Professional Documents
Culture Documents
Education
University Lumière Lyon 2
Ph.D. in Management Science, 2019 (expected)
Ritsumeikan University
Visiting Ph.D. student, summer 2018
Research Interests
Primary Field: Financial Engineering, Fintech, Insurance
Secondary Field: Decision Theory
Research
”Structural Pricing of CoCos and Deposit Insurance with Regime Switching and Jumps”
- Job market paper
In this article, we develop a closed-form solution for a structural model that combines jump and regime
switching risk. We use an Esscher transform that is applicable to regime switching double exponential
jump diffusion to move from the historical world to the risk-neutral world. Further, we define and
implement a matrix Wiener-Hopf factorization associated with the latter process, allowing us to price
the various components of balance sheet. We use a study of a bank that issues contingent convertible
bonds (CoCos) to illustrate the model. Thus, we obtain valuation formulas for the bank’s equity,
debt, deposits, CoCos, and deposit insurance. We also show in an illustration the respective effects
of the jump risk and of regime switching on the values of all of a bank’s balance sheet components.
”Pricing and Hedging Defaultable Participating Contracts with Regime Switching and
Jump Risk”
- with Olivier Le Courtois and François Quittard-Pinon
This paper develops a transform-based approach for the pricing of participating life insurance contracts
with a constant guaranteed rate and with a floating guaranteed rate, in which we incorporate credit,
market (jump), economic (regime switching) risks, and where the evolution of the reference portfolio
is described by a regime switching double exponential jump diffusion model. We provide closed-form
formulas for the contract value by using a Laplace or Laplace-Fourier transform, where only some
matrix Wiener-Hopf factors are involved. Then, the price is obtained by performing numerical Laplace
and Fourier inversion and by implementing the matrix Wiener-Hopf factorization. By comparing the
results with Monte-Carlo simulations, we show that our pricing method is easy to implement and is
accurate. We also show that the contract with a floating guaranteed rate is a riskier but more worthy
1
product when comparing to the contract with a constant guaranteed rate. Two hedging strategies
are introduced to hedge jump and regime switching risks in the participating contracts.
Research in Progress
”Stochastic Gradient Boosting Frequency-Severity Model of Insurance Claims”
- with Manying Bai
The GLM frequency-severity model is a widely used model of insurance claims, in which the claim
frequency and severity are usually assumed to be independent. To overcome the deficiency of linear
form and independence assumption, we apply stochastic gradient tree boosting algorithm to estimate
the predictive distributions of both claim frequency and severity components and introduce depen-
dence by treating claim frequency as a predictor in the regression model for the average claim severity.
The model is capable of fitting a flexible non-linear relation between claim frequency (severity) and
predictors and capturing complex interactions among predictors and nonlinear dependence between
claim frequency and severity. A simulation study shows the excellent prediction performance of our
model. Then, we demonstrate the application of our model with an auto insurance claim data. The
results show the proposed model is superior to other state-of-the-art models.
”Static Hedge of Exotic Options with Jump Risk: A Fourier Transform Approach”
- with Jirô Akahori
Presentations
2017: International Conference of the French Finance Association (AFFI), Valence, France
2017: International Congress on Insurance: Mathematics and Economics (IME), Vienna, Austria
2017: 2nd Workshop GEM-EM Lyon, Grenoble, France
2017: The Quantitative Methods in Finance 2017 Conference (QMF), Sydney, Australia
2018: Ritsumeikan University, Kyoto, Japan
Teaching Experience
Lecturer:
Model Implementation (M.Sc.-level), emlyon business school, 2017
Financial Mathematics Workshop (M.Sc.-level), emlyon business school, 2017
Statistics Workshop (M.Sc.-level), emlyon business school, 2017
Non-Academic Experience
2
Siemens, 2014, Research Internship on Statistical Algorithm & Data Mining at the Innovation lab of
Corporate Technology, China
Other Skills
References