Carole BERNARD

 

 

Assistant Professor

 

Department of Statistics and Actuarial Science

University of Waterloo

200 University Avenue West

Waterloo, Ontario, N2L3G1

CANADA

 

( : (519) 888-4567 ext. 35505

 

c3bernar@uwaterloo.ca

bernard.carole@ifrance.com

 

 

 

 

 

 

Personal Data                                                                                                                                    

 

Citizenship: French

Date of Birth: 12th April 1980 (in Commercy, France)

Family Situation: Single

Fluent in French and English. Elementary knowledge of German.

 

 

 

Employment                                                                                                                                        

 

·                June 2007-…         Assistant Professor, University of Waterloo,

                                               Department of Statistics and Actuarial Science.

·                2006-2007             Postdoctoral fellow, University of Waterloo.

·                2003-2006             Research Assistant and Lecturer, University of Lyon 1.

·                2005-2006             Lecturer, EM Lyon (Lyon Business School).

 

 

 

Education                                                                                                                                            

 

·                2003-2006          Ph.D. in Finance, Graduate School of Actuarial Studies (ISFA) at University of Lyon 1.

 

·                2002-2003          Master in Financial and Actuarial Sciences, University of Lyon (summa cum laude).

                                     Graduation from the ‘Ecole Normale Supérieure de Cachan’.

 

·                July 2002            ‘Agrégation de mathématiques’, highest teaching degree in Mathematics in France.

 

·                1999-2001          Master in Mathematics (summa cum laude).

 

 

 

 

Main Research Interests          

 

        I am interested in problems at the intersection of insurance and finance. Examples of current research topics include:

·           Volatility Derivatives, Quadratic Variation Hedging, Timer Options.

·           Structured Products: design, demand, behavioural finance.

·           Optimal Insurance and Reinsurance.

·           Pricing and Hedging Exotic Derivatives: Barrier Options, Parisian Options.

·           Applications of the Option Theory: Bank Deposit Guarantees, Regulation, Market Value.

·           Valuation of Life Insurance Contracts,

·           International Accounting Standards (IAS), IFRS, Solvency II.

·           American Products, Surrender Option.

·           Risk management, economic capital, Risk measures: Value-at-Risk.

 

 

 

Refereed Publications                                                                                                                 

 

·         C. Bernard, M. Ghossoub, “Static Portfolio Choice under Cumulative Prospect Theory”, Mathematics and Financial Economics, 2009, forthcoming (available at SSRN). 

 

·         C. Bernard, P. Boyle, « Monte Carlo Methods for Pricing Discrete Parisian Options», The European Journal of Finance, 2009, forthcoming (available at SSRN).

 

·         C. Bernard, P. Boyle, «Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy», The Journal of Derivatives, Fall 2009, (available at SSRN).

 

·         C. Bernard, W. Tian, «Insurance Market Effects of Risk Management Metrics », The Geneva Risk and Insurance Review, 2009, 34, 74-107 (pdf).

 

·         C. Bernard, W. Tian, « Optimal Reinsurance Arrangements Under Tail Risk Measures », Journal of Risk and Insurance, 2009, 76(3), 709-725 (Final version with full appendix pdf),

 

·         C. Bernard, A. Chen, A. Pelsser « On the cost of Regulation under Solvency II», Life & Pensions, June 2008 (pdf).

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment », Journal of Economic Dynamics & Control, 2008, 32, 2903-2938 (pdf).

 

·         C. Bernard, A. Chen, « On the Regulator-Insurer Interaction in a Structural Model», Journal of Computational and Applied Mathematics, 2008, forthcoming  (pdf).

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Development and Pricing of a New Participating Contract », North American Actuarial Journal, 2006, 10(4), 179-195 (pdf)

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « A New Procedure for Pricing Parisian Options », The Journal of Derivatives, 2005, 12(4), 45-53 (pdf).

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk », Insurance : Mathematics and Economics, 2005, 36(3), 499-516 (pdf).

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « A Study of Mutual Insurance for Bank Deposits», The Geneva Risk and Insurance Review, 2005, 30(2), 129-146 (pdf).

 

·         C. Bernard, « Approche Financière de l’Option de Rachat », Bulletin Français de l’Actuariat, 2007, 7(13).

 

·         C. Bernard, O. Le Courtois, « Le Point sur les Options Parisiennes et leurs Applications », Banque et Marchés, January 2006, 82 (pdf).

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Evaluation en Fair Value de Contrats Participatifs»,  Finance, 26(1), 2005, 73-107.

 

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Evaluation Numérique des Options Parisiennes », Banque et Marchés, April 2004, 69, 30-37.

 

 

 

Other Publications                                                                                                                         

 

Book Reviews:

 

·         Journal of Risk and Insurance, 2008, Vol. 75, No. 3, pp811-813, “When Insurers Go Bust: An Economic Analysis of the Role and Design of Prudential Regulation” by Guillaume Plantin and Jean-Charles Rochet, 2007, Princeton University Press (pdf).

 

·         North American Actuarial Journal, 2008, April, p220, “Optimization Methods in Finance” by Gerard Cornuejols and Reha Tutuncu, 2005, Cambridge University Press.

 

Proceedings:

 

·         C. Bernard, C. Lemieux, “Fast Simulation on Equity-linked Life Insurance Contracts with a Surrender Option”, 2008, Proceedings of the 2008 Winter Simulation Conference (pdf).

 

·         C. Bernard, P. Boyle, “Locally-Capped Investment Products and the Retail Investor”. Conference proceedings European Financial Management Association June 2009 (EFMA).

 

 

 

 

 Working Papers                                                                                                                                

  

·         C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Protection of Life Insurance Companies in a Market-Based Framework » (previously entitled « Assessing the Market Value of Safety Loadings »), 2006  (available at SSRN).

 

·         C. Bernard, P. Boyle, W. Tian, « Optimal Design of Structured Products and the Role of Capital Protection », 2008 (available at SSRN).

  

·         C. Bernard, P. Boyle, « Locally-capped Investment Products and the Retail Investor», 2008 (available at SSRN).

 

·         C. Bernard, P. Boyle, and W. Gornall «Fixed-Strike European Arithmetic Asian Options: A Comment», 2009 (available at SSRN).

 

 

International Conferences                                                                                                       

·         3rd  International Conference on Stochastic Analysis and Its Applications, Beijing Institute of Technology, Beijing, July 2009. "Path-dependent inefficient strategies and how to make them efficient".

·         APRIA (Asia Pacific Risk and Insurance Association) Annual meeting, Beijing, July 2009. « Static Portfolio Choice under Cumulative Prospect Theory »

·         International Symposium on Risk Management and Derivatives, Xiamen (china), July 2009, “Mr. Madoff’s Amazing Returns: An Analysis of the Split-Strike Conversion Strategy"

·         EFMA (European Financial Management Association), Milan, June 2009, « Structured Investment Products and the Retail Investor ».

·         4th Brazilian Conference on Statistical Modelling in Insurance and Finance , Maresias, April 2009.

·         11th Conference of the European Central Bank,(ECB-CFS) Research network. Prague on Oct. 20-21, 2008, « Structured Investment Products and the Retail Investor ».

·         EWGFM (Euro Working Group in Financial Modelling), 43rd Meeting, London, UK, Cass Business School, September 2008 « Structured Investment Products with Caps and Floors ».

·         ARIA (American Risk and Insurance Association) Annual meeting, Portland, USA, August 2008. « Insurance Market Effects of Risk Management Metrics » (slides).

·         IME Conferences (Insurance: Mathematics and Economics), Dalian, China, July 2008, « Structured Investment Products with Caps and Floors » (slides).

·         Symposium on Insurance Markets and Regulation, Searle Center on Law, Regulation, and Economic Growth, Northwestern University, Chicago, April 14-15, 2008, Invited commentator on the session Competition in Insurance Markets.

·         Workshop Finance, Stochastics, Insurance (organized by H. Kraft, K. Miltersen, J.A. Nielsen, K. Sandmann) Bonn, February 25-29, 2008, «Insurance Market Effects of Risk Management Metrics ».(program)

·         AFFI Annual Meeting (French Finance Association), Paris, December 2007, «Optimal Design of Structured Products and the Role of Capital Protection ».

·         SCOR-JRI conference on Insurance, Reinsurance and Capital Market Transformations, “New forms of Risk Sharing and Risk Engineering”, Paris, September 2007. «Optimal Reinsurance Arrangements Under Tail Risk Measures »(program)

·         EGRIE (European Group of Risk and Insurance Economics), Cologne, Germany, September 2007. «Optimal Reinsurance Arrangements Under Tail Risk Measures »

·         ARC (Actuarial Research Conference), Pittsburgh, USA, August 2007. «On the Regulator-Insurer Interaction in a Structural Model »

·         ARIA (American Risk and Insurance Association) Annual meeting, Quebec, Canada, August 2007. «Optimal Reinsurance Arrangements Under Tail Risk Measures »

·         MFA (Midwest Finance Association), Minneapolis, March 2007, «Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment ».

·         AFFI Annual Meeting (French Finance Association), Paris, December 2006, «A survey on Parisian Options and their Applications in Finance and Insurance ».

·         SRIA Annual Meeting, (Southern Risk and Insurance Association), Hilton Head Island, South Carolina, USA, November 2006, «Assessing the Market Value of Safety Loadings ».

·         XXIII International Symposium on Money, Banking and Finance, Lille, France, June 2006, «Assessing the Market Value of Safety Loadings ».

·         AFFI Conferences (French Finance Association), Poitiers, France, June 2006, «Assessing the Market Value of Safety Loadings ».

·         ICA 2006, International Congress of Actuaries, Paris, France, June 2006, «Assessing the Market Value of Safety Loadings ».

·         AFIR Colloquium (Actuarial Approach for Financial Risk), Zürich, Switzerland, September 2005, « Development and Pricing of a New Participating Contract ».

·         IME Conferences (Insurance: Mathematics and Economics), Québec, Canada, July 2005, « Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk ».

·         AFFI Conferences (French Finance Association), Paris la Défense, France, June 2005, « Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment ».

·         AFIR Colloquium (Actuarial Approach for Financial Risk), Boston, USA, November 2004, « Market Value of Life Insurance Contracts under Stochastic Interest Rates and Default Risk ».

·         XXI International Symposium on Money, Banking and Finance, Nice, France, June 2004, « A study of Mutual Insurance for Bank Deposits ».

·         AFFI Conferences (French Finance Association), Cergy, France, June 2004, « A study of Mutual Insurance for Bank Deposits ».

 

 

 

Seminar Presentations                                                                                               

    

·         Chinese Academy of Science, Beijing, China, July 2009.

·          Lingnan University College, Guangzhou, China, July 2009.

·          EM Lyon Business School, France, June 2009.

·         University of Delaware, May 2009

·         University of Michigan, April 2009.

·          University of Santa Barbara, April 2009.

·          Heriot-Watt, Edinburgh, December 2008.

·           Cass Business School, London, November 2008.

·           EM Lyon Business School, France, October 2008.

·           Leeds University Business School, Leeds, September 2008.

·           Chinese Academy of Sciences, Beijing, July 2008.

·           CORE, Louvain-la-Neuve, Belgium, May 2008.

·           University of Illinois at Urbana-Champaign, Department of Finance, April 2008.

·           Department of Economics, University of Guelph, April 2008.

·           Amsterdam, School of Economics, Department of Quantitative Economics, December 2007.

·           Institute of Quantitative Finance and Insurance, University of Waterloo, February 2007.

·           Department of Mathematical and Statistical Sciences, University of Alberta, February 2007.

·           Seminar of Actuarial and Financial Mathematics, University of Montreal, February 2007.

·           Department of Statistics and Actuarial Science, University of Waterloo, January 2007.

·           Finance Seminar, Quebec, Laval University, Department of Finance and Insurance, Facultés des Sciences de l’Administration, January 2007.

·           Finance Seminar organized by Jean-Paul Décamps, Toulouse 1 University, April 2006.

·           Doctoral Seminar at IAE Toulouse organized by Bruno Biais, Toulouse1 University, March 2006.

·           Doctoral Seminar organized by Edith Ginglinger at Paris Dauphine University, February 2006.

·           Finance and Insurance Seminar, Lyon – Lausanne, Lyon, January 2006.

·           Finance Seminar, Grenoble, CERAG, November 2005.

·           Bachelier Seminar, Doctoral Seminar, Paris, Henri Poincaré Institute, June 2005,

·           Management Seminar, Paris – Dijon – Lyon, (JIRF : Journée Inter-Universitaire de Recherche en Finance), Paris I, Sorbonne, May 2005.

·           JobMarket 2005, Europlace Finance Institute, ESCP EAP, April 2005.

·           Finance and Insurance Seminar, Lyon – Lausanne, Lyon,  December 2004.

·           Finance Seminar at ESSEC, Cergy, October 2004.

·           Applied Mathematics Seminar, Grenoble, University Joseph Fourier, May 2004.

·           Management Seminar, Paris – Dijon – Lyon, (JIRF : Journée Inter-Universitaire de Recherche en Finance), Lyon, May 2004.

·           Finance and Insurance Seminar, Lyon – Lausanne, Lyon, January 2004.

 

 

 

Awards                                                                                                                                                   

 

-     2005 Best Ph.D. thesis in Finance in France, AFFI-FNEGE Award (AFFI: French Finance Association, FNEGE: Fondation Nationale pour l’Enseignement de la Gestion des Entreprises).

 

-     Best paper published in the French academic journal ‘Finance’ in 2005.

     C. Bernard, O. Le Courtois, F. Quittard-Pinon,

     « Evaluation en Fair Value de Contrats Participatifs », Finance, 26(1), 2005, 73-107.

 

-     Outstanding paper in Derivatives and Microstructure presented at the Eastern Finance Association, New Orleans, April 2007.

     C. Bernard, O. Le Courtois, F. Quittard-Pinon,

     «Pricing Derivatives with Barriers in a Stochastic Interest Rate Environment ».

 

-     Best paper published in the North American Actuarial Journal in 2006.

     C. Bernard, O. Le Courtois, F. Quittard-Pinon,

     « Development and Pricing of a New Participating Contract », NAAJ, 2006, 10(4), 179-195.

 

-     Scholarship: PhD student, “Ecole Normale Supérieure” of Cachan (Sept 2003- August 2006).

 

-     Scholarship: Postdoctoral Fellow, Institute of Quantitative Finance and Insurance (Sept 2006-Mai 2007).

 

 

 

Scholarly and Professional Activities                                                                                

 

-     Visiting Position, Department of Mathematical and Statistical Sciences, University of Alberta, August 2007.

 

-     Visiting Position, Belgium (Department of Finance, University of Mons, University Louvain La Neuve), May 2008.

 

-     Visiting Position, in Beijing (China), Chinese Academy of Sciences, July 2008, July 2009.

 

-     Visiting Position, EM Lyon Business School, February 2008, October 2008, February 2009, October 2009.

 

-     Visiting Position, Leeds University Business School, School of Mathematics, Fall 2008.

 

-     Visiting Position, in Munich November 2009.

 

-     Refereeing and reviewing: I have refereed papers for North American Actuarial Journal, Journal of Banking and Finance, Risk Management and Insurance Review, International Review of Economics and Finance, Quantitative Finance, Journal of Risk and Insurance, Insurance Mathematics and Economics. I have also referred papers for the 2008 Midwest Finance Association and 2010 Eastern Finance Association annual meetings.

 

 

Teaching Experience                                                                                                                     

 

·                Winter 2009:           ACTSCI/STAT 446/846: “Mathematical Models in Finance” (UW)

                                         ACTSCI 971 – ACC 771: “Finance 2” Graduate level (UW).

·                Oct. 08/Oct. 09:      “Life Insurance” in the specialized master “Quantitative Finance” at Lyon Business School

·                November 2008:    “Discrete Time Finance” in the MSc of Financial Mathematics at Leeds University

                                        Business School

·                Spring 2008:           ACTSCI/STAT 445/845: “Asset Liability Management” (UW)

·                Winter 2008:          ACTSCI/STAT 446/846: “Mathematical Models in Finance” (UW)

·                Fall 2007:               ACTSCI/STAT 446/846: “Mathematical Models in Finance” (UW)

·                2005-2006:            Excel and VBA Courses at Lyon Business School, France (EM Lyon).

·                2003-2006:            Lecturer at Graduate School of Actuarial Studies, University of Lyon 1

                                        (teaching load 64h/year).

-          Tutorial class in Statistics (Graduate Level, Master)

-          Practical work in computer science (using SAS, StatsGraphics ).

-          Course of Inferential Statistics (Graduate Level, Master).

-          Supervisor of student projects in Finance.

·                Mai 2005:               Statistics Course taught in Hô Chi Minh City, University of Economics (Viet Nam).

·                2002-2006:            Mathematics tutorial work at the French preparatory school: Lycée du Parc, Lyon.

·                2005-2006:            Short courses for professional actuaries in Paris, France. (www.caritat.fr).

 

 

graduate Students supervision                                                                                                                     

 

            Mario Ghossoub, PhD candidate, cosupervised with Prof. Andrew Heunis.

            Zhenyu Cui, Master student in the Master of Quantitative Finance, cosupervised with Prof. Don McLeish.

            Will Gornall, Master student in the Master of Quantitative Finance, cosupervised with Prof. Phelim Boyle.

 

 

Ph.D. Thesis Details                                                                                                                         

 

Title : « Valuation of Guarantees in Insurance and in Finance using an Optional Approach ».

Supervisor : Pr. François Quittard-Pinon.

Date of viva : 24th  November 2005 in Lyon.

PhD Committee :

- Pr. Roland Gillet                        University of Paris 1

- Pr. Monique Jeanblanc              University of Evry                              (Referee)

- Pr. Erwan Morellec                    University of Lausanne, HEC             (Referee)

- Pr. Christian Partrat                    University of Lyon 1

- Pr. Patrice Poncet                       University of Paris 1, ESSEC              (Chair)

- Pr. François Quittard-Pinon        University of Lyon 1                          (Supervisor)

 

 

 

Last update: Oct 2009