On line curriculum vitae
Changer la langue ici !
Curriculum vitae printable version to download here
Go immediatly to following sections:
Assistant professor at ISFA (Institute of Financial and Actuarial Sciences, University of Lyon), member of the research team SAF (Actuarial Science and Finance lab).
Fellow of the International Actuarial Association (IAA), fellow of the french Institute of Actuaries (Institut des Actuaires).
Vice-Chair of the European Actuarial Journal Association, member of the Steering Committee.
- Publications in international peer-reviewed journals:
- 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:
- O. Lopez, X. Milhaud, P. Therond, Tree-based stochastic reserving in insurance.
- O. Lopez, X. Milhaud, Model selection of GLM mixtures with a clustering perspective.
- D. Pommeret, X. Milhaud, Y. Salhi, P. VanderkerkhoveComparison of Mixture Components.
- O. Lopez, X. Milhaud, Combining CART with LASSO techniques for insurance purpose.
- C. Genest, X. Milhaud, Aggregating correlated loss triangles, a credibility approach.
- Surrender tables for ALM in insurance, with competing risks, EAJ Conference, KU Leuven (Belgium), 09/2018;
- Operational choices for risk aggregation in insurance: PSDization and SCR sensitivity, IME Conference, Sydney (Australia), 07/2018;
- Lapse risk management in insurance, ANR LoLitA Conference, Paris (France), 01/2018;
- Microlevel-reserving with Machine Learning, a comparison, Colloquium AAI, Barcelona (Spain), 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 policyholders’ behaviours, CIRM Colloquium, Marseille, 02/2016;
- Mass lapse scenario in insurance, the use of a dynamic contagion process, L2 Seminar, 11/2015;
- Prediction of lifetimes by tree-based estimators, Longevity 11 Conference (Lyon), 09/2015;
- Rachats de contrats d’assurance et Solvency 2, Association Francaise de Gestion Actif-Passif, 03/2015;
- Risque de rachat en assurance, quelques approches, Chaire risques systémiques (ACPR), 01/2015;
- Surrenders: risk factors and modelling, Autorité du Controle Prudentiel et de Résolution (ACPR, french supervisor), 11/2014;
- Tree estimators in censored regression: application to reserving, EAJ Conference (Vienna, Austria), 09/2014.
- Selection of GLM mixtures with a clustering approach, MBC2 Workshop (Catania, Sicilia), 07/2014.
- Regression trees and duration models, Summer School of the Institute of Actuaries (Paris), 07/2014.
- Clustering with mixtures of GLM, 46th Journées de Statistique (Rennes, France), 06/2014.
- Whole life contract lifetime: prediction of lapses, IME Conference Copenhagen (Denmark), 07/2013.
- Surrenders in a competing risks framework, application with the [FG99] model, AFIR/ERM-PBSS-LIFE Colloquim, Lyon (France), 06/2013.
- Modelling the heterogeneity of surrender behaviours by using GLM mixtures, AFIR/ASTIN/IAALS Colloquia Mexico city (Mexico) 10/2012.
- GLM Mixture Models to manage the complexity of surrender's behaviour modelling, 15th IME Seminar, Trieste (Italy), 06/2011.
- Segmenting and predicting surrender risk in life insurance, MAS Seminar (MAS), Bordeaux (France), 09/2010.
- Surrender risk in life insurance, Summer School of the french Institute of Actuaries (Summer school) in Lyon (France), 07/2010.
- Surrenders and copycat behaviours, SPAAF seminar within the ANR project AST&RISK in Lyon (France), 06/2010.
- Determining surrender tiggers, Workshop ED SEG, 06/2010.
- Predicting surrender behaviours in saving business, SFdS seminar (french association in statistics) in Marseille (France), 05/2010.
- Using copulas in protection and health business, Sepia Seminar by the french Institute of Actuaries (Paris, 03/2010).
Teaching (lectures and tutorials)
- Data Science and Statistical Learning for Actuaries, 37h (2019,2018), Master, ISFA, University Lyon 1, Lectures (L) + Tutorials (T);
- Advanced methods for pricing and reserving in Insurance, 34h (2019,2018), Master, ISFA, Univ. Lyon 1, L+T;
- Behaviour Modelling in Life Insurance, 8h (2019,2018), Master, ISFA, Univ. Lyon 1, L;
- 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;
- Introduction to Big Data in Insurance, 16h (2017,2016), Master, 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, University Aix-Marseille (France), L+T;
- Econometrics applied to Insurance, 20h (2018,2017,2016), Master, ENSEA Abidjan (Ivory Coast), L+T;
- Credibility theory, 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, University Paris VII, L.
- Introduction to copulas, 4h (2010), Master, University Paris VII, L.
- Various tutorials in risk theory, probability and inferential statistics.
Work trainings in actuarial statistics
- Behaviour Modelling in Life and Non-Life Insurance, 14h.
- Understanding and modelling the operational risk in finance and insurance, 14h.
- Non-life insurance mathematics: pricing and reserving techniques, 14h.
- Statistical tools for analysing Big Data with actuarial applications, 14h.
- Pricing techniques in non-life insurance with parametric and nonparametric techniques, 16h.
- Deterministic and stochastic reserving methods in insurance, 16h.
- Programming in R: basics and advances notions, 16h.
- 2015 - present: assistant professor at ISFA (Actuarial Science and Finance), University of Lyon (France).
- 2016 - present: french coordinator of the actuarial diploma (Master) at ENSEA Abidjan (Ivory Coast).
- 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 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.
- 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.
- 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). 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, hypothesis tests, machine learning, 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 - machine learning, 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.
- 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.