Arthur Charpentierå arthur.charpentier@gmail.com | Ǳ 0003-3654-6286 | H freakonometrics
F freakonometrics | q scholar | URL: https://freakonometrics.github.io/

Topics
Predictive Modeling, Actuarial Science & Insurance, Mathematics Economics, Networks &Algorithms, Statistics & Econometrics, Statistics & Machine Learning, Climate Modeling,
Extremes & Dependence, Inequalities & Fairness

Bio
Experience
Université du Québec à Montréal
Professor, Mathematics Department

Université de Rennes
Professor, Faculty of Economics

Institut des Actuaires
Director, Data Science for Actuaries Program

Université de Rennes
Assistant Professor - Maître de Conférences, Faculty of Economics

Université du Québec à Montréal
Professor, Mathematics Department

Université de Montréal
Visiting Professor, Mathematics Department

École Polytechnique
Professeur Chargé de Cours, Economics Department

Université de Rennes
Assistant Professor - Maître de Conférences, Faculty of Economics

École Nationale de la Statistique et d’Analyse de l’Information
ENSAI, Lecturer

École Nationale de la Statistique et de l’Administration Économique
ENSAE, Lecturer

Montréal, Canada
since 2018

Rennes, France
2017-2018

Paris, France
2015-2018

Rennes, France
2014-2017

Montréal, Canada
2011-2014

Montréal, Canada
2010-2011

Palaiseau, France
2008-2010

Rennes, France
2007-2010

Ker Lann, France
2006-2007

Malakoff, France
2002-2006

French Federation of Insurers

Paris, France

FFA (ex FFSA), Statistics department

2001-2002

AXA General Insurance Hong Kong Limited
Pricing and Reserving Actuary

Exane
Fixed Income Research Department

Hong Kong, China
1999-2001

Paris, France
1998-1999

Education
Université de Rennes
Habilitation à diriger des recherches

Rennes, France
2017Katholieke Universiteit Leuven

Leuven, Belgium

Doctor in de Wetenschappen Wiskunde - PhD in Applied Mathematics

École Nationale de la Statistique et de l’Administration Économique

2006

Malakoff, France

ENSAE, MSc. in statistics & actuarial science

Université Paris Dauphine

1999

Paris, France

DEA MASE, MSc. in mathematical economics & finance

1999

Affiliations
Adjunct Professor
2020

University of Waterloo

Current
CRM, HumanIA, Chaire PARI, DEEL-MILA, Résau de recherche épidémiologie et santé publique
Résau de recherche sur le numériquePrevious
CREM, GERAD, CREST, École Polytechnique

Honors and other activities
Louis Bachelier Fellowship
Academic Fellow

Paris, France
since 2021

Risks
Member of the Editorial Board

since 2019

Astin Bulletin Editorial Board
Journal of the International Actuarial Association, member of the Editorial Board

since 2018

European Actuarial Journal
Associate Editor

Institut des Actuaires Fellow
Member of the International Actuarial Association (IAA)

since 2014

Paris, France
since 2003

Selected recent services
HCÉRES
Haut Conseil de l’évaluation de la recherche et de l’enseignement supérieur
Evalution committee president

FRQNT Grants
Member of the jury (B1/B2/B3-03E), Master, PhD, Postdocs

Faculty of Science, UQAM
Member of the Research Committee

Bachelor Program in Actuarial Science, UQAM
Member of the supervising committee

Conseil de Faculté, Université de Rennes
Member of the faculty board

Paris, France
2020

Québec, Canada
since 2019

Montréal, Canada
since 2018

Montréal, Canada
since 2018

Rennes, France
2016-2018

Data & CodeInsurance Pricing GameAICrowd

http://pricing-game.com/ with Imperial College

2020-2021

CASDataset
http://cas.uqam.ca/R
2017

Dissemination
Hypotheses Blog Notebook https://freakonometrics.hypotheses.org/∼ 1.2 million visitors, 3 million page views per year

since 2008

Twitter account @freakonometrics
Scientific dissemination, ∼ 27,950 followers

since 2010

Coronavirus : un pic très net de mortalité en France depuis le 1er mars...

Le Monde 2020

#fakenews : non, l’IA ne peut pas prédire les émeutes

Sciences & Vie 2019

Les données actuarielles des assureurs, un trésor pour la connaissance client ?
Arthur Charpentier on Freakonometrics, Machine Learning and Big Data

Les Echos 2018
Economic Rockstar 2018

Les Cat Bonds ont de l’avenir

France Culture 2018

Coupe du Monde 2018 : des chercheurs de Rennes prévoient la victoire de la France

RTL 2018

Peut-on vraiment prévoir la probabilité de gagner une élection présidentielle ?

La Tribune 2017

Le casino des catastrophes

La Revue Dessinée 2016

How social media usage does and does not predict protests

Washington Post, 2015

You can vote twice! The many political appeals of proxy votes in France

Washington Post, 2014see https://freakonometrics.github.io/dissemination/ for more details

Selected expertiseInternational Monetary Fund (IMF)

Washington DC, US

Assessing Central Bank Solvency

2021

International Fund for Agricultural Development (IFAD) United Nations

Roma, Italy

NLP and Topic Modeling2020-2021

HMG FinanceFirst-In First-Out (FIFO) vs Last-In First-Out (LIFO), perpertual rents

Paris, France
2012

Academic activities
Recent conferences organization
Emerging Insights in Insurance Statistics
with E. Valdez, J. Cao & H. Jeong

Journées de la Statistique
SFdS (Société Française de Statistique) Annual Meeting (scientific committee)

3rd Insurance Data Science conferencewith M. Gesmann, I. Kyriakou, S. Pesenti & A. Tsanakas

36th Meeting of the Canadian Econometric Study Group
Machine Learning Econometrics, at UQAM (scientific committee)

Atlantic Causal Inference Conference
University McGill (scientific committee)

Workshop on data science for actuarial applications
ACTINFO Chair, with Chairs at University CB Lyon (ISFA)

BIRS, Banff, Canada
2022

Lyon, France
2022

London, UK
2021

Montreal, Canada
2019

Montreal, Canada
2019

Paris, France
2018

Workshop on multivariate inequalities

Rennes, France

ANR Ordineq, with O. L’Haridon & B. Taroux

2018Selected talks at conferences
Actuarial Sciences and Applications

CIRM, Luminy, France

title to be confirmed (invited)2022

Social Consequences of Algorithmic Forecast

Bologna, Italy

title to be confirmed (invited)

2021

Workshop on Applications of Mean Field Games

Chicago, US

title to be confirmed (invited speaker)

2021

SSC (Statistical Society of Canada) Annual Conference

Canada

Autocalibration & Premium Calculations (invited session)

2021

IME (Insurance: Mathematics & Economics) Annual Conference Champaign, Illinois, US
Autocalibration & Premium Calculations

2021

ASTIN Annual Conference

Orlando, Florida, US

Autocalibration & Premium Calculations

2021

MODCOV19-CNRS

Paris, France

Modèles épidémiologiques pour analyse coût-efficacité sous incertitude (invited speaker)

Machine learning for economists and applied social scientists S
Machine Learning in Actuarial Science & Insurance (plenary speaker)

2020

Hallifax, Canada
2020

Actuarial and Financial Mathematics Conference

Brussels, Belgium

Insurance Pricing in Competitive Markets (invited speaker)

2020

Online International Conference in Actuarial science and finance
Modeling Joint Lives within Families

2020

Risk Analytics Conference

Chicago, US

Actuarial Pricing and Competition, University of Illinois (keynote speaker)

UCSB InsurTech Summit

2019

Natural Catastrophe Economics Workshop

Zürich, Swiss

Assessing Probabilities with Climate Change (invited speaker)

2019

XXVIIIth International Biometric Conference

Barcelona, Spain

Collaborative Genealogical Data in Demography (invited session)

2018

European R Users Meeting S

Budapest, Hungary

Collaborative Genealogical Data in Demography (invited speaker)

2018

Ecole Thématique sur l’Evaluation des Politiques Publiques

Aussois, France

Evaluation du prejudice corporel en assurance automobile (invited speaker)

2017

Artificial Intelligence for fintech and insurtech

IHP, Paris, France

Insurance Pricing and Competition (invited speaker)

2017

New challenges in the measurement of economic inequalities
Cartostats
La Ville en Économie (invited speaker)

2018Bank of England, London, UK

Insurance: Risk Pooling or Price Segmentation (keynote speaker)

Extended Pareto Models and Incomes (invited speaker)

2019Santa Barbara, US

Insurance Pricing in Competitive Markets (invited speaker)

Big data empirics and policy analysis

Lyon, France

Marseille, France
2017

Université Paris Diderot, France
2017

Dependence Modelling with Applications in Finance and Insurance (invited speaker)Athens, Greece
Insurance Pricing and Competition

2017Comprendre et Anticiper la Révolution du Numérique en Assurance

Caen, France

Assurance et Responsabilité (invited speaker)

2017

Statistical Learning and Data Science

Erasmus University, Rotterdam, Netherlands

Quantiles and Expectiles (invited speaker)

2017

Sciences XXL

INED, Paris, France

Collaborative Data in Genealogy (invited speaker)

2017

3rd International MACroeconomics workshop (IMAC)

Rennes, France

From Micro to Macro (invited speaker)

2016

Ordinal and Multidimensional Inequalities

Montpelier, France

Pareto Models and Incomes (invited speaker)

2016

Droit des données personnelles

Amiens, France

Assurance & RGPD (règlement général sur la protection des données) (invited speaker)

2016

3rd EAJ Conference (European Actuarial Journal)

Lyon, France

Big Data and Insurance (invited speaker)

2016International Conference on Applied Business and Economics

Nanterre, France

Natural Catastrophes and Governement Intervention

2016

Big Data : la recherche s’expose

Paris, France

Big Data and Insurance (invited speaker)

2016

Centre for Central Banking Studies

Bank of England, London, UK

Big Data and Insurance (keynote speaker)

2016

Asociación Española de Gerencia de Riesgos y Seguros

Barcelona, Spain

Machine Learning and Insurance (keynote speaker)

Big Data & Environment

2016

Buenos Aires, Argentina

Impact of time Granularity on Statistical Modeling (invited speaker)

2015

IA|BE Summer School

Louvain, Belgium

Machine Learning and Insurance (keynote speaker)

2015

ACP meeting

Leuven, Belgium

Big and Small Data in Insurance (invited speaker)

2015

Journées de Statistiques

Lille, France

Probit transformation for nonparametric kernel estimation of the copula density

2015

22nd International Forecasting Financial Markets Conference

Rennes, France

Copulas and FinanceInsurance & Finance Colloquium

2015

Le Mans, France

Risk Measures and Pareto Models

2015

R in Insurance

London, UK

Getting into Bayesian Wizardry... with the eyes of a muggle actuary (keynote speaker)

SSC annual conference
Risk Measures and Pareto Models (invited session)

2014

Toronto, Canada
2014

Mathematical Finance Days

HEC Montréal, Canada

Risk Measures and Pareto Models

2014World Social Science Forum (UNESCO)
Academic Blogging

Mathematical Finance Days
Quantiles Estimation from Heavy Tailed Distribution

Montréal, Canada
2013

HEC Montréal, Canada
2013

6th R/Rmetrics Summer School on Computational Finance

Meielisalp, Swiss

Actuarial Science with R (invited speaker)

2012

Journées de la Société Canadienne de Sciences Économiques

Mont Tremblant, Canada

Modeling dynamic incentives an application to basketball2012

Québec-Ontario Workshop on Insurance Mathematics

Montréal, Canada

Quantiles Estimation from Heavy Tailed Distribution

2012

Mathematical Finance Days

HEC Montréal, Canada

Fast Computations on Binomial Trees

2012

Journées de la Société canadienne de sciences économiques

Sherbrooke, Canada

Insurance of Natural Catastrophes When Should Government Intervene ?

2011

Changement climatique et gestion des risques

Lyon, France

Modeling heat-waves: return period for non-stationary extremes

2011

Journées d’Etudes Statistique

Luminy, France

Copulas, Insurance and Risk Measures (invited speaker)

2010

IA-Lyon Summer School

Lyon, France

Solvency II’ newspeak ’one year uncertainty for IBNR’ : the boostrap approach

Financial Risks International Forum2010

Paris, France

Multiple Risk Measures

2010

Assessment and Mitigation of Emerging Risks

Paris, France

Emerging risks: an actuarial perspective

2009

R.I.S.K. Symposium

Paris, France

Incertitude des régimes des retraites

2009

Workshop Finance & Insurance

Sao Paulo, Brazil

Estimation of quantile related risk measures (invited speaker)

2009Workshop on Actuarial Science

Belo Horizonte, Brazil

IBNR and quantification of uncertainty

2009

7th International Workshop on Rare Event Simulation (RESIM)
Optimal Reinsurance with ruin probability target

Rennes, France
2008

Selected talks at academic seminars
Institut Louis Bachelier

Paris, France, 2021

HEC Montréal, IRE - CREE Seminar

Montréal, Canada, 2021

Science Po (TransNum)

Paris, France, 2020

University of Connecticut, Actuarial Seminar

Storrs, CT, US, 2020

University of New South Wales (UNSW)

Sydney, Australia, 2020

Aix-Marseille School of Economics (AMSE)

Marseille, France, 2020

European Network for Business and Industrial Statistics (ENBIS)

Palaiseau, France, 2020

Paris Machine Learning Group

Paris, France, 2020

CMAP, École Polytechnique

Palaiseau, France, 2020

AICS S

Toronto, Canada, 2020

Chaire Pari (Programme sur l’Appréhension des Risques et des Incertitudes)

Paris, France, 2019

ESSEC Risk Seminar

Paris, France, 2019

University of California, Actuarial & Statistical Seminar
University of Wisconsin, Risk & Insurance Semainar

Santa Barbara, CA, US, 2019
Madison, WI, US, 2019

University of Waterloo, Actuarial Seminar

Waterloo, Canada, 2019

UQAM, LATECE, Computer Science Seminar

Montreal, Canada, 2019

Université Laval, Quantact Actuarial Seminar

Québec, Canada, 2019

UQAM, Economics Seminar

Montreal, Canada, 2018

Telecom ParisTech

Paris, France, 2018

Università degli Studi dell’Insubria, Economics Seminar

Varese, Italy, 2018

ESSEC Risk Seminar
Université Laval, Economics Seminar

Paris, France, 2018
Québec, Canada, 2018

University of Michigan, Mathematics Seminar

Ann Arbor, US, 2017

Université de Caen, Economics Seminar

Caen, France, 2017

Université Paris Diderot, Statistics Seminar

Paris, France, 2016

Université Catholique de Louvain

Louvain, Belgium, 2015

GERAD, Université de Montréal

Montréal, Canada, 2014

Université Laval, Computational Science Seminar
Centro de Investigación en Matemáticas
Universiteit van Amsterdam
HEC Lausanne, Actuarial Seminar
GeoTop, UQAM

Quebec, Canada, 2014
Guanajuato, Mexico, 2014
Amsterdam, Netherlands, 2013
Lausanne, Switzerland, 2013
Montréal, Canada, 2012

Université Laval, Statistical Seminar

Québec, Canada, 2011

Université Laval, Business School Seminar

Québec, Canada, 2011

Université Laval, Actuarial Seminar

Québec, Canada, 2011

HEC Montréal
McGill University, Statistical Seminar
Université de Rennes, Economics Seminar
ESSEC Risk Seminar
Université de Montpellier

Canada, 2010
Montréal, Canada, 2010
Rennes, France, 2010
Paris, France, 2009
Montpellier, France, 2009

Université de Brest

Brest, France, 2009

Université de Rennes

Rennes, France, 2008

Université de Nantes

Nantes, France, 2008

Université Pierrre & Marie Currie
Universiteit van Amsterdam
Université de Toulouse 1

Paris, France, 2008
Amsterdam, Netherlands, 2008
Toulouse, France, 2007

Imperial College

London, UK, 2007

PSE ENS Cachan

Paris, France, 2007

Université de Grenoble

Grenoble France, 2007

Université Paris Nanterre

Nanterre, France, 2007

Université de Compiègne

Compiègne, France, 2007

Universidad de Valparaíso

Valparaíso, Chile, 2006

ENSAI
PSE Paris Sorbonne

Rennes, France, 2006
Paris, France, 2006

Katholieke Universiteit Leuven

Leuven, Belgium, 2006

Institut de mathématiques appliqués

Angers, France, 2006

Selected talks at practitioners seminars
Data Driven Montréal
Data science and insurance (Meetup)

TD Insurance
Insurance pricing in competitive markets

Autorité de contrôle prudentiel et de résolution (ACPR)
Insurance pricing in competitive markets

SCOR, Rencontres Mutualistes

Montréal, Canada
2021

Montréal, Canada
2020

Paris, France
2019

Beaune, France

Insurance pricing in competitive markets

2018

AON Benfield, Journées du marchéParis, France

Insurance and climate

Data science conference, Generali
Machine learning in insuranceInstitut des Actuaires, Big Data Semimar
Machine learing in insuranceSociety of Actuaries, Predictive Modeling Seminar
From Generalized Linear Models to Trees

Desjardins Reserving Seminar
One-year uncertainty

Milliman Reserving Seminar
One-year uncertainty

2018

Paris, France
2016

Paris, France
2015

Chicago, IL, US
2013

Montréal, Canada
2011

Paris, France
2010

Referee for peer reviewed journals
Stochastic Environmental Research and Risk Assessment, Theory and Decision, Insurance:
Mathematics and Economics, Journal of Banking and Finance, The Canadian Journal of
Statistics, Journal of Computational and Graphical Statistics, Journal of Multivariate Analysis,
Communications in Statistics: Theory and Methods, Quantitative Finance, Journal of theAmerican Statistical Association, TEST, Asia-Pacific Journal of Financial Studies, Statistics andDecision, Kybernetika, European Journal of Finance, Mathematics and Financial Economics,
Statistica Sinica, Extremes, Physics and Chemistry of the Earth, Computational Statistics,
Geneva Papers on Risk and Insurance, Bernoulli, Water Ressources, Statistics & Probability
Letters, Mathematical Finance, Journal of Risk, Journal of Hydrology, Scandinavian Actuarial
Journal, Advances in Statistical Analysis, European Actuarial Journal, Metrika, Journal of
Statistical Planning and Inference, Annals of Applied Statistics, Constructive Approximation,
Econometric Reviews, Annals of Economics and Statistics, Annals of Actuarial Science, Journalof the Royal Statistical Society – Series B, Mathematics of Social Sciences, Economic Theory,
ASTIN Bulletin, Journal of Statistical Software, Journal of Population Economics, Risks, Journalof Zhejiang University - Science A, Journal of Time Series Analysis, European Journal ofOperation Research, Econometrica, Dependence Modeling, Journal of Economic Behavior &Organization, Annals of Actuarial Science, Entropy, Sustainability, Risk Analysis, Journal of
Statistical Computation and Simulation, North American Actuarial Journal, IEEE Transactions
on Information Theory, Remote Sensing, Stochastic Processes & Applications, Journal of
Mathematical Economics

Reviewer activities
Tenure review
UC Santa Barbara, HEC Lausanne, Heriot-Watt University, University of Madison Wisconsin
GrantsANR (Agence Nationale pour la Recherche, France), AXA Research Fund, FNR Luxembourg
CORE program (Luxembourg), FRQNT (Fonds de Recherche du Québec - Nature &Technologie, Canada), F.R.S.-FNRS (Fonds de la Recherche Scientifique, Belgique), MICTACS(Mathematics of Information Technology and Complex systems, Canada), NSA (National
Security Agency - Mathematical Sciences Grant Program - U.S.A.), NSERC (Natural Sciencesand Engineering Research Council, Canada), IVADO (Institut de valorisation des données,
Canada), ANRT (Agence Nationale Recherche & Technologie, France)
Selected research visits (> 1 week)
University of California

Santa Barbara, CA, US

visiting Mike Ludkovski

2019

Universitat de Barcelona

Barcelona, Spain

visiting Montserrat Guillen

2018

Università degli Studi dell’Insubria

Varese, Italy

visiting Raffaello Seri

2018

Harvard University

Cambridge, USvisiting Christine Choirat & Pierre Jacob

2017

Universitat de Barcelona

Barcelona, Spain

visiting Montserrat Guillen

2016

Centro de Investigación en Matemáticas
visiting Victor Rivero

Universidade Federal de Minas Gerais
visiting Renato Assunção

Guanajuato, Mexico
2014

Belo Horizonte , Brazil
2013

Master students (last 5 years only)
Rawanda Matar

UQAM, 2021

Thomas Carpentier

Université de Lyon, France, 2021

Lariosse Kouakou

Université de Brest, France, 2020

Elie Odin
Apollinaire BarmeENS (École Normale Supérieure) Ker Lann, France, 2020
ENSAE, Paris, France, 2019

Molly James

Université de Brest, France, 2019

Enora Belz

Université de Rennes, France, 2017

Clothilde Davesne

ENSAE, Paris, France, 2015

Julie Viard

ENSAE, Paris, France, 2015

PhD Students supervision
Philipp Ratz
Reiforcement learning and Insurance

2021

Samuel Stocksieker
Unbalanced Data, co-supervised with D. Pommeret (Université de Lyon)

2020-today

Hongda Hu
Bandits and risks, co-supervised with A. Schied (Waterloo)

2020-today

Enora Belz
Etude de données agrégées et mesures d’inégalités

2016-today

Antoine Ly

now Data Science at SCOR

Algorithmes de machine learning en assurance, co-supervised with R. Élie

2015-2019

Amadou Barrynow McGill

La régression expectile pour données longitudinales, co-supervised with K. Oualkacha

2013-2019

Post-doctoral supervision
Ewen Gallic

now Aix Marseille School of Economics

Extracting information from collaborative genealogical data

2017-2018

Arnaud Goussebaïle

now ETH Zürich

Insurance and prevention of natural catastrophes

2016-2017

Jury (PhD & Habilitation)
Nabil Kazi-Tani

Université de Lyon 1

Contrôle stochastique, mesures de risque et théorie de la ruine

Loann Desboulets

2021

Aix-Marseille School of Economics

Variable selection on non-linear manifolds

2020

Lenin Arango Castillo

Queen’s University

Long-range dependence in stationary Gaussian time series

2020

Sander Devriendt

KU Leuven

Sparse predictive modeling with applications in insurance pricing and mortality forecasting

Pierrick Piette

Université de Lyon 1

Contributions de l’Apprentissage Statistique à l’Actuariat

Oscar Alberto Quijano Xacur

2019

Concordia University, Montréal

Computational Bayesian Methods for Insurance Premium Estimation

Yang Jiao
Applications of Artificial Intelligence in E-Commerce and Finance

Edouard Debonneuil
Analyses prospectives de mortalité : approches actuarielle et biomédicale

Alexandre Godzinski
Three empirical essays on moral hazard identification in insurance

Fattouma Souissi
Gini-PLS regression: an application on agriculture incomes inequalities

Arnaud GoussebaïlePrevention and Insurance of Natural Catastrophes

2020

2019

Telecom SudParis
2018

Université de Lyon 1
2018

EHESS, PSE, Paris
2017

Université de Montpellier
2016

École Polytechnique
2015

Leo Guelman

Universitat de Barcelona

Optimal personalized treatment learning models with insurance applications

2015

Przemyslaw Sloma

Université Paris VI

Contribution to the weak convergence of empirical copula processes

2014

Mathieu Pigeon

UC Louvain

Multivariate Skew Models with Applications in Loss Reserving and Reinsurance

Julien Tomas

Uv Amsterdam

Quantifying biometric life insurance risks with nonparametric smoothing methods

Aymric Kamega

Contribution à l’étude du processus empirique de copule

Meriem Maatig
Effets des comportements risqués des conducteurs sur la sinistralité

Noureddine Ben Lagha
Nouvelles approches de l’étude de la sinistralité en assurance automobile

2013

Université Lyon I

Outils adaptés au contexte de l’assurance vie en Afrique subsaharienne francophone

Tarek Zari

2014

2011

Université Paris VI
2010

Université Paris II Assas
2010

Université Paris II Assas
2008

GrantsFinancial Grants
AXA Research Fund

200,000e

Joint research initiative, PI Single (100%)

2020-2022

Natural Sciences and Engineering Research Council of Canada$3,400,000

Emerging Infectious Diseases Modelling Initiative, CRM-PIMS Group (2%)

2020-2022

Institut Louis Bachelier

10,000e

Opinion and Debate grant on actuarial fairness, PI (100%)

2021

Natural Sciences and Engineering Research Council of Canada$100,000

NSERC-CRSNG, Discovery Grant, PI Single (100%)

2019-2025

Institut des Actuaires Research Grant (France)
PI Single (100%)$8,0002019

Agence Nationale pour la Recherche

525,000e

ORDINEQ project Ordinal and Multivariate Inequalities (5%)

2015-2019

Institut Louis Bachelier

558,000e

ACTINFO Research Chair, co-PI, with Romuald Élie (50%)

2015-2018

PEPS MoMIS, CNRS

15,000e

co-PI, with Fréderic Giroire (30%)

Natural Sciences and Engineering Research Council of Canada

2015$70,000

NSERC-CRSNG, Discovery Grant, PI Single (100%)

2012-2014

Institut Louis Bachelier

10,000e

Chaire Groupama-Dauphine, Research Grant (100%)

2010

Agence Nationale pour la Recherche

500,000e

AST&Risk Approches spatio-temporelles pour la modélisation du risque (5%)

2008-2012

Institut Louis Bachelier

24,000e

Chaire AXA-ENSAE(100%)2010

Publications
Published papers in peer reviewed journals
1. A. Charpentier, S. Mussard & T. Ouraga⋆ (2021) Principal Component Analysis: A
Generalized Gini Approach. European Journal of Operation Researchdoi:10.1016/j.ejor.2021.02.010
2. A. Charpentier, R. Élie, M. Laurière+ & V.C. Tran (2020) COVID-19 pandemic control:balancing detection policy and lockdown intervention under ICU sustainability.
Mathematical Modelelling of Natural Phenomena doi:10.1051/mmnp/2020045
3. L. Barry & A. Charpentier (2020) Personalization as a Promise: Can Big Data Change thePractice of Insurance?. Big Data & Society. doi:10.1177/2053951720935143
4. A. Charpentier & E. Gallic+ (2020) Can historical demography benefit from thecollaborative data of genealogy websites?. Population, doi:10.3917/popu.2002.0391
5. A. Charpentier & E. Gallic+ (2019) Using collaborative genealogy data to study migration:a research note. The History of the Family, doi:10.1080/1081602X.2019.1641130
6. A. Charpentier, N., Ka⋆ , S. Mussard & O.H. Ndiaye (2019) Gini Regressions andHeteroskedasticity. Econometrics, 7, doi:10.3390/econometrics7010004
7. A. Charpentier, E. Flachaire & A. Ly⋆ (2018) Econometrics and Machine Learning.
Economics & Statistics, doi:10.24187/ecostat.2018.505d.1970
8. A. Charpentier & B. Coulmont (2018) We are not alone ! (at least, most of us)
Significance, doi:10.1111/j.1740-9713.2018.01108.x
9. A. Charpentier, A. David⋆ & R. Élie (2017) Optimal Claiming Strategies in Bonus Malus
Systems and Implied Markov Chains. Risks, doi:10.3390/risks5040058
10. A. Charpentier & M. Pigeon (2016) Macro vs. Micro Methods in Non-Life Claims
Reserving (an Econometric Perspective). Risks, 4: 1-18, doi:10.3390/risks4020012
11. G.Geenens, A.Charpentier & D.Paindaveine Probit transformation for nonparametrickernel estimation of the copula density. Bernoulli, 2017 doi:10.3150/15-BEJ798
12. A.Charpentier, A.Galichon & M.Henry (2016) Local Utility and Multivariate Risk
Aversion. Mathematics of Operations Research, 41: 466-476 doi:10.1287/moor.2015.0736
13. A.Charpentier & E.Gallic⋆ (2016) Kernel density estimation based on Ripley’s correction.
Geoinformatica, 20: 95-116, 2016 doi:10.1007/s10707-015-0232-z
14. A.Charpentier & E.Flachaire (2015) Log-transform kernel density estimation of income
distribution. Actualité Economique, 91 :141-149, doi:10.7202/1036917ar
15. C. Tavéra, J.-C. Poutineau, J.-S. Pentecôte, I. Cadoret-David, A. Charpentier, C. Guéguen,
M. Huchet-Bourdon, J. Licheron⋆ & G. L’Oeillet⋆ (2015) The ”Mother of All Puzzles” at
thirty: a meta-analysis. International Economics, 141 :80-96,
doi:10.1016/j.inteco.2015.01.001
16. M.T.Bastos, A.Charpentier & D.Mercea Tents, Tweets, and Events: The Interplay Between
Ongoing Protests and Social Media. Journal of Communication, 65: 320–350, 2015
doi:10.1111/jcom.12145⋆: graduate student; + : post doc

17. A.Charpentier & B.Le Maux (2014) Natural catastrophe insurance: How should thegovernment intervene?. Journal of Public Economics, 115: 1-17,
doi:10.1016/j.jpubeco.2014.03.004
18. A.Charpentier, M.Durand⋆ (2015) Modeling earthquake dynamics. Journal of Seismology,
19: 721-739, doi:10.1007/s10950-015-9489-9
19. A.Charpentier, A.-L.Fougères, C.Genest & J.G.Nešlehová (2014) Multivariate Archimax
copula. Journal of Multivariate Analysis, doi:10.1016/j.jmva.2013.12.013
20. A.Charpentier & S.Mussard (2011) Income Inequality Games. Journal of Economic
Inequality, 9: 529–554, 20 doi:10.1007/s10888-011-9184-1
21. A.Charpentier (2011) On the return period of the 2003 heat wave. Climatic Change, 109:245–260, doi:10.1007/s10584-010-9944-0
22. A.Charpentier & A.Oulidi+ (2010) Beta kernel quantile estimators of heavy-tailed loss
distributions. Statistics and Computing, 20: 35–55, doi:10.1007/s11222-009-9114-2
23. A.Charpentier & A.Oulidi+ (2009) Estimating allocations for value-at-risk portfolio
optimization. Mathematical Methods of Operations Research, 69: 395,
doi:10.1007/s00186-008-0244-7
24. A.Charpentier & J.Segers (2009) Tails of multivariate Archimedean copulas. Journal ofMultivariate Analysis, 100: 1521–1537, 2009 doi:10.1016/j.jmva.2008.12.015
25. A. Charpentier & D. Sibaï⋆ (2009) Dynamic flood modeling: combining Hurst andGumbel’s approach. Environmetrics, 20: 32–52, doi:10.1002/env.909
26. A.Charpentier (2008) Insurability of climate risks. The Geneva Papers on Risk andInsurance, 33: 91–109, doi:10.1057/palgrave.gpp.2510155
27. A.Charpentier (2008) Dynamic dependence ordering for Archimedean copulas anddistorted copulas. Kybernetika, doi:10338.dmlcz/135890
28. A.Charpentier & J.Segers (2008) Convergence of Archimedean copulas. Statistics andProbability Letters, doi:10.1016/j.spl.2007.07.014
29. A.Charpentier & J.Segers (2007) Lower tail dependence for Archimedean copulas:
Characterizations and pitfalls. Insurance: Mathematics and Economics,
doi:10.1016/j.insmatheco.2006.08.004
30. A.Charpentier & A.Juri (2006) Limiting dependence structures for tail events, withapplications to credit derivatives. Journal of Applied Probability,
doi:10.1239/jap/1152413742
31. J.-C.Boüette⋆ , J.-F.Chassagneux⋆ , D,.Sibaï⋆ , R.Terron⋆ & A. Charpentier (2006) Wind in
Ireland: long memory or seasonal effect?. Stochastic Environmental Research and Risk
Assessment, doi:10.1007/s00477-005-0029-y
Books
32. G. Bénéplanc, A. Charpentier & P. Thourot (2021). Manuel de l’Assurance. Presses
Universitaires de France. to appear
33. A.Charpentier (2014). Computational Actuarial Science with R. CRC Press.

34. A. Charpentier & C. Dutang (2013). Actuariat avec R. CRAN.
35. M.Denuit & A.Charpentier (2005) Mathématiques de l’assurance non-vie - Tarification etprovisionnement (Tome 2). Economica.
36. M.Denuit & A.Charpentier (2004) Mathématiques de l’assurance non-vie - Principes
fondamentaux de théorie du risque (Tome 1). Economica.
37. Collective Actuarial Community Loss Data Analytics. An open text authored by the
Actuarial Community. 2019. https://ewfrees.github.io/Loss-Data-Analytics/
Published papers in French & Dissemination papers
38. A. Charpentier (2021) Une mesure ne peut être un objectif. Risques pdf
39. A. Charpentier & L. Barry (2020) Concilier risques collectifs et décisions individuelles.
Risques pdf
40. A. Charpentier, L. Barry & E. Gallic (2020) Quel avenir pour les probabilités prédictives
en assurance ? Annales des Mines 10.3917/rindu1.201.0074 pdf
41. A. Charpentier (2020) Big Data, GAFA et assurance. Annales des Mines
10.3917/rindu1.201.0053 pdf
42. R. Bigot & A. Charpentier (2019) Repenser la responsabilité, et la causalité. Risques pdf
43. A. Charpentier (2019) Les autorités publiques face aux risques, de la confiance au doute.
Risques, 119.
44. A.Charpentier & B. Cherrier (2019) La valeur de la vie. Risques, 118 pdf
45. A.Charpentier (2019) Les classes de risques vont-elles plus loin que les stéréotypes?.
L’actuariel, 32 pdf.
46. A.Charpentier (2019) Du pari au ”marché prédictif ”. Variance.eu pdf
47. A.Charpentier (2019) Petite histoire des paris sportifs. Variance.eu pdf
48. A.Charpentier (2018) Les réseaux pour réinventer l’assurance ? Risques pdf
49. A.Charpentier (2018) Histoire du hasard et de la simulation. Risques, 116 pdf
50. A.Charpentier (2018) La représentation cartographique des villes. Variance.eu, pdf
51. A.Charpentier (2018) Fake news, post-truth, Wikipedia et blockchain : vérité etconsensus. Risques, 115, pdf
52. A.Charpentier (2018) L’intelligence artificielle dilue-t-elle la responsabilité ?. Risques,
114, pdf
53. A.Charpentier (2018) Les modèles prédictifs peuvent-ils être loyaux et justes. Risques,
113, pdf
54. A.Charpentier (2017) L’éthique de la modélisation dans un monde où la normalitén’existe plus. Risques, 112, pdf
55. A.Charpentier (2017) Les marchés prédictifs comme technique de prévision. Risques,
111, pdf

56. Antonio, K. & A.Charpentier (2017) La tarification par genre en assurance, corrélation ou
causalité ?. Risques, 110, pdf
57. A.Charpentier (2017) Les dérives du principe de précaution. Risques, 108, pdf
58. A. Charpentier & T. Renault⋆ (2016). Les promesses de la blogosphère économique.
L’Écomomie Politique, 72:4, 10.3917/leco.072.0080
59. A.Charpentier & R.Suire (2016) Données et santé: valeurs, acteurs et santé. Risques, 107,
pdf
60. A.Charpentier (2016) Fibonacci, les lapins, le nombre d’or et les calculs actuariels.
Risques, 106, pdf
61. A.Charpentier (2016) La guerre des étoiles: distinguer le signal et le bruit. Risques, 105,
pdf
62. A.Charpentier, A.Eyraut-Loisel, A. Hannart, & J. Tomas+ (2015) Changement Climatiqueet Assurance. Variances, 54, pdf
63. A.Charpentier & B.Cherrier (2015) ‘Mathiness’ et Assurance. Risques, 104, pdf
64. A.Charpentier, M.Denuit & R.Elie (2015) Segmentation et Mutualisation, les deux faces
d’une même pièce. Risques, 103, pdf
65. A.Charpentier & A.Diogo⋆ (2015) Barry Big data : passer d’une analyse de corrélation à
une interprétation causale. Risques, 101, pdf
66. A.Charpentier (2015) Interprétation, intuition et probabilités. Risques, 99.
67. A.Charpentier (2014) De la difficulté de faire des prévisions (quand on a peu dedonnées). Risques, 98.
68. B.Coulmont, A.Charpentier & J.Gombin (2014) Un homme, deux voix : le vote parprocuration. La Vie des Idées, 11 février 2014.
69. A.Charpentier (2014) La loi des petits nombres. Risques, 97, pdf
70. A.Charpentier (2014) L’efficience des marchés : hypothèse de modèle ou fait stylisé?.
Risques, 96, pdf
71. A.Charpentier (2011) La loi des grands nombres et le théorème central limite commebase de l’assurabilité ? Risques, 86., pdf
Chapters
72. A.Charpentier & E.Flachaire (2020) Pareto Models for Risk Management in Recent
Econometric Techniques for Macroeconomic and Financial Data, G. Dufrénot & T.
Matsuki Ed., Springer Verlag, arXiv:1912.11736
73. A.Charpentier & M.Denuit (2020) On limits for machine learning algorithms in insurancein Insurance data analytics, F.Planchet & C.Y.Robert Ed., Economica.
74. A.Charpentier (2020) Prévision avec des copules en finance in Prévisions en Finance,Charles, Darne & Ferrara Eds., Economica hal:01151233

75. D. Cocteau-Senn, A. Charpentier & R. Bigot (2019) La protection des données
personnelles en assurance : dialogue du juriste avec l’actuaire in Regards sur lenouveau
droit des données personnelles, Netter, E., Ndior, V., Puyraimond, J.F., Vergnoll, S. Eds.
Ceprisca hal:02357967 pdf
76. A.Charpentier (2018) Central Limit Theorem in The SAGE Encyclopedia of Educational
Research, Measurement, and Evaluation, B. Frey Ed., SAGE.
doi.org:10.4135/9781506326139.n105
77. A.Charpentier & R.Kaas (2014) Introduction in Computational Actuarial Science With R,
Charpentier, A. Eds. CRC Press.
78. A.Charpentier & S.Tufféry (2014) Statistical Learning in Computational Actuarial Science
With R, Charpentier, A. Eds. CRC Press.
79. B.Escoto & A.Charpentier (2014) Bayesian Philosophy in Computational Actuarial
Science With R, Charpentier, A. Eds. CRC Press.
80. A.Charpentier (2014) Modèles statistiques du risque en assurance in Statistique duRisque, Droesbeke, Maumy-Bertrand, Saporta & Thomas-Agnan Eds. Technip pdf
81. A.Charpentier (2014) Copules et Risques Multiples in Statistique du Risque, Droesbeke,
Maumy-Bertrand, Saporta & Thomas-Agnan Eds. Technip pdf
82. A.Charpentier (2014) Mesures de Risques in Statistique du Risque, Droesbeke,
Maumy-Bertrand, Saporta & Thomas-Agnan Eds. Technip pdf
83. A.Charpentier, J.D.Fermanian & O.Scaillet (2006) The estimation of copulas: Theory andpractice. in Copula Methods in Derivatives and Risk Management: From Credit Risk toMarket Risk, Rank, J. Eds. Risks. pdf
Working Papers
84. A. Charpentier, Q.S. Guo+ & M. Ludkovski (2021) Patterns and Anomalies of Loss
Development in P&C Insurance Market.
85. A. Charpentier, M. Denuit & J. Trufin (2021). Autocalibration and Premium Computations
86. A. Charpentier, L. Barry & M. James⋆ (2020) Insurance against Natural Catastrophes:
Balancing Actuarial Fairness and Social Solidarity. Chaire Pari pdf
87. O. Cabrignac, A. Charpentier & E. Gallic (2020) Modeling Joint Lives within Families.
arXiv:2006.08446
88. A. Charpentier, R. Élie & C. Remlinger⋆ (2020) Reinforcement Learning in Economics andFinance. arXiv:2003.10014
89. A. Charpentier, A. Galichon & L. Vernet⋆ (2019) Optimal transport on large networks apractitioner guide. arXiv:1907.02320
90. A. Charpentier & Flachaire (2019) Pareto Models for Top Incomes. hal:02145024 .
91. E. Belz⋆ & A. Charpentier (2019) Données Agrégées et Variables Compositionnelles : Note
Méthodologique. hal:2097031
92. A. Charpentier & E. Flachaire (2019) Extended Scale-Free Networks. arXiv:1905.10267

93. A. Charpentier (2018) An introduction to multivariate and dynamic risk measures.
hal:01831481
94. A. Barry⋆ , K. Oualkacha & A. Charpentier (2017) Weighted asymmetric least squares
regression for longitudinal data using GEE. arXiv:1810.09214
95. A. Barry⋆ , A. Charpentier & K. Oualkacha Quantile and Expectile (2016) Regression for
random effects model . hal:01421752
96. M.Boudreault & A.Charpentier (2011) Multivariate integer-valued autoregressive models
applied to earthquake counts. arXiv:1112.0929
97. A.Charpentier (2010) Reinsurance, ruin and solvency issues: some pitfalls. hal:00463381
98. A.Charpentier & D.Causeur (2010) Large-scale significance testing of the full Moon effecton deliveries hal:00482743
99. A.Charpentier (2008) Pricing catastrophe options in incomplete markets .
citeseerx:10.1.1.572.4606

Teaching
Selected courses
Introduction to data science and artificial intelligence S
Université du Québec à Montréal, Canada

Data Science for Actuaries S
Université du Québec à Montréal, Canada

Applied Linear Models S
Université du Québec à Montréal, Canada

Regression
Université du Québec à Montréal, Canada

INF7100
2020

ACT6100
2020

STT5100
2018,2019,2020

MAT73812020

Non-life insurance mathematics
ENSAE, Paris, France

Time Series
Université du Québec à Montréal, Canada

Copulas and Extreme Values
Université du Québec à Montréal, Canada

2015, 2016, 2017

MAT8181
2014

MAT8595
2014

YouTube channel
Courses ∼ 24,000 views

since 2020

Summer schools
Econometrics and Machine Learning
Società Italiana di Econometria (SIdE), Italy

2019

Insurance Data Science: Use and Value of Unusual Data
Summer School of the Swiss Association of Actuaries, Lausanne, Switzerland

2019

Econometrics and Machine Learning
Università degli studi dell’Insubria, Italy

2018

Econometrics and Machine Learning
Universitat de Barcelona, Spain

2018

Other Institutions
Đại học Kinh tế Thành phố Hồ Chí Minh

Vietnam, 2008

Institut de Statistique de l’Université de Paris (ISUP)

France, 2008

Institut de Mathématiques Appliqués, Angers

France, 2007

INSEA

Marocco, 2006

Université Saint-Joseph, Beyrut

Lebanon, 2006

ENSEA, Abidjan

Ivory Coast, 2003

Professional training
Data Science for Actuaries
Institut des Actuaires

Data Science & Machine Learning for Actuaries
AXA Group

Machine Learning for Insurance
MAIF Insurance

Natural Catastrophes & Cat Bonds
AXA Group

R for Actuarial Science
AXA & Caritat (professional training)This version: February 2021

Paris, France
2015-2018

Istanbul, Singapore & Paris
2015

Niort, France
2014

Paris, France
2007

Paris, France
2006-2007