Oskar Laverny

Oskar Laverny

Actuary, PhD

UCLouvain

Biography

Actuary by formation, I focused during my PhD on high dimensional statistics and dependence structure estimations applied to internal modeling in a reinsurance context. I am currently a Post-Doctoral researcher at UCLouvain, in Belgium, under an FNRS grant. I do have a taste for numerical code and open-source software, and most of my work is freely available.

Interests

  • High dimensional statistics
  • Dependence modeling
  • Code
  • Actuarial Sciences

Education

  • PhD: Dependence structure and risk agregation in high dimensions., 2019-2022

    ICJ & SCOR

  • Master in Mathematics - Probability, 2018-2019

    ENS Lyon

  • Bachelor, Master and Diploma in Actuarial Sciences, 2015-2018

    ISFA

  • Bachelor in Mathematics, 2012-2015

    University of Straßbourg

Recent Publications

Parametric divisibility of stochastic losses

A probability distribution is n-divisible if its nth convolution root exists. While modeling the dependence structure between several …
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Estimation of high dimensional Gamma convolutions through random projection

Multivariate generalized Gamma convolutions are distributions defined by a convolutional semi-parametric structure. Their flexible …
PDF Code Project Slides DOI BibTeX

Estimation of multivariate generalized gamma convolutions through Laguerre expansions

The generalized gamma convolutions class of distributions appeared in Thorin’s work while looking for the infinite divisibility …
PDF Code Project Slides Video DOI BibTeX

Empirical and non-parametric copula models with the cort R package

The R package cort implements object-oriented classes and methods to estimate, simulate and visualize certain types of non-parametric …
PDF Code Project DOI BibTeX

Dependence structure estimation using Copula Recursive Trees

We construct the Copula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging …
PDF Code Project Poster Slides Video DOI BibTeX

Recent & Upcoming Talks

Copulas.j: A fully Distribution.jl-complient copula package
Jul 24, 2023 1:30 PM Lyon, France
Julia: the unique solution to an optimisation problem
Jul 24, 2023 1:30 PM Lyon, France
Version control for academics
Feb 17, 2023 10:00 AM Louvain-La-Neuve, Belgium
Estimation of High-dimensional Thorin measures
Jun 17, 2022 11:45 AM
Estimation of High-dimensional Thorin measures
Jun 13, 2022 11:45 AM Lyon, France
Estimation of high dimensional generalized gamma convolutions through random projections
May 20, 2022 2:30 PM Louvain-La-Neuve, Belgium
Mesure de Thorin et déconvolution en grandes dimensions
Apr 30, 2022 1:30 PM Lyon, France
Estimation of High-dimensional Thorin measures
Apr 5, 2022 9:30 AM Porquerolle, France
(Virtual) Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Nov 26, 2021 1:30 PM Montréal, Canada
Estimation of multivariate generalized gamma convolutions through Laguerre expansions
Oct 24, 2021 1:30 PM Saint Piere d'Oléron, France
Estimation of multivariate generalized gamma convolutions
May 18, 2021 11:45 AM Paris, France
Julia, l'unique solution d'un problème d'optimisation
Apr 30, 2021 1:30 PM La grande motte, France
(Virtual) Estimation of multivariate generalized gamma convolutions
Apr 28, 2021 1:30 PM Aussois, France
Internal modeling without copula: the beauty of Thorin classes.
Mar 5, 2021 1:30 PM Paris, France
!Canceled! Copula estimation via machine learning
Jun 1, 2020 12:00 AM Lyon, France
!Canceled! Construction of a copula estimator through recursive partitioning of the unit hypercube
May 25, 2020 12:00 AM Nice, France
Cort: The Copula Recursive Tree
May 11, 2020 1:00 PM Paris, France
Dependence structure estimation using Copula Recursive Trees
Apr 29, 2020 12:00 AM

Teaching

 
 
 
 
 

Inférence statistique des tests - CM + TD

ENS Lyon

Sep 2021 – Jan 2022
  • 36h integrated lectures (main lecture + tutorials) given to third year students in Economics.
  • Content: From the definition of a probability to mean and variance tests in the Gaussian or asymptotically Gaussian cases, chi-squared tests, with a particular emphasis on Cochran’s proof. Kolomogorov-Smirnov test with a full proof. Maximum Likelyhood estimation and likelyhood-ratio tests.
  • The particularity was that I had the opportunity to create and design the content and the form of lectures myself.
 
 
 
 
 

Probabilité, combinatoire et statistiques - TD

University Claude Bernard Lyon 1

Jan 2021 – May 2021
  • 30h tutorials given to third year students in Mathematics.
  • Content: From the definition of a probability to mean and variance tests in the Gaussian or asymptotically Gaussian cases, chi-squared tests. Discrete time markov chains. Numerical applications in R
 
 
 
 
 

Statistiques pour l’informatique - TD

University Claude Bernard Lyon 1

Sep 2020 – Jan 2022
  • 30h tutorials given to second year students in Informatics, in Falls 2020 and Falls 2021.
  • Content: From the definition of a probability to mean and variance tests in the Gaussian or asymptotically Gaussian cases, chi-squared tests. Numerical applications in R.

Recent Posts

Estimation and sampling of copulas in Julia with Copulas.jl

Announce I am proud to annonce the publication and the registration of my new Julia package, Copulas.jl. As it’s name suggests, Copulas.jl is a package that implements methods and tools to work with an arround copulas in the Julia programming language.
Oct 4, 2022 3 min read julia, package, copula

Automatic latex resume with github action and gitinfo2 watermark

The problematic A latex-written resume is always a nice thing to have: easy to update, practical to integrate .bib bibliographies, and automatic management of the look (you only provide its content).
Feb 2, 2022 8 min read latex, git, automation

Using Git and Github for LaTeX writing

The problematic As an academic, I spend my life writing papers. Since these papers are mostly about math or some applications of math, I am an extensive user of latex.
Jul 23, 2021 6 min read latex, git, automation, writting
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Experiences

 
 
 
 
 

Post-Doctoral Researcher

UCLouvain - ISBA

Oct 2022 – Present Paris & Lyon
FNRS-funded post doc position.
 
 
 
 
 

PhD

SCOR & Univ Lyon 1

Jun 2019 – Jun 2022 Paris & Lyon
The title of the PhD is “Dependence structures and risk agregations in high dimensions.” The PhD was defended on May, the 30th of 2022.
 
 
 
 
 

Actuary

L’Auxiliaire

May 2017 – Sep 2018 Lyon
Non Life reserving of french builder’s insurence in a Solvency II context :

  • Analysis
  • Construction of an USP
  • Redaction of an actuarial thesis on it.