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Marie KRATZ

Professor
department: Information Systems, Data Analytics and Operations
Campus de Cergy
kratz@essec.edu
+33 (0)1 34 43 36 43
Mathematics – Probability Theory & Mathematical Statistics – Risk Modelling & Actuarial Science – Statistical Data Analysis – Financial Markets & Institutions
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Career
Biography

ESSEC Full Professor, from Oct. 2011

Part time visting professor (July 2017-July 2020), Department of Statistics, Lund University, Sweden

Director of CREAR – Center of Research in Econo-finance and Actuarial Science on Risk – (see http://crear.essec.edu), from Jan. 2013

Fellow of the "Institut des Actuaires" (IA 2013; qualification 2015; certification 2015; fellow 2016)

ESSEC Associate Professor, Oct. 2006 – Sept. 2011

Maître de Conférences at the University René Descartes Paris V (UFR Mathématiques & Informatique) until Oct. 2006

Delegation C.N.R.S. (SAMOS-MATISSE, UMR 8595, 1999-2000)

Post-doctorat/delegation with S. Resnick (Fall sem. 1993, 94, 95), Cornell University (O.R.I.E.), Ithaca, N.Y., USA

PhD. in Applied Mathematics, made to a great extent at the Center for Stochastic Processes, UNC Chapel Hill, USA

 

 

Certificates

  • 2010: Global colloquium on participant-centered learning (Harvard Business School United States of America)

Diplomas

  • 2005: HDR (Université Paris 1 Panthéon-Sorbonne France)
  • 1993: Doctorate in Applied Mathematics (Université Pierre et Marie Curie (UPMC) France)
Career
Other Academic Appointments
    • 2017 – 2020 : Part-time Visiting Professor (Lund University. School of Economics and Management. Statistics Department Sweden)
    • 2012 – Now : Director of the ESSEC-ISUP actuarial track (ESSEC Business School France)
    • 2012 : Internship at FINMA, Swiss Financial Market Supervisory Authority (Swiss Financial Market Supervisory Authority FINMA Switzerland)
    • 2011 – 2015 : Director of the research program ESSEC – SWISS LIFE ”Consequences of the population ageing on the insurances loss. Impacts on the automobile prevention” (ESSEC Business School France)
    • 2008 – 2012 : Co-responsible of the ESSEC-ISUP actuarial track (ESSEC Business School France)
    • 1994 – 2006 : Assistant, then associate professor (Université Paris Descartes (Paris V) France)
Other appointments
    • 2013 – Now : Affiliated member to RiskLab (ETH Zurich Switzerland)
    • 2013 – Now : Director of CREAR – Center of Research in Econo-finance and Actuarial Science on Risk (ESSEC Business School France)
    • 2012 – 2016 : Scientific Coordinator of the European Project ‘RARE’ – Risk Analysis, Ruin and Extremes – FP7-PEOPLE-2012-IRSES – Marie Curie Actions, which aims to strengthen research partnerships through staff exchanges and networking activities between European research organizations and research organizations from other countries. (12 partners) (ESSEC Business School France)
    • 2011 – 2014 : Director of the Research program with SWISS LIFE on: Consequences of the population ageing on the insurances loss. Impacts on the automobile prevention (ESSEC Business School France)
    • 2004 – 2009 : Member of MAP5 (Applied Mathematics), UMR8145 (Université Paris Descartes (Paris V) France)
    • 1999 – 2000 : Delegation C.N.R.S. (SAMOS-MATISSE, UMR 8595 (CNRS – Centre national de la recherche scientifique France)
Full-time academic appointments
    • 2013 – Now : Fellow of the French Institute of Actuaries (Institut des Actuaires France)
    • 2011 – Now : Full Professor (ESSEC Business School France)
    • 2006 – 2011 : Associate Professor (ESSEC Business School France)
Distinctions

Grants

  • 2018 : International chair labex MME-DII & ESSEC CREAR on Risk Analysis & Management, held by Dr. Michel Dacorogna (ESSEC CREAR, France)
  • 2017 : ETH Risk Center (ETH Zurich, Switzerland)
  • 2016 : Visiting scholar and Member of the advisory board of QRFE (Durham University, United Kingdom)
  • 2016 : Institute for Mathematical Research (FIM) (ETH Zurich, Switzerland)
  • 2014 : Labex MME-DII (Labex MME-DII, France)
  • 2014 : Tata Institute for Fundamental Research (TIFR, India), by a grant from the Indo-French Center for Applied Mathematics (IFCAM) for a research project between M. Kratz & S. Vadlamani (Tata Institute for Fundamental Research)
  • 2012 : FP7-PEOPLE-2012-IRSES – Marie Curie Actions (Union Européenne, Belgium)
  • 2012 : European FP7-RARE project
  • 2010 : Ceressec Research projects grants

Awards

  • 2013 : Fellow of the French Institute of Actuaries (Institut des Actuaires, France)
Research

Journal articles

Conference Proceedings

Presentations at an Academic or Professional conference

Working Papers

Invited speaker at an academic conference

Teaching

Thesis co-director

  • Now : Impact des risques climatiques extrêmes : la question de l’assurabilité (LSCE, CEA-CNRS France)
  • 2024 : Characterising distributions and their tails using multivariate quantiles and depths (TIFR–CAM India)
  • 2015 : Approche algébrique et théorie des valeurs extrêmes pour la détection de ruptures: application aux signaux biomédicaux (URCA )

Thesis referee

  • 2024 : Contributions à l’étude des lois de temps d’atteinte. Applications. (Université Claude Bernard Lyon 1 France)
  • 2023 : Geometrical characteristics of random fields – On the perimeter of a binary image: estimation procedures, testing, and numerical implementations. (Université Paris Cité France)
  • 2023 : Cyber Risk and Insurance: Risk and Dependence Modelling and Optimal Pricing of Cyber Assistance (Technische Universität München (TUM) Germany)
  • 2022 : Statistical analysis of road accidents in the region Franche-Comté: risk factors for accident injuries and spatial modelling for accident occurrences (Université de Franche-Comté France)
  • 2017 : Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models (Monash University Australia)
  • 2015 : Modélisation de la dépendance et estimation du risque agrégé (Université Claude Bernard Lyon 1 France)
  • 2008 : Estimation et tests en théorie des valeurs extrêmes (Université Pierre et Marie Curie (UPMC) France)
  • 2004 : Estabilidad en Sistemas Neuronales Realimentados. Aplicación al Control (Universidad de Malaga Spain)

Thesis jury president

  • 2022 : Assessing the time dependence of multivariate extremes (Sorbonne Université France)
  • 2013 : Valeurs extrêmes de mosaïques aléatoires (Université de Rouen France)

Supervision of Research UV

  • 2016 – 2022 : Risk analysis (3 grants from Labex MME-DII , from 2020)

Apprenticeship tutoring

  • 2012 – 2022 : Banks, Insurance companies, Consulting companies

Supervision of dissertation

  • 2012 – 2022 : Supervision of Master Thesis

Information Systems, Decision Sciences and Statistics

  • 2019 – 2021 : Cyber risk (ETH Risk Center Switzerland)
  • 2017 – 2017 : Singapore Actuarial Society Forum on ‘Overview of Copulas for Actuaries in Management’ (Singapore Actuarial Society Singapore)
  • 2017 – 2017 : CFA France Research Workshop, ‘A self-Calibrating Method for Heavy Tailed Data Modeling’ (CFA Society France France)
  • 2017 – 2017 : Mini-workshop on ‘Modeling and Backtesting Heavy Tailed Data’ (Durham University United Kingdom)
  • 2017 – 2017 : 1/2 day workshop on ‘EVT and its Application to finance and insurance’, (ETH Risk Center Switzerland)
  • 2016 – 2016 : Two days executive seminar on Quantitative Risk Management (National Institute of Securities Markets (NISM) India)
  • 2016 – 2016 : ‘A self-Calibrating Method for Heavy Tailed Data Modeling’ (Swiss Re Switzerland)
  • 2016 – 2016 : ‘An implicit backtest for Expected Shortfall via a simple multinomial approach’ (Bank of International Settlements Switzerland)
  • 2013 – 2013 : ‘An Introduction to Quantitative Risk Management’ – course given at the Summer School on Risk Management in Finance and Insurance (National Economics University Vietnam)

Thesis jury member

  • 2019 : Algorithmes de machine learning en assurance : solvabilité, textmining, anonymisation et transparence. (Université Paris-Est Marne-la-Vallée (UPEM) France)
  • 2014 : Modelado matemático de sistemas dinámicos en epidemiología (Universidad de Malaga Spain)

Coaching

  • 2008 – 2008 : Research training at ESSEC: “Extreme Value Theory for discrete random variables, with applications in Epidemiology and in Finance”
  • 1997 – 2006 : Paris Descartes Master students final professional trainings (MST2-ISASH, DESS MSB, Master 2 IMSV)
Other activities
Professional activities
  • Member of a professional association, of an expert group or of a board of directors
    • 2022 – Now: ENISA (European Union Agency for Cybersecurity)
    • 2021 – Now: Fondation ‘La Science Statistique’ (Fondation “La Science Statistique” France)
    • 2010 – Now: Member of the Banque, Finance, Assurance – BFA group – SFdS (President until 2017) (Société Française de Statistique (SFdS) France)
    • 2007 – Now: SFdS – Société Française de Statistique
    • 1997 – Now: Affiliated member of the Bernoulli society (IMS – Bernoulli Society )
    • 1994 – Now: BERNOULLI SOCIETY (for Mathematical Statistics and Probability- ISI section) (International Statistical Institute Netherlands)
  • Other professional activity
    • 2017 – 2017: Experts forum: Singapore Actuarial Society forum, ‘Overview of Copulas for Actuaries in Management’ ( Singapore)
    • 2016 – Now: Research experts forum (invited panelist), fringe event to the IFoA Asia conference, Kuala Lumpur ( Malaysia)
    • 2015 – 2015: Round table of senior experts to discuss key issues and challenges that researchers of risk and practitioners from industries, perceive as significant over the next few years (Invited panelist by the IFoA), London ( United Kingdom)
    • 2014 – 2014: Experts Forum on Risk Measures and Regulation in Insurance, Swiss Re Learning Center (by invitation), Zurich ( Switzerland)
    • 2012 – 2012: Workshop on Statistical Applications to Climate Extremes, Zurich Development Center (by invitation), Zurich ( Switzerland)
Research activities
  • Organization of a conference or a seminar
    • 2021 – 2021: ARLEStat organized session (CFE-­‐CMS conference 2021 United Kingdom)
    • 2021 – 2021: Colloque Actuariat SCOR & IA2021 (Institut des Actuaires France)
    • 2021 – 2021: Assurabilité des risques cyber (1er Colloque International de l’Actuariat Francophone )
    • 2021 – 2021: Invited session – Stochastic Analysis in Mathematical Finance and Insurance (IMS – Bernoulli Society )
    • 2021 – Now: ARLES series of seminars (ARLES partners )
    • 2020 – Now: International round table on Key Issues and Challenges for Actuarial Science – Bringing Together Academics and Practitioners, International Actuarial Colloquium (Virtual),
    • 2019 – 2019: Can Stochastic Geometry handle Dynamics of Risk Management? (ESSEC Business School France)
    • 2018 – 2018: ‘Cyber risks – Threats and Opportunities for the Asia Pacific Insurance Industry’, 4th SAS ERM – ESSEC CREAR Conference ( Singapore)
    • 2018 – 2018: Can Stochastic Geometry handle Dynamics of Risk Management? (Lund University. School of Economics and Management. Statistics Department Sweden)
    • 2016 – 2016: ‘Lois Scientifiques et Modèles Mathématiques: de la physique à l’actuariat’, Colloquium SCOR-IA, Paris
    • 2016 – 2016: ‘Financial risk: Black Swan or Opportunities?’ (ESSEC Business School France)
    • 2016 – 2016: Concluding International ‘RARE’ Conference on Risk Analysis, Ruin theory, Extremes, La Baule (CREAR, with the support of Swiss Re, Institut des Actuaires, SCOR science foundation, Bank of England, AMIES-IA, IFoA, BFA-SFdS) ( France)
    • 2015 – 2015: International Round Table on New IFRS rules : Actuaries meet Accountants, Paris La Défense (CREAR, with the support of Labex MME-DII, Institut des Actuaires & BFA-SFdS)
    • 2014 – 2014: Mini-workshop “Small data ” (CREAR & BFA-SFdS), 13ème Congrès des Actuaires, Paris
    • 2014 – 2014: International Actuarial Colloquium (Virtual), co-organizer (member of the Scientific Committee)
    • 2012 – 2012: ESSEC CREAR – SWISS LIFE conference: ‘Risk, Insurance and Longevity’, ESSEC La Défense
    • 2010 – 2010: BFA – SFdS & ESSEC WG Risk: ‘Financial Regulation’ , Paris ( France)
    • 2009 – Now: Organizer of the Working-Group-on-Risk (CREAR series of fortnightly seminars) (ESSEC Business School France)
    • 2009 – 2009: European workshop on EVT & Finance – Paris La défense ( France)
  • Editorial Board Membership
    • 2019 – 2023: Associate Editor of REVSTAT
  • Participation in scientific commissions or reviewer for a conference
    • 2015 – Now: Member of the Advisory Board of QRFE, Durham Business School ( United Kingdom)
    • 2014 – 2016: Member of the ANR Ameriska on the Analysis of Multivariate Extremes and RISKs Assessment
    • 2014 – Now: Member of the Scientific Committee of the IRFRC Conference, NTU Singapore
    • 2013 – Now: Member of the Scientific Committee of ISUP-UPMC
  • Member of an academic association
    • 2006 – 2009: Member of the ANR MiPomodim and the Working Group on Random Porous Media Modelling (Paris Descartes)
    • 2005 – 2011: Responsible in Paris Descartes of the GREFI-MEFI (European Research Group Franco Italian – Matematica Fisica)
  • Other academic activity
    • 2006 – 2009: Member of MIPOMODIM (Project ANR blanc – NT05-1_42030)
Services
    • 2021 – 2024: ELected member of the Board of Overseers (ESSEC Business School France)
    • 2019 – 2021: Teaching Committee (ESSEC Business School France)
    • 2016 – 2021: Statistics faculty recruitment
    • 2008 – 2014: Statistics faculty recruitment (ESSEC Business School France)
Theses
  • 2023 : ABAACH M. (Université Paris Cité), Thesis referee, Geometrical characteristics of random fields – On the perimeter of a binary image: estimation procedures, testing, and numerical implementations.
  • – : AKA S. (LSCE, CEA-CNRS), Thesis co-director, Impact of extreme climate risks: the question of insurability
  • 2004 : ATENCIA M. (Universidad de Malaga), Thesis referee, Estabilidad en Sistemas Neuronales Realimentados. Aplicación al Control
  • 2017 : BENTLEY M. (Monash University), Thesis referee, Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models
  • 2020 : Bräutigam M. (ESSEC Business School), Thesis director, Pro-cyclicality of Risk Measurements : Empirical Quantification and Theoretical Confirmation
  • 2022 : BURITICA G. (Sorbonne Université), Thesis jury president, Assessing the time dependence of multivariate extremes
  • 2016 : Cadena M. (ESSEC Business School), Thesis director, Contributions actuarielles et statistiques pour l’analyse de risques en assurance liés au vieillissement de la population, notamment en assurance automobile
  • 2013 : CHEVANIER N. (Université de Rouen), Thesis jury president, Valeurs extrêmes de mosaïques aléatoires
  • 2015 : CUBEROS A. (Université Claude Bernard Lyon 1), Thesis referee, Modélisation de la dépendance et estimation du risque agrégé
  • 2015 : Debbabi N. (URCA), Thesis co-director, Approche algébrique et théorie des valeurs extrêmes pour la détection de ruptures: application aux signaux biomédicaux
  • 2024 : DOROBANTU D. (Université Claude Bernard Lyon 1), Thesis referee, Contributions à l’étude des lois de temps d’atteinte. Applications.
  • 2014 : GARCÍA GARALUZ M. E. (Universidad de Malaga), Thesis jury member, Modelado matemático de sistemas dinámicos en epidemiología
  • 2019 : LY A. (Université Paris-Est Marne-la-Vallée (UPEM)), Thesis jury member, Algorithmes de machine learning en assurance : solvabilité, textmining, anonymisation et transparence.
  • 2024 : SINGHA S. (TIFR–CAM), Thesis co-director, Characterising distributions and their tails using multivariate quantiles and depthsCharacterising distributions and their tails using multivariate quantiles and depths
  • 2022 : SPYCHALA C. (Université de Franche-Comté), Thesis referee, Statistical analysis of road accidents in the region Franche-Comté: risk factors for accident injuries and spatial modelling for accident occurrences
  • 2008 : TOULEMONDE G. (Université Pierre et Marie Curie (UPMC)), Thesis referee, Estimation et tests en théorie des valeurs extrêmes
  • 2023 : ZELLER G. (Technische Universität München (TUM)), Thesis referee, Cyber Risk and Insurance: Risk and Dependence Modelling and Optimal Pricing of Cyber Assistance