Oskar Laverny

Oskar Laverny

Actuary - P.h.d

Institut Camille jordan

Biography

Actuary by formation,I am curently doing my P.h.d in Statistics, applied to actuarial sciences at University Lyon 1 and SCOR SE. I work mainly on dependences structures in a high-dimensional context. I do have a taste for code and open-source software. I am also an Esperanto beginner.

Interests

  • Dependance Modeling
  • Actuarial Sciences
  • Machine Learning
  • Code Efficiency

Education

  • P.h.d: Dependence structure and risk agregation in high dimensions., 2019-2022

    ICJ & SCOR

  • Master in Math -- Specialy Probability, 2019

    ENS Lyon

  • Master and Diploma in actuarial sciences, 2018

    ISFA

  • Bachelor in actuarial sciences, 2016

    ISFA

  • Bachelor in mathematics, 2015

    Unistra

Recent Publications

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 …

Recent & Upcoming Talks

!Canceled! Copula estimation via machine learning

We construct a flexible, consistent, piecewise linear estimator for a copula, leveraging the patchwork copula formalization and various …

!Virtual! Dependence structure estimation using Copula Recursive Trees

We construct a flexible, consistent, piecewise linear estimator for a copula, leveraging the patchwork copula formalization and various …

!Virtual! Cort: The Copula Recursive Tree

We construct a flexible, consistent, piecewise linear estimator for a copula, leveraging the patchwork copula formalization and various …

!Canceled! Construction of a copula estimator through recursive partitioning of the unit hypercube

We construct a flexible, consistent, piecewise linear estimator for a copula, leveraging the patchwork copula formalization and various …

Recent Posts

The `cort` Package is now on Cran !

The cort package is now on cran ! The cort package provides S4 classes and methods to fit several copula models: The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) doi:10.

The MBMCL R package for multi-line stochastic reserving

After working on a bootstrapping framework for the Mack model, with a one-year point of view and with several triangles to bootstrap jointly, i decided to put some of my code into a litle package, mbmcl.

Provisionnement et risque de réserve en assurance construction

My actuarial thesis got published online there This work took me a little more than one year to do, an was dealing with non-life reserving in solvency 2 context for the french decenial insurance contracts.

Agregate models with caretEnsemble

Introduction Suppose you have a dataset, and you are narowing possible machine learning models to 2 or 3 models, but you still cant choose which you want : Will the benefit of understandability from my CART cost me too much compare to a random forest or some bootsting ?

Log-normal model for solvency 2 USP

Introduction The log-normal model Generating dummy dataset. Checking model hypohtesis. Log-normality of \(y_t\) Linearity between \(y_t\) and \(x_t\) Results from the model References Introduction Under Solvency 2 framework, insurance compagnies can calculate undertaking specific parameters to modify their application of the standard formula, as dictates Commission-Européenne (2014) .

Projects

Cort research

The CORT algorithm we developped construct a non-parametric copula density estimator through a recursive splitting procedure, CART-like.

A R package for Multi-boot Mack chain-ladder: mbmcl

mbmcl is a simple package that implements a one-year bootstrap in the Braun model, with extension to a mutli-year reserving cases (french decenial insurance).

Reserving and reserving risk in french builder’s insurance

In this master thesis, we analyse French builder’s insurance under Solvency II constraints, regarding reserving risk. We first recall basic models, deterministic and stochastic, used in non-life insurance, then present new models shaped for the tri-dimentionnal issue of French construction insurance, including the estimation of variability in every point of view and Solvency II reserve risk.

EstimateCopula (Shiny App)

A shiny app that estimate and give some statistic about a bivariate copula given a bivaraite dataset.

Estimation of some specific life reserve (R + markdown)

Some code do estimate a PDD in certain solvency II settings, corresponding to a Numerical technics exemple in insurence.

Experiences

 
 
 
 
 

P.h.d

SCOR & Univ Lyon 1

May 2019 – Present Paris & Lyon
The title of the P.h.d is Dependence structures and risk agregations in high dimensions.
 
 
 
 
 

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.