Christian-Yann ROBERT

Grade : Professeur des Universités Lyon 1

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
Statistical Learning


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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› 2019- : 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

› 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)



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. et Robert, C. (2005). Stochastic unit root models. Econometric Theory, 26, 1052-1090.
Lescourret, L. et 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. et 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. et 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. et Rosenbaum, M. (2012). Volatility and covariation estimation when microstructure noise and trading times are endogenous. Mathematical Finance, 22, 133--164.
Lescourret, L. et Robert, C. (2011). Transparency matters: Price formation in presence of order preferencing. Journal of Financial Markets, 14, 227-258.
Robert, C. et Rosenbaum, M. (2010). On the microstructural hedging error. SIAM Journal of Financial Mathematics, 1, 427-453.
Robert, C. et 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. et 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. et Rosenbaum, M. (2010). Testing the type of a semi-martingale: Ito against multifractal. Electronic Journal of Statistics, 4, 1300-1323.
Doukhan, P., Prohl, S. et 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.
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. et Therond P. (2014). Distortion risk measures, ambiguity aversion and optimal effort. ASTIN Bulletin, 44, 277--302.
Robert C. (2014). On the De Vylder and Goovaert's conjecture about ruin for equalized claims. Journal of Applied Probability, 51, 874-879.
Nguyen, Q.H. et Robert C. (2013). New efficient estimators in rare event simulation with heavy tails. Journal of Computational and Applied Mathematics, 261, 39--47.
Delattre S., Robert C. et Rosenbaum M. (2013). Estimating the efficient price from the order flow: a Brownian Cox process approach. Stochastic Processes and their Applications, 123, 2603-2619.
Hainaut, D. et Robert C. (2014). Credit Risk valuation with rating transitions and partial information. International Journal of Theoretical and Applied Finance, Vol. 17, n. 7.
Nguyen, Q.H. et Robert C. (2013). Series expansions for convolutions of Pareto distribution. Statistics & Risk Modeling (with Applications in Finance and Insurance), 32, 1, 49-72.
Albrecher, A. Robert C. and Teugels J.L. (2014). Joint asymptotic distributions of smallest and largest insurance claims. Risks, 2, 289-314.
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. Advances in Applied Probability, 48, A, 77-97.
Bienvenüe, A. and Robert C. (2015). Systemic tail risk distribution. Annals of Economics and Statistics. 123/124, 29-52.
  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
Cousin, A., Jiao, Y., Robert, C. and Zerbib, D. (2016) Benchmarking asset allocation strategies in the presence of liability constraints. Insurance: Mathematics and Economics, 70, 327-338.
Cossette, H., Marceau, E, Nguyen, H.Q. and Robert, C. (2017). Rare event simulation with heavy tails and Archimedean copulas. 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. Stochastic Processes and Their Applications. Available online 4 October 2018.
Koch, E. and Robert, C. (2018). Geometric ergodicity for some space-time max-stable Markov chains. Statistics and Probability letters. 145, pp.43-49
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.


Teaching

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Risk Theory 
› Extreme Value Theory 


Work in progress

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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?
 


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