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CREAR Scientific Committee

A Scientific Committee ensures the relevance of CREAR research. Its role is to:

  • discuss, analyze and evaluate CREAR activities
  • advise on the latest development in the scientific field
  • meet at least once a year
  • provide strategic recommendation

    Its members are European experts, 3 academics and 3 professionals, internationally recognized in their field on risk                   management. Here is the list (in alphabetic order):

  • Dr. Michel Dacorogna (SCOR Scientific Advisor)
  • Prof. Paul Embrechts (ETH Zürich, Switzerland)
  • Prof. Monique Jeanblanc (Evry University, France)
  • Prof. Bent Nielsen (Oxford University, UK)
  •  Dr. Florence Picard (Institut des Actuaires, France)
  • Dr. Dirk Tasche (Prudential Regulation Authority, Bank of England)

Dr. Michel Dacorogna:

Professor Paul Embrechts :

Paul Embrechts

Professor Monique Jeanblanc:

Professor Bent Nielsen:

Dr. Florence Picard :

Dr. Dirk Tasche :

Dr. Michel Dacorogna (Doctorate in Theoretical Physics, Université de Genève, & HDR ; post-doc at the University of California in Berkeley), is Scientific Advisor to the Chairman of SCOR. He conducts research in the field of Insurance Mathematics, Capital Management and Risks. As a member of the board of the SCOR Science Foundation, he makes sure that SCOR sponsorship is put to optimal use. Known in the academic world and recognised by the industry, he is also in charge of the joint Research Center on Insurance Risk with the Nanyang Technical University of Singapore. He also lectures at the ETH and University of Zurich, at the University Ca’Foscari in Venice (Italy) and at the University of Turin (Italy) in their master of finance programs. Author and co-author of more than 70 publications in refereed scientific journals, and of the book ‘Introduction to High Frequency Finance’ (Academic Press, 2001), he is often invited to present his results in international conferences and specialised seminars. Until July 2013, Michel was deputy group CRO in charge of Solvency II and the internal model. He was at the origin of SCOR’s internal model, which he developed for more than 10 years.

Paul Embrechts is Professor of Mathematics at the ETH Zurich specialising in actuarial mathematics and quantitative risk management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at the University of Strasbourg, ESSEC Paris, the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), the National University of Singapore, Kyoto University, and has an Honorary Doctorate from the University of Waterloo, the Heriot-Watt University, Edinburgh, and the Université Catholique de Louvain. He is an Elected Fellow of the Institute of Mathematical Statistics, Actuary-SAA, Honorary Fellow of the Institute and the Faculty of Actuaries, Corresponding Member of the Italian Institute of Actuaries, Member Honoris Causa of the Belgian Institute of Actuaries and is on the editorial board of numerous scientific journals. He belongs to various national and international research and academic advisory committees. He co-authored the influential books "Modelling of Extremal Events for Insurance and Finance", Springer, 1997 and "Quantitative Risk Management: Concepts, Techniques, Tools", Princeton UP, 2005. Dr. Embrechts consults on issues in quantitative risk management for financial institutions, insurance companies and international regulatory authorities.

For full details of his CV, see http://www.math.ethz.ch/~embrechts/CV-PE.htm

Monique Jeanblanc, Emeritus Professor at Evry University, is interested in credit risk modeling and the role of information. Dr. Jeanblanc wrote about 100 papers in probability theory and mathematical finance and three books : “Marchés financiers en temps continu: valorization et équilibre” (with R.-A. Dana), Economica, 1994,  “Financial markets in continuous time” (with R.-A. Dana), Springer, 2003, “Mathematics methods for financial markets” (with M. Chesney and M. Yor), Springer, 2007. She was the supervisor of 18 PhD students. She was the head of the “Chaire Risque de Crédit”-Fédération Bancaire Française (2008-2012), and is, since 2013, co-head of the “Chaire Marchés en Mutation” - Fédération Bancaire Française. She is a member of the editorial boards of several journals: International Journal of Theoretical and Applied Finance (since 2000), Finance and Stochastics (since 1999), Stochastic Processes and Aplications (since 2007), Banks Bankers, Markets and Investors (since 2009), and was Guest Editor of a special issue of International Journal of Theoretical and Applied Finance dedicated to Information in Finance in 2000, as well as of a special issue of Finance dedicated to Mathematical Finance in December 2002.

Bent Nielsen (Ms in insurance mathematics & PhD in Statistics & Econometrics, University of Copenhagen) is Reader in Econometrics, Department of Economics at the University of Oxford and Fellow of Nuffield College. His research fields are the theory of econometric modeling and forecasting, working on the analysis of non-stationary time series with random walk or explosive features, model selection, cohort analysis, reserving in general insurance. He is the co-author, with Sir David Hendry (Oxford Univ.), of the popular book: Econometric Modeling: A Likelihood Approach,Princeton Univ. Press, 2007.Currently he is interested in the theoretical properties of algorithms such as the Forward Search and Autometrics, and cohort models such as the age-period-cohort model and the chain ladder method used to forecast future liabilities in general insurance. He is also member of the Programme for Economic Modellingwhich is part of Institute for New Economic Thinking at the Oxford Martin School.For full details, see http://users.ox.ac.uk/~nuff0078/

Florence Picard (graduated from the Statistics Institute ISUP and in Cognitive Psychology, Doctorate in Mathematics from UPMC) is a member of the French “Institut des Actuaires”. Since 1982, she held different executive positions and is member of the board, in financial and insurance companies: Compagnie Financière Edmond de Rothschild, SIACI Saint Honoré, Midland Bank, Groupama, LCL. She is now in charge of the Scientific Committee of the Institut des Actuaires, as well as of its ‘Big Data’ Project. Her current interest is in machine-learning algorithms needed to process Big Data arising from Internet search and monitoring, but also in ethics and privacy aspects emerging from this problem.

Dirk Tasche (Doctorate in Probability Theory, Berlin University of Technology) is a technical specialist at the Bank of England – Prudential Regulation Authority (PRA). Before joining the PRA’s predecessor, the FSA, he worked for Lloyds Banking Group, Fitch Ratings and the Deutsche Bundesbank. Dirk’s main scientific interests are credit risk modelling and the theory and applications of risk measures. He has published a number of papers on quantitative risk management. In March 2013, Dirk was appointed visiting professor in the Mathematics Department of Imperial College where in the spring term 2014 he taught a course on "Quantitative Risk Management" for MSc students in Mathematics and Finance.