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

  • 2023- : Professor of Statistics and Actuarial Sciences and Director of ISFA, Institut de Science Financière et d’Assurances, UCBL, Lyon
  • 2019-2023 : Professor of Statistics and Actuarial Sciences at ENSAE, Research fellow at the Laboratory in Finance and Insurance (LFA) CREST – Center for Research in Economics and Statistics
  • 2010-2019: Professor of Statistics and Actuarial Sciences at ISFA, Institut de Science Financière et d’Assurances, UCBL, Lyon - Director of the Laboratory of Actuarial and Financial Sciences, EA 2429
  • 2006-2010 : Associate Professor in Actuarial Science at ENSAE, Director of Graduate Studies at the CEA
  • 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.
  • Robert, C. (2020). Introduction – Insurance data analytics: some case studies of advanced algorithms and applications. Frédéric Planchet – Christian Y. Robert (Editors), Economica.
  • Robert, C. (2020). Some thoughts on the governance of decision-making algorithms – Insurance data analytics: some case studies of advanced algorithms and applications. Frédéric Planchet – Christian Y. Robert (Editors), Economica.
  • Boumezoued, A. et Robert, C. (2020). Individual claim reserving models: parametric vs nonparametric learning methods – Insurance data analytics: some case studies of advanced algorithms and applications. Frédéric Planchet – Christian Y. Robert (Editors), Economica.

Journal articles 

  • Denuit, M., Ortega-Jimenez, P. and Robert, C. (2025). Conditional expectations given the sum of independent random variables with regularly varying densities. Accepted in ASTIN Bulletin.
  • Maillart, A. and Robert, C. (2025). Distill knowledge of additive tree models into generalized linear models: a new learning approach for non-smooth generalized additive models. Accepted in Annals of Actuarial Science.
  • Denuit, M. and Robert, C. (2025). Equal compensations under actuarially fair contributions in endowment contingency funds. Risk Sciences , 1, 100005.
  • Denuit, M., Dhaene, J. Ghossoub, M. and Robert, C. (2025). Comonotonicity and Pareto optimality, with application to collaborative insurance. Insurance: Mathematics and Economics, 120, January 2025, 1-16.
  • Denuit, M. and Robert, C. (2024). Conditional mean risk sharing of independent discrete losses in large pools. Methodology and Computing in Applied Probability, 26, article number 36.
  • Denuit, M., Dhaene, J., Feng, R., Hieber, P. and Robert, C. (2024). Decentralized insurance: On the popularity of tontines and peer-to-peer (P2P) insurance schemes. Annals of Actuarial Science
  • Denuit, M. and Robert, C. (2023). Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model. Insurance: Mathematics and Economics, 112, 23-32.
  • Denuit, M. and Robert, C. (2023). From risk reduction to risk elimination by conditional mean risk sharing of independent losses. Insurance: Mathematics and Economics, 108, 46-59.
  • Maillart, A. and Robert, C. (2022). Tail-index partition-based rules extraction with application to tornado damage insurance. ASTIN Bulletin, 53(2), 258-284.
  • Chen, Q. and Robert, C. (2022). Multivariate realized volatility forecasting with graph neural network. Proceedings of the 3rd ACM International Conference on AI in Finance.
  • Chen, Q. and Robert, C. (2022). Graph-based learning for stock movement prediction with textual and relational data. The Journal of Financial Data Science, 01 November 2022.
  • Denuit, M., Dhaene, J. and Robert, C. (2022). Risk sharing rules and their properties, with applications to peer-to-peer insurance. Journal of Risk and Insurance, 89(3), 615-667.
  • Denuit, M., Hieber, P. and Robert, C. (2022). Mortality credits within large survivor funds. ASTIN Bulletin, 52(3), 813-834.
  • Robert, C. (2022). How large is the jump discontinuity in the diffusion coefficient of an Ito diffusion? Econometric Theory, 39(4), 848-880.
  • Robert, C. (2022). Testing for changes in the tail behaviour of Brown-Resnick Pareto processes. Stochastic Processes and Their Applications, 144, 312-368.
  • Koch, E. and Robert, C. (2022). Stochastic derivative estimation for max-stable random fields. European Journal of Operational Research, 302(2), 575-588.
  • Cousin, A., Jiao, Y., Robert, C. and Zerbib, D. (2022) Optimal asset allocation subject to withdrawal risk and solvency constraints. Risks, 10(1), 15.
  • Denuit, M. and Robert, C. (2022). Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses. Methodology and Computing in Applied Probability, 24, 693–711.
  • Denuit, M. and Robert, C. (2021). Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126]. Insurance Mathematics and Economics, 101, 640-644.
  • Denuit, M. and Robert, C. (2021). Risk sharing under the dominant peer-to-peer property and casualty insurance business models. Risk Management and Insurance Review, 24, 181–205.
  • Denuit, M. and Robert, C. (2021). Efron’s asymptotic monotonicity property in the Gaussian domain of attraction. Journal of Multivariate Analysis, 186, 104803.
  • Denuit, M. and Robert, C. (2021). Collaborative insurance with stop-loss protection and team partitioning. North American Actuarial Journal, 26(1), 143-160. North American Actuarial Journal Best Paper Prize
  • Denuit, M. and Robert, C. (2021). Stop-loss protection for a large P2P insurance pool. Insurance Mathematics and Economics, 100, 210-233.
  • Denuit, M. and Robert, C. (2021). Conditional mean risk sharing in the individual model with graphical dependencies. Annals of Actuarial Science, 16(1), 183-209.
  • Denuit, M. and Robert, C. (2021). Conditional tail expectation decomposition and conditional mean risk sharing for dependence and conditionally independent risks. Methodology and Computing in Applied Probability, 24, 1953–1985.
  • Denuit, M. and Robert, C. (2021). From risk sharing to pure premium for a large number of heterogeneous losses. Insurance Mathematics and Economics, 96, 116-126.
  • Chaoubi, I., Cossette, H., Marceau, E. and Robert, C. (2021). Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. Computational Statistics and Data Analysis, 154, 107071.
  • Nguyen, Q.H. et Robert C. (2021). Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields. Journal of Applied Probability, 59(2), 366-383.
  • Denuit, M. and Robert, C. (2020). Large-loss behavior of conditional mean risk sharing. ASTIN Bulletin, 50(3), 1093-1122.
  • Robert, C. (2020). Power variations for a class of Brown-Resnick processes. Extremes. 23, 215–244.
  • Baudry, M. and Robert, C. (2019). A Machine Learning approach for individual claims reserving in insurance. Applied Stochastic Models in Business and Industry, 35, 1127-1155.
  • Cossette, H., Gadoury S.P., Marceau, E. and Robert, C. (2019). Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Journal of Multivariate Analysis, 172, 59-83.
  • Koch, E. and Robert, C. (2018). Geometric ergodicity for some space-time max-stable Markov chains. Statistics and Probability Letters. 145, 43-49.
  • Koch, E., Dombry, C. and Robert, C. (2018). A central limit theorem for functions of stationary max-stable random fields on R^d. Stochastic Processes and Their Applications, 129(9):3406-3430.
  • 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.
  • Cossette, H., Marceau, E, Nguyen, H.Q. and Robert, C. (2017). Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models. Methodology and Computing in Applied Probability, 21, 461–490.
  • Cousin, A., Jiao, Y., Robert, C. and Zerbib, D. (2016) Asset allocation strategies in the presence of liability constraints. Insurance: Mathematics and Economics, 70, 327-338.
  • Bienvenüe, A. and Robert C. (2015). Likelihood inference for multivariate extreme value distributions whose spectral vectors have known conditional distributions. Scandinavian Journal of Statistics, 44, 1, 130-149.
  • Bienvenüe, A. and Robert C. (2015). Systemic tail risk distribution. Annals of Economics and Statistics. 123/124, 29-52.
  • Embrechts, P., Koch, E. and Robert, C. (2015). Space-time max-stable models with spectral separability. Advances in Applied Probability, 48, A, 77-97.
  • Robert, C. (2015). Rare event asymptotics for the number of exceedances of multiplicative factor models. Extremes, 18, 3, 511-527.
  • Albrecher, A. Robert C. and Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314.
  • Nguyen, Q.H. and Robert C. (2013). Series expansions for convolutions of Pareto distribution. Statistics & Risk Modeling (with Applications in Finance and Insurance), 32, 1, 49-72.
  • Hainaut, D. e and t Robert C. (2014). Credit Risk valuation with rating transitions and partial information. International Journal of Theoretical and Applied Finance, Vol. 17, n. 7.
  • Delattre S., Robert C. and Rosenbaum M. (2013). Estimating the efficient price from the order flow: a Brownian Cox process approach. Stochastic Processes and their Applications, 123, 2603-2619.
  • 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. Journal of Applied Probability, 51, 874-879.
  • Robert, C. and Therond P. (2014). Distortion risk measures, ambiguity aversion and optimal effort. ASTIN Bulletin, 44, 277–302.
  • 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.
  • Robert C. (2013). Some new classes of stationary max-stable random fields. Statistics and Probability Letters, 83, 1496-1503.
  • Robert C. (2013). Automatic declustering of rare events. Biometrika, 100, 587-606.
  • Doukhan, P., Prohl, S. and Robert C. (2011). Subsampling weakly dependent times series and application to extremes (with rejoinder). Test, 20, 447-479.
  • 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.
  • Robert, C. e and t Rosenbaum, M. (2010). On the limiting spectral distribution of the covariance matrices of time-lagged processes. Journal of Multivariate Analysis, 101, 2434-2451.
  • 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 microstructural hedging error. SIAM Journal of Financial Mathematics, 1, 427-453.
  • 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. (2012). Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22, 133–164.
  • 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., Segers, J. and Ferro, C., (2009). A sliding blocks estimator for the extremal index. Electronic Journal of Statistics, 3, 993–1020.
  • Robert, C. (2009). Inference for the limiting cluster size distribution of extreme values. The Annals of Statistics, 37, 271-310.
  • 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. (2008). Estimating the multivariate extremal index function. Bernoulli, 14, 1027-1064.
  • 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. (2007). Stochastic stability of some state-dependent growth-collapse processes. Advances in Applied Probability, 39, 1-32.
  • Lescourret, L. and Robert, C. (2006). Extreme dependence of multivariate catastrophic losses. Scandinavian Actuarial Journal, 2006-4, 203-225.
  • Gouriéroux, C. and Robert, C. (2005). Stochastic unit root models. Econometric Theory, 26, 1052-1090.
  • Robert, C. (2005). Asymptotic probabilities of an exceedance over renewal thresholds and an application to risk theory. Journal of Applied Probability, 42, 153–162.
  • Robert, C. (1998). Mouvements extrêmes des séries financières haute fréquence. Finance, 19, 221-247.

TEACHING

  • Time series (30 hours)
  • Risk measures (18 hours)
  • Extreme Value Theory (16 hours)