Introduction

I am a PhD candidate in Numerical probability and Mathematical Finance at CERMICS, Ecole des Ponts ParisTech. With my advisor Aurélien Alfonsi, in partnership with the ALM team of AXA France we are working on developing numerical methods to compute the Solvency capital in life insurance.

Research Topic

This PhD focuses on computing solvency capital requirement on multi-year time horizon of savings contracts in life insurance.

This computation requires nested simulations for each year of the planning horizon.

This task is computationally intensive and becomes prohibitive for long term contracts.

The objective of the Phd is firstly to set up a tractable and relevant Asset and Liability model for practitioners, then investigate new methods to compute the solvency capital in this framework.

This work is planned to be relevant for ALM and risk management purpose.

Seminars

I co organize with Rafael Coyaud and Laura Silva-Lopes the Young Researchers Seminar at CERMICS.

Curriculum

I am a former student of Paris-Dauphine university and DEA El Karoui. A detailed resume can be found here (English version) or here (French version).

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