Christian-Yann ROBERT

Grade : Professeur des Universités Lyon 1


Bureau:
-
Timbre:
J320
Lieu:
(MK2)
Labo:
LFA

Téléphone : -

Mail : chrobert[arrowbase]ensae.fr

ResearchEducationJobsBooksJournal articlesTeachingWork in progress

Research Interests

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Extreme Value Theory and Statistics
Actuarial Theory and Practice
Statistical Finance


Biography

Education

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Actuary, Member of the Institut des Actuaires.
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

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Professor of Statistics at ISFA, since 1st Nov 2010
Institut de Science Financière et d'Assurances
50 avenue Tony Garnier
69366 LYON CEDEX 07

Research fellow at the Laboratory in Finance and Insurance (LFA)
CREST - Center for Research in Economics and Statistics
15 Boulevard Gabriel Péri - 92245 Malakoff Cedex - FRANCE

2006-2010 : Associate Professor in Actuarial Science at the 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)



Publications

Books

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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

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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. (2009). Volatility and covariation estimation when microstructure noise and trading times are endogenous. To appear in Mathematical Finance.
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. (2010). A new approach for the dynamics of ultra high frequency data: the model with uncertainty zones. To appear in Journal of Financial Econometrics.
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. To appear in Stochastic Processes and their Applications.
› Robert C. (2013). Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework. To appear in Insurance: Mathematics and Economics.
› 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.
› Hainaut, D. and Robert C. (2014). Credit Risk valuation with rating transitions and partial information. International Journal of Theoretical and Applied Finance, 17, 1450046.
› 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.


Teaching

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


Work in progress

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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.


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