bootstrap techniques, agregating approaches.
- Programming in R: basics and advances notions, 16h (may 2012), Allianz.
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):
- 2009-2012 - Ph.D. thesis in applied mathematics at University Lyon 1 (ISFA) and AXA Global Life (AGL) (french partnership named convention CIFRE). Defended on 07/06/2012 . Academic supervisors: Stéphane Loisel and Véronique Maume-Deschamps (ISFA, University Lyon 1).
- 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.
- Statistics and Probability - Descriptive statistics, inferential statistics, tests, statistics for finance and insurance. Probability theory and applications. Stochastic calculus and applications, brownian motion, Ito formula. Linear and non-linear correlation (copulas, ...).
- Current research interests - Discriminant analysis and classification, survival analysis, generalized linear models, finite mixture models, model selection, hidden Markov models.
- Finance, Insurance - financial markets; financial theory; corporate finance; accounting; risk management in finance and insurance; ruin theory; stochastic models in life and non life insurance, reinsurance theory. Good understanding of Solvency II principles, the coming european directive (inspired from Bale III) for regulating the activity of insurance companies.
- 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.
Experience and projets
- Sept. 2011 - august 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.
- Oct. 2008 - august 2011: Ph.D. thesis (actuarial department in AGL) - Model selection in GLM mixtures: an application to surrender 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.
- May 2008 - sept. 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 Vincent Goulet.
- June 2007 - august 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.
- English, spanish and italian - good level.
- French - mother tongue.