Research

Pre-prints

1. F. Bonanica, O. Lopez and M.Thomas (2024). Tree-based conditional copula estimation. ArXiV

2. A. Heranval, O. Lopez and M.Thomas (2024). Bayesian Credibility Model with heavy tail random variables: calibration of the prior and application to natural disasters and cyber insurance. Hal

3. A. Ben-Hamou, P. Naveau and M. Thomas (2023). Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis. Hal

4. O. Lopez and M .Thomas (2022).  Parametric insurance for extreme risks: the challenge to properly cover severe claims. Hal 

Publications

1. S. Farkas, A. Heranval, O. Lopez and M. Thomas (2024). Generalized Pareto regression tree for extreme event analysis. Extremes, 1-41. full text

2. E. Basquin, A. El Baz, J. Sainte-Marie, A. Rabaute, M. Thomas, S. Lafuerza, A. El M'rini, D. Mercier, E. d'Acremont, M.-O. Bristeau and A. Creach (2023). Evaluation of tsunami inundation in the plain of Martil (north Morocco): comparison of four inundation estimation methods. Natural Hazards Research full text

3. F. Bonacina, P-Y. Boëlle, V. Colizza, O. Lopez, M. Thomas and C. Poletto (2023). Global patterns and drivers of influenza decline during the COVID-19 pandemic. International Journal of Infectious Diseases, 128, 132-139 full text

4. S. Crépey, N. Lehdili, N. Madhar, M. Thomas (2022) Anomaly Detection on Financial Time Series by Principal Component Analysis and Neural Networks. Algorithms, 15(10), 385 full text 

5. A. Heranval, O. Lopez and M. Thomas (2022). Application of machine learning methods for cost prediction of drought in France. European Actuarial Journal. full text

6. M. Thomas and H Rootzén (2021). Real-time prediction of severe influenza epidemics using Extreme Value Statistics. Journal of Royal Statistical Society, Series C, 71(2) 376-394 full text

7. S. Farkas, O. Lopez and M.Thomas (2021). Cyber claim analysis through Generalized Pareto Regression Trees with applications to insurance pricing and reserving. Insurance: Mathematics and Economics. 98 92-105 full text

8. M. Thomas, M. Lemaitre, M.L. Wilson, C. Viboud, Y. Yordanov, H. Wackernagel and F. Carrat  (2016). Applications of Extreme Value Theory In Public Health. PLoS ONE 11(7) full text

9. S/ Boucheron and M. Thomas (2015). Tail index estimation, concentration and adaptivity. Electronic Journal of Statistics, 9(2) 2751-2792  full text

10. S. Boucheron and M. Thomas (2012). Concentration inequalities for order statistics. Electronic Communications in Probability, 17 1-12 full text 

Recent Invited Communications  (since 2019)

• • Decembre 2024 Organisation of an invited session CFE-CM Statistics conference, London

  • Decembre 2024, CFE-CM Statistics conference, London

  • April 2024 Statistics seminar, Université Panthéon-Sorbonne

  •  March 2024 Webinar, Institut des Actuaires

  • March 2024 Statistics seminar, AgroParisTech

  • October 2023 Colloque Fréchet, IHP Paris

  • September 2023 Webinar, Institut des Actuaires

  • June 2023  Organisation of an invited session "Impacts of Extremes of Human Lifes" at the Extreme Value Analysis conference, Milan

• Septembre 2022 MISTRAL Conference, CIRM

• September 2022 International conference on cyber Insurance, Paris

• June 2022 Worksop on Combining Causual Inference and Extreme Value Theory in the Study of Climate Extremes and their Causes, online

• June 2022 Statistics seminar, HEC Lausanne

• June 2022 CORS/Informs International Conference, Vancouver

• May 2022 Statistics seminar, Institut Camille Jordan, Lyon

• April 2022 Statistics seminar, ISBA UC Louvain, Belgique

• April 2022 SOcial DAta, Seminar, INRIA

• January 2022 Statistics seminar,  Université Versailles Saint Quentin

• October 2021 Journées de l'Océan, Sorbonne Université

• July 2021  Organisation of an invited session "Public Health, Epidemiology, Life Sciences and Life Lengths" at the Extreme Value Analysis conference - online

• January 2021  Young Statisticians and Probabilists Days, Tutorial on Extreme Value Analysis» - online

• January 2021 Webinar « Math-Innovation-série finance et assurance ».

• July 2020 Séminaire du Centre Borelli, Paris-Saclay - online 

• April 2020 Seminar on Covid modelisation, Sorbonne Université, Paris - online 

• April 2020 Extreme values seminar, CMAP, Ecole Polytechnique, Paris - online 

• December 2019 CFE-CM Statistics Conference, Session Invitée "Statistical methods applied to insurance and actuarial sciences", Londres, UK

• November 2019 : Chaire DAMI  Conférence Petit-déjeuner thématique, Paris

Recent Contributed Communications  (since 2019)

• Novembre 2021 100% Actuaries 100% Data Sciences, Paris

• June 2023 22nd Congress of Actuaries, Paris

• March 2023 Non-life insurance days, Lyon

• June 2022 European Congress of Actuaries, Madrid

• May 2022 21st Congress of Actuaries, Paris

• July 2021  Insurance: Mathematics and Economics conference, online

• June 2021 European Actuarial Days, online

• May 2020 Actuarial Colloquium Paris 2020.

• July 2019 Insurance : Mathematics and Economics, Munich 

• July 2019 Extreme Value Analysis Conference, Zagreb, Croatia

PhD Students

• Antoine Heranval in collaboration with the "Mission Risques Naturels" (S. Guerin) with O. Lopez.  PhD defense Septembre 23rd, 2022. 

• Francesco Bonacina in collaboration with the iPLESP (C. Poletto). Started in Septembre 2020 with O. Lopez

• Nisrine Madhard in collaboration with Natixis (N. Lehdili). Started in May 2021 with S. Crépey 

Postdocs

• Marine Demangeot in collaboration with the iPLESP (P-Y. Boëlle and C. Poletto) and M. Ribatet (Université de Nantes). Started in November 2021. Project EVEREST. Since Sep 2022, Marine is an assistant professor at Montpellier University. 

Projects

• 2021 Projet Emergence SU - EVEREST 

• 2021 - 2024 Member of the ARN T-REX (PI: Clément Dombry)

• Since 2018  Associate member of the Projet Cyber-insurance: actuarial modeling (PI: Caroline Hillairet and Olivier Lopez)

• 2017 PEPS Jeunes Chercheurs et Jeunes Chercheuses 

• 2017 Lauréate de l'appel à projet de l'Institut des Actuaires