I am an Associate Professor in the Department of Mathematics and Statistics at the Université de Montréal and a member of the Quantact research group, which is the Centre de recherches mathématiques (CRM) Laboratory of Actuarial and Financial Mathematics. I am also a Fellow of the Canadian Institute of Actuaries (FCIA) and of the Society of Actuaries (FSA), as well as a former Hickman Scholar.
I am a researcher in actuarial science and quantitative risk management with interests in computational statistics, econometrics and quantitative finance. My research aims to develop new models and methods for quantifying and managing long-term risks in actuarial and financial applications. I am particularly interested in hidden Markov models and statistical inference for regime-switching GARCH and stochastic volatility models. Moreover, I study risk management and hedging problems that arise in the context of equity-linked insurance (a.k.a. variable annuities).
If you would like to collaborate with me on a research project, please do not hesitate to contact me.
My faculty web page can be accessed here.
My Google Scholar profile can be accessed here.