Actuary by formation, Oskar is curently doing his P.h.d in Statistics, applied to actuarial sciences at University Lyon 1 and SCOR SE. He works mainly on dependences structures in a high-dimensional context. He has a taste for programming and open-source software. He is also an Esperanto beginner.
Actuarial scientist diploma, 2018
French Actuarial Institute
Master's degree actuarial sciences, 2018
ISFA
Bachelor in actuarial sciences, 2016
ISFA
Bachelor in mathematics, 2015
Unistra
Construction of non-parametric copula estimators
A package containing empirical checkerboard copula and derivative copula’s S4 classes to work with thoose models in R
After having specified the specificities of the French builder’s insurance and analyzed the problems posed by additional specific reserves to this line of buisiness, we recall basic models, deterministic and stochastic, used in non-life insurance. Having transcribed the main models in a larger mathematic framework, we present new models shaped for the tri-dimentional issue of French construction insurance, including the estimation of variability in every point of view. Then, through several different approaches, we derive Solvency II reserve risk estimators in those models, and conclude with an analysis of these estimators on a certain portfolio, shaped toward the standard formula.
A simple package that implement a one-year bootstrap in the Braun model, with extension to a mutli-year reserving case (french decenial insurance). Work done in the framework of my master thesis.
A shiny app that estimate and give some statistic about a bivariate copula given a bivaraite dataset.
Some code do estimate a PDD in certain solvency II settings, corresponding to a Numerical technics exemple in insurence.