Tag Archives: ESSEC

Talk at the ESSEC Risk Seminar

Thursday, I will be at La Défense, in Paris (France), to give a talk at the ESSEC Risk Seminar, entitled Causal Inference and Counterfactuals with Optimal Transport, with Applications in Fairness and Discrimination. Slides are now available, and the talk will be based on same recent papers, starting with Mitigating Discrimination in Insurance with Wasserstein Barycenters (presented last week-end at BIAS 2023) but also Fairness in Multi-Task Learning via Wasserstein Barycenters, and A Sequentially Fair Mechanism for Multiple Sensitive Attributes. There is also the textbook that should appear before the winter.

Talk on tail dependence in solvency II at ESSEC

I will be giving a talk at ESSEC (in La Défense) on Thursday morning, on “extremes and dependence in the context of Solvency II for insurance companies“. Slides are already available here.

With Solvency II, insurance companies need to get a better understanding about correlations between different lines of business, especially when about extremal correlation since the interest is about solvency.
For instance, QIS3 reports explains that
“In view of the insufficiency of currently available data, the setting of these correlation coefficients will necessarily include a certain degree of judgment. This is also true because, when selecting correlation coefficients, allowance should be made for non-linear tail correlation, which is not captured under a ?pure? linear correlation approach. To allow for this, the correlations used should be higher than simple analysis of relevant data would indicate.”
In this talk will discuss tail dependence, and the link between tail dependence and risk measures of aggregate risks.

At the same time, in Rennes, Benoît le Maux will be presenting our paper on “insuring natural catastrophes: should government intervene ?“. Since the work is still in progress, and not submited, I will not upload the slides… but the paper should be finished soon.