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
- Professor of Statistics and Actuarial Science at ISFA, since 1st Nov 2010
- 2010-2019 : Director of the Laboratory of Actuarial and Financial Sciences, EA 2429
- 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
- Statistical Learning
Grants
- Scientific head of the research Chair Data Analytics and Models for Insurance
- 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.
- Cossette, H., Marceau, E, Nguyen, H.Q. and Robert, C. (2017). Rare event simulation with heavy tails and Archimedean copulas. To appear in Methodology and Computing in Applied Probability,
- Chenavier, N. and Robert, C. (2018) Cluster size distributions of extreme values for the Poisson-Voronoï tessellation. Annals of Applied Probability, 28, 6, 3291-3323.
- Koch, E., Dombry, C. and Robert, C. (2018). A central limit theorem for functions of stationary max-stable random fields on R^d. To appear in Stochastic Processes and Their Applications.
- Koch, E. and Robert, C. (2018). Geometric ergodicity for some space-time max-stable Markov chains. To appear in Statistics and Probability letters.
- Cossette, H., Gadoury S.P., Marceau, E. and Robert, C. (2019). Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. To appear in Journal of Multivariate Analysis.
- Baudry, M. and Robert, C. (2019). A Machine Learning approach for individual claims reserving in insurance. To appear in Applied Stochastic Models in Business and Industry.
Articles submitted or in revision
- Robert, C. (2018). Power variations for a class of Brown-Resnick processes.
- Koch, E. and Robert, C. (2018). Infinitesimal perturbation analysis for the Smith max-stable random field.
- Robert, C. (2019). How large is the jump discontinuity in the diffusion coefficient of an Ito diffusion?
TEACHING
- Time series (30 hours)
- Risk measures (18 hours)
- Extreme Value Theory (16 hours)