Research topic: Pricing European options in an illiquid market — a subordinated jump–diffusion approach, with applications to life insurance and balance sheet management tools.
Actuary Intern
AON Luxembourg
Reserving for non-life reinsurance captives
Research Intern
Université Claude Bernard Lyon 1 (ISFA)
AXA JRI (Joint Research Initiative) Project: Worked on longevity model selection and change detection during the COVID-19 era. Topics included rupture detection, model selection, and longevity risk.
Hailstorm Insurance-Related Project: Created a map of France modeling hailstorm trajectories, incorporating data on hailstone size. Parameter modeling and map generation were performed using Python.
Education
PhD in Applied Mathematics
Institut Polytechnique de Paris — CMAP & CREST
Thesis on Stochastic control of intensity of Hawkes process with Bayesian learning. Supervised by Roxana Dumitrescu, Nicolas Baradel and Caroline Hillairet.
MS Actuarial Sciences
ENSAE
GPA: 4.0/4.0
Specialized in actuarial sciences.
MS Quantitative Finance
Université Paris Cité
Master program in mathematical finance (Ex DEA Laure Elie)
MS Engineering
IMT Atlantique
French engineering school (Major : Mathematical and Computational engineering).