Research

Research Interests

• Probability theory, Stochastic control, Game Theory, Actuarial science, Risk management, Cyber risk, Backward stochastic differential equations, Model uncertainty.

Preprints

• Kazi-Tani, N., Rullière, D. (2020).  A new proof of Williamson's representation of multiply monotone functions, HAL.

• Cohignac, T., Kazi-Tani, N. (2020). Laplacian Spectra of Graphs and Cyber-Insurance Protection, HAL. 

• Kazi-Tani, N. (2017). Inf-convolution of Choquet Integrals and Applications in Optimal Risk Transfer, HAL.

Publications

• Ankirchner, S., Kazi-Tani, N., Wendt (2024). The role of correlation in diffusion control ranking games, SIAM Journal on Control and Optimization, to appear HAL.

• Ankirchner, S., Kazi-Tani, N., Wendt, J., Zhou, C.  (2023). Mean-field ranking games with diffusion control, Mathematics and Financial Economics, to appear. HAL.

• Ankirchner, S., Kazi-Tani, N., Wendt, J., Zhou, C.  (2023). Large ranking games with diffusion control, Mathematics of Operations Research, to appear. HAL. 

• Bensalem, S., Hernández-Santibáñez, N., Kazi-Tani, N. (2023). A Continuous-Time Model of Self-Protection, Finance and Stochastics, 27, 503–537. HAL.

• Kazi-Tani, N. (2020).  Indifference Pricing in Reinsurance with Reinstatements using Coherent Monetary Criteria, European Actuarial Journal, 11(1), 161-183. HAL.

• Ankirchner, S., Blanchet-Scalliet, C., Kazi-Tani, N., Zhou, C.  (2020). Gambling for resurrection and the heat equation on a triangle,
  Applied Mathematics & Optimization, 84(3), 3111-3136. HAL.

• Bensalem, S., Hernández-Santibáñez, N., Kazi-Tani, N. Prevention efforts, insurance demand and price incentives under coherent risk measures, Insurance: Mathematics and Economics, 93 (July 2020), 369-386,  HAL.

• Cohignac, T., Kazi-Tani, N. (2019). Quantile mixing and model uncertainty measures, Bulletin Français d'Actuariat, 36, HAL. 

• Ankirchner, S., Kazi-Tani, N., Klein, M., Kruse, T. (2017).  Stopping with expectation constraints: 3 points suffice, Electronic Journal of Probability, Volume 24 (2019), paper no. 66.

• Ankirchner, S., Blanchet-Scalliet, C., Kazi-Tani, N. (2018).  The De Vylder-Goovaerts conjecture holds within the diffusion limit, Journal of Applied Probability, 56.2 (June 2019), 546-557.

• Kazi-Tani, N., Rullière, D. (2017). On a construction of multivariate distributions given some multidimensional marginals, Advances in Applied Probability 51.2 (June 2019), 487-513.

• Kazi-Tani, N., Possamaï, D., Zhou, C. (2016). Quadratic BSDEs with Jumps: Related Non-linear Expectations, Stochastics and Dynamics, 16(4):1650012.

• Kazi-Tani, N., Possamaï, D., Zhou, C. (2015). Second-order BSDEs with jumps: existence and link with PIDEs, Electronic Journal of Probability, 20(65):1-31.

• Kazi-Tani, N., Possamaï, D., Zhou, C. (2015). Quadratic BSDEs with Jumps: a Fixed-point Approach, Electronic Journal of Probability, 20(66):1-28.

• Kazi-Tani, N., Possamaï, D., Zhou, C. (2015). Second-order BSDEs with jumps: formulation and uniqueness, The Annals of Applied Probability, 25(5):2867-2908.

Habilitation thesis (HDR)

Manuscript available here. 

Organized Conferences

• Stochastic Processes, Actuarial Science and Finance, July 31-August 3 2017, Viasm Hanoi, Vietnam [Webpage]

• Lyon - Jena workshop on Statistics, Stochastic Analysis and Applications in Insurance and Finance, November 1st, 2nd and 3rd 2017, Jena, Germany [Webpage]

• Model Uncertainty in Risk Management, January 31, 2020, Paris, France [Webpage]

• L² Workshop in Probability and Statistics, September 15-16, 2022, Luxembourg [Webpage]

• ANR DREAMeS Kickoff Conference, October 17-19, 2022, Nantes, France [Webpage]

Past and Forthcoming Talks

• Spring school "Stochastic Analysis in Finance", Roscoff, March 2012.

• 7th Bachelier World Congress, Sydney, June 2012.

• Young researchers meeting on BSDEs and Numerics and Finance, Oxford University, July 2012.

• 8th Mathematical Analysis and Applications meeting, Algiers, November 2012.

• Groupe de travail Finance Mathématique, Probabilités Numériques et Statistique des Processus, LPMA, Paris, April 2013.

• Séminaire du Laboratoire de Science Actuarielle et Financière, ISFA, Université de Lyon 1, April 2013.

• Seminar, department of ORFE, Princeton University, New Jersey, March 2014.

• Séminaire Probabilités et statistiques, Laboratoire Manceau de mathématiques, Université du Maine, April 2014.

• Contrôle géométrique, stochastique et des équations aux dérivées partielles, Ecole de recherche CIMPA, Tlemcen, April 2014.

• Lyon-Lausanne (L2) seminar, UNIL, Lausanne, June 2014.

• Paris-South East Asia conference in mathematical finance, Siem Reap, Cambodia, February 2015.

• Conference on Risk measures and Optimization, Beijing International Center for Mathematical Research, June 2015.

• Applied Probability Society Conference, Koç University, Istanbul, July 2015.

• Institute of Applied Mathematics Seminar,  Middle East Technical University, Ankara, July 2015.

• Non-Life workshop of the french Institute of Actuaries, Lille, April 2016.

• Bachelier Seminar, Institut Henri Poincaré, Paris, May 2016.

• Journées de Probabilités, Université du Maine, Le Mans, May 2016.

• Lyon-Columbia Workshop, ISFA, Lyon, June 2016.

• 3rd Young Researchers meeting in Probability, Numerics and Finance, Université du Maine, Le Mans, July 2016.

• Workshop : Stochastic processes - numerical methods and related topics, VIASM, Hanoi, August 2016.

• European Actuarial Journal Conference, Lyon, September 2016.

• USPC-NUS Workshop on models and numerical methods for financial risk management, Université Paris Diderot, Paris, October 2016.

• Talks in Financial and Insurance Mathematics, ETH, Zurich, April 2017.

• Lyon-Lausanne Seminar, ISFA, Lyon, June 2017.

• Lyon-Jena workshop on Statistics, Stochastics and Applications, Jena, November 2017.

• Non-Life workshop of the French Institute of Actuaries, Bordeaux, March 2018.

• Stochastic Processes and Applications Conference, Gothenburg, June 2018.

• Journées de Probabilités, Université de Tours, June 2018.

• European Actuarial Journal Conference, Leuven, September 2018.

• Bachelier Seminar, Institut Henri Poincaré, Paris, September 2018.

• Conference in honor of Nicole El Karoui 3 × 25th Birthday, Sorbonne University, Paris, May 2019.