Christian ROBERT

BIOGRAPHY

Education 

  • Actuary, Fellow of the French Institute of Actuaries.
  • 2009: H.D.R. in applied mathematics at University Paris-Dauphine, defended on 23rd november 2009.
  • 1998-2001: Ph.D. in applied mathematics at University Paris Diderot, defended on 7th january 2002.
  • 1997-1998: Postgraduate degree in Statistics from University Paris Diderot.
  • 1995-1998: Postgraduate degree in Statistics and Economics at ENSAE, Paris.

 

Jobs

  • Director of the Laboratory of Actuarial and Financial Sciences, since 1st September 2011
  • Professor of Statistics and Actuarial Science at ISFA, since 1st Nov 2010
  • 2006-2010 : Associate Professor in Actuarial Science at the ENSAE
  • 2003-2006 : Assistant Professor of Statistics at Conservatoire National des Arts et Métiers (CNAM)
  • 2002-2003 : Junior researcher at Centre International de Recherche et de Développement de l’Assurance Dépendance (SCOR)

 

Research Interests

  • Extreme Value Theory and Statistics
  • Actuarial Theory and Practice
  • Statistical Finance

 

Grants

  • Member of the FUI project Reference Value and coordinator of SAF team
  • Member of the ANR project LoLitA (Dynamic models for human Longevity with Lifestyle Adjustments) and coordinator of Task 2 (Long term care contracts. Models, calibration, risk management)
  • Member of the research chair "Management de la Modélisation" funded by BNP-Paribas Cardif

 

PUBLICATIONS

 

Books

 

  • Denuit, M. and Robert, C. (2007). Actuariat des Assurances de Personnes: Modélisation, Tarification et Provisionnement. Collection Audit-Actuariat-Assurance, Economica, Paris.

 

Book chapters

  • Robert, C. (2000). Extremes of a-ARCH models. Lecture Notes in Statistics, 147, 223-244.
  • Robert, C. and Rosenbaum, M. (2011). The model with uncertainty zones for ultra high frequency prices and durations; applications to statistical estimation and mathematical finance. Econophysics Of Order-Driven Markets. F. Abergel, B. Chakrabarti, A. Chakraborti (editors), Springer.
  • Planchet, F. and Robert, C. (2016). From internal to ORSA models. Modelling in Life Insurance – A Management Perspective. Laurent, J.-P., Norberg, R., Planchet, F. (editors), Springer.
  • Robert, C. (2016). The threat of model risk for insurance companies. Modelling in Life Insurance – A Management Perspective. Laurent, J.-P., Norberg, R., Planchet, F. (editors), Springer.

 

Journal articles

 

  • Robert, C. (1998). Mouvements extrêmes des séries financières haute fréquence. Finance, 19, 221-247.
  • Robert, C. (2005). Asymptotic probabilities of an exceedance over renewal thresholds and an application to risk theory. Journal of Applied Probability, 42, 153–162.
  • Gouriéroux, C. and Robert, C. (2005). Stochastic unit root models. Econometric Theory, 26, 1052-1090.
  • Lescourret, L. and Robert, C. (2006). Extreme dependence of multivariate catastrophic losses. Scandinavian Actuarial Journal, 2006-4, 203-225.
  • Robert, C. (2007). Stochastic stability of some state-dependent growth-collapse processes. Advances in Applied Probability, 39, 1-32.
  • Robert, C. and Segers, J. (2008). Tails of random sums of a heavy-tailed number of light-tailed terms. Insurance: Mathematics and Economics, 43, 85-92.
  • Robert, C. (2008). Estimating the multivariate extremal index function. Bernoulli, 14, 1027-1064.
  • Robert, C. (2009). Asymptotic distributions for the intervals estimators of the extremal index and the cluster-size distribution. Journal of Statistical Planning and Inference, 139, 3288-3309.
  • Robert, C. (2009). Inference for the limiting cluster size distribution of extreme values. The Annals of Statistics, 37, 271-310.
  • Robert, C., Segers, J. and Ferro, C., (2009). A sliding blocks estimator for the extremal index. Electronic Journal of Statistics, 3, 993–1020.
  • Robert, C. (2010). On asymptotic distribution of maxima of stationary sequences subject to random failure or censoring. Statistics and Probability Letters, 80, 134-142.
  • Robert, C. and Rosenbaum, M. (2012). Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22, 133–164.
  • Lescourret, L. and Robert, C. (2011). Transparency matters: Price formation in presence of order preferencing. Journal of Financial Markets, 14, 227-258.
  • Robert, C. and Rosenbaum, M. (2010). On the microstructural hedging error. SIAM Journal of Financial Mathematics, 1, 427-453.
  • Robert, C. and Rosenbaum, M. (2011). A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones. Journal of Financial Econometrics, 9, 344-366.
  • Robert, C. and Rosenbaum, M. (2010). On the limiting spectral distribution of the covariance matrices of time-lagged processes. Journal of Multivariate Analysis, 101, 2434-2451.
  • Duvernet, L., Robert, C. and Rosenbaum, M. (2010). Testing the type of a semi-martingale: Ito against multifractal. Electronic Journal of Statistics, 4, 1300-1323.
  • Doukhan, P., Prohl, S. and Robert C. (2011). Subsampling weakly dependent times series and application to extremes (with rejoinder). Test, 20, 447-479.
  • Robert C. (2013). Automatic declustering of rare events. Biometrika, 100, 587-606.
  • Robert C. (2013). Some new classes of stationary max-stable random fields. Statistics and Probability Letters, 83, 1496-1503.
  • Delattre S., Robert C., Rosenbaum M. (2013). Estimating the efficient price from the order flow : a Brownian Cox process approach. Stochastic Processes and their Applications, 123, 2603-2619.
  • Robert C. (2013). Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework. Insurance: Mathematics and Economics, 53, 216–229.
  • Nguyen, Q.H. and Robert C. (2013). New efficient estimators in rare event simulation with heavy tails. Journal of Computational and Applied Mathematics, 261, 39–47.
  • Robert C. (2014). On the De Vylder and Goovaert’s conjecture about ruin for equalized claims. To appear in Journal of Applied Probability.
  • Robert, C. and Therond P. (2014). Distortion risk measures, ambiguity aversion and optimal effort. ASTIN Bulletin, 44, 277–302.
  • Hainaut, D. and Robert C. (2014). Credit Risk valuation with rating transitions and partial information. To appear in International Journal of Theoretical and Applied Finance.
  • Albrecher, H. Robert C. and Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks 2014, 2, 289-314.
  • Nguyen, Q.H. and Robert C. (2015). Series expansions for convolutions of Pareto distributions. Statistics & Risk Modeling. 32, 1, 49–72.
  • Robert, C. (2015). Rare-event asymptotics for the number of exceedances of multiplicative factor models. Extremes, 18, 3, 511-527.
  • Embrechts, P., Koch, E. and Robert, C. (2015). Space-time max-stable models with spectral separability. To appear in Advances in Applied Probability.
  • Bienvenüe, A. and Robert C. (2015). Systemic tail risk distribution. To appear in Annals of Economics and Statistics.
  • Bienvenüe, A. and Robert C. (2015). Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions. To appear in Scandinavian Journal of Statistics.
  • Cousin, A., Jiao, Y., Robert, C. and Zerbib, D. (2016) Benchmarking asset allocation strategies in the presence of liability constraints. To appear in Insurance: Mathematics and Economics.

  

Articles submitted or in revision

  • Cossette, H., Marceau, E, Nguyen, H.Q. and Robert, C. (2016). Rare event simulation with heavy tails and Archimedean copulas.
  • Chenavier, N. and Robert, C. (2016) Cluster size distributions of extreme values for the Poisson-Voronoï tessellation.

 

TEACHING

  • Time series (30 hours)
  • Risk measures (21 hours)
  • Extreme Value Theory (15 hours)