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, Canadian permanent resident.

Date of Birth: 12^th 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, Z. Cui, “Pricing Timer Options”, Journal of Computational Finance, 2011, forthcoming.

· C. Bernard, M. Maj, S. Vanduffel, “Improving the Design of Financial Products in a Multidimensional Black Scholes Market”, North American Actuarial Journal, 2011, forthcoming.

· C. Bernard, P. Boyle, « Monte Carlo Methods for Pricing Discrete Parisian Options», European Journal of Finance, 2011, forthcoming. (available at SSRN).

· C. Bernard, O. Le Courtois, F. Quittard-Pinon, « Protection of Life Insurance companies in a Market-based framework », North American Actuarial Journal, Vol. 14, N°1, p. 131-149, 2010, (previously entitled « Assessing the Market Value of Safety Loadings »), 2006  (available at SSRN).

· C. Bernard, M. Ghossoub, “Static Portfolio Choice under Cumulative Prospect Theory”, Mathematics and Financial Economics, 2010, vol. 2, n^o4, pp. 277-306. (available at SSRN).

· C. Bernard, W. Tian, «Insurance Market Effects of Risk Management Metrics », The Geneva Risk and Insurance Review, 2010, 35, 47–80. (pdf).

· C. Bernard, P. Boyle, «Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy», The Journal of Derivatives, Fall 2009, 17(1): 62–76. (available at SSRN).

· 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, « On the Regulator-Insurer Interaction in a Structural Model», Journal of Computational and Applied Mathematics, 2009, 233(1), 3-15 (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, 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 (pdf).

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) (pdf).

· C. Bernard, P. Boyle, “A Natural Hedge for Equity Indexed Annuities”, AFIR proceedings, ICA 2010 (pdf).

Working Papers                                                                                                                                

· 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, W. Gornall « Locally-capped Investment Products and the Retail Investor», 2010 (available at SSRN).

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

· C. Bernard, P. Boyle, “Explicit Representation of Cost Efficient Strategies”, 2010 (available at SSRN).

· C. Bernard, P. Boyle, “A Natural Hedge for Equity Indexed Annuities”, 2010 (pdf).

· C. Bernard, C. Czado, “Multivariate Option Pricing Using Copulae”, 2010.

International Conferences                                                                                                       

· AFFI Annual Meeting (French Finance Association), Paris, December 2010.

· RIO 2010, Research in Options, December 2010, “Timer-style options, Pricing, Design”. (slides).

· Dynamic Copula Methods in Finance, Bologna, Italy, September 2010, “Multivariate Option Pricing Using Copulae”.(slides)

· The 7th Conference on Multivariate Distributions with Applications « Explicit Representation of Cost-Efficient Strategies: suboptimality of path-dependent strategies », Maresias, Brazil, August 2010.

· World Risk and Insurance Economics Congress, Singapore, July 2010 (joint APRIA, ARIA and EGRIE meeting). (slides)

· Bachelier congress, Toronto, June 2010, « Explicit Representation of Cost-Efficient Strategies ».

· IME Conferences (Insurance: Mathematics and Economics), Toronto, June 2010, « A Natural Hedge for Equity Indexed Annuities ». (slides)

· Frankfurt MathFinance Conference, March 2010, “Path-dependent Inefficient Strategies and How to Make Them Efficient” (slides)

· ICA 2010, International Congress of Actuaries, Cape Town, South Africa, March 2010, « A Natural Hedge for Equity Indexed Annuities », slides and working paper.

· 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" (slides).

· 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), 43^rd 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                    

· IMPA, Rio de Janeiro, Brazil, December 2010 (invited by Prof Jorge Zubelli).

· Oberseminar, TUM, Munich, Germany, November 2010 (invited by Prof Claudia Czado).

· IFA, Ulm, Germany, November 2010 (invited by Alexander Kling and Prof Hans-Joachim Zwiezler).

· Fields institute, Toronto, September 2010. (slides)

· IGR-IAE Rennes, April 2010.

· University of Oxford, Nomura seminar, February 2010.

· IFA, Ulm, Germany, November 2009.

· LMU/TUM seminar, Munich, Germany, November 2009.

· Graduate Student Seminar in Waterloo, October 2009.

· TATA Consulting Services – Research project with Waterloo in Hyderabad, October 2009.

· 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, invited by Prof. Tahir Choulli.

- Visiting Position, EM Lyon Business School, October 2008, February 2008, June 2009, December 2009 invited by Prof. O. Le Courtois and Prof. F. Quittard-Pinon.

- Visiting Position, in Belgium for 1month in May 2008, invited by Prof. Isabelle Platten (Department of Finance, University of Mons) and Prof. Pierre Devolder (University Louvain La Neuve).

- Visiting Position, in Beijing (China), July 2008, July 2009 by Prof. Jia-An Yan, Academy of Mathematics and Systems Science, Chinese Academy of Sciences.

- Visiting Position, Leeds University Business School, School of Mathematics, Fall 2008 invited by Prof. Klaus Reiner Schenk-Hoppé.

- Visiting Position, Chair of Mathematical Statistics, Technische Universitat Munchen, Munich, Germany, November 2009 and November 2010 invited by Prof. Claudia Czado as a recipient of the annual award for “Women for Math Science”.

- Visiting Position, IGR-IAE Rennes, France, in April 2010, invited by Prof. Franck Moraux.

- Refereeing and reviewing: I have refereed papers for North American Actuarial Journal, International Review of Economics and Finance, Risk Management and Insurance Review, Quantitative Finance, Journal of Banking and Finance, Journal of Financial and Quantitative Analysis, Journal of Risk and Insurance, Insurance: Mathematics and Economics, SIAM Financial Mathematics, ASTIN, Review of Derivatives Research, Journal of Financial and Quantitative Analysis, Applied Stochastic Models in Business and Industry, Contemporary Economic Policy. I have also referred papers for the 2008 Midwest Finance Association and 2010 Eastern Finance Association Annual Meetings.

Teaching Experience                                                                            

· Spring 2010: ACTSCI 634: Graduate course in the master of actuarial science. Actuarial Practice II, Quantitative Risk Management. (syllabus: pdf)

· Spring 2010: ACTSCI 631: Graduate course in the master of actuarial science. Financial Mathematics III (UW). (syllabus: pdf)

· April 2010: IGR-IAE Rennes, "Quantitative Enterprise Risk Management".

· March 2010: Dubai, 2 day workshop "Understanding and Working with Variable Annuities" on the campus of Waterloo in Dubai (website of the UAE Waterloo campus).

· Winter 2010: ACTSCI/STAT 971: Graduate course in the master of quantitative finance (MQF and MMath), “Continuous-time finance” (UW) (syllabus: pdf).

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

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

· Oct. 08/Oct. 09:      “Life Insurance” in the specialized master “Finance de Marché” at EM 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)

· April 2008: Actuarial Training Course for the National Bank of Serbia with Prof. H. Panjer.

· 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                                                                                                                     

Current students

Mario Ghossoub, PhD candidate, cosupervised with Prof. Andrew Heunis. Start date: January 2008.

Zhenyu Cui, PhD candidate, cosupervised with Prof. Don McLeish. Start date: September 2010.

Jit Seng Chen, Master student in the Master of Quantitative Finance, cosupervised with Prof. Phelim Boyle.

Hyunjong Jin, Master student in the Master of Quantitative Finance, cosupervised with Prof. Phelim Boyle.

Past students:

Zhenyu Cui, Master student in the Master of Quantitative Finance, cosupervised with Prof. Don McLeish. Graduated May 2010 (thesis (pdf): “Time-change Method in Quantitative Finance”). Now in the Statistics PhD program in Waterloo.

Will Gornall, Master student in the Master of Quantitative Finance, cosupervised with Prof. Phelim Boyle. Graduated April 2010 (thesis (pdf): “Financial Fraud: a Game of Cat and Mouse”). Now in the PhD program in Finance at Stanford.

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)