Research interests






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Current research topics

My research is currently focused on the following themes: The Ph.D. 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), with a focus on Random Forests technique so as to improve its robustness.
Considering generalized linear models was also natural, 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 behaviours, and compared this method with other classification algorithms in a discriminant analysis perspective (see publications below).
Concerning survival analysis, the main matters in my applications were about censorship and regression modelling. 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. A current extension, still under study, concerns how to deal with censored data in nonparametric regression techniques such as regression trees.
Recently I had to deal with problems like overdispersion and heterogeneity. This made me investigate another framework: finite mixture models, and their natural extension known as regime switching models. The point was firstly to think about potential applications on insurance datasets, and then to develop new results in terms of model selection in this framework. My coming research works should focus on GLM Markov switching models, as well as self-excited processes because they allow us to integrate dynamic correlation between agents.


Main published papers and talks

I would like to thank again my co-authors for these works... ...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 memoir at AXA Global Life (AGL):

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: