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KRATZ Marie

Department : Information Systems, Decision Sciences and Statistics
Professor
Campus de Cergy

Contact

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

 

 

Diplomas

  • 2005 : HDR (Université Paris 1 Panthéon-Sorbonne, France )
  • 1993 : Doctorate in Applied Mathematics (Université Pierre et Marie Curie (UPMC), France )

Certificates

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

Career

    Full-time academic appointments

    • 2011 - Present : Full Professor (ESSEC Business School, France)
    • 2013 - Present : Fellow of the French Institute of Actuaries (French Institute of Actuaries, France)
    • 2006 - 2011 : Associate Professor (ESSEC Business School, France)

    Other Academic Appointments

      • 2013 - Present : Affiliated member to RiskLab (ETH Zurich, Switzerland)
      • 2017 - 2020 : Part-time Visiting Professor (Lund University. School of Economics and Management. Statistics Department, Sweden)
      • 2012 : Internship at FINMA, Swiss Financial Market Supervisory Authority (Swiss Financial Market Supervisory Authority FINMA, Switzerland)
      • 2004 - 2009 : Member of MAP5 (Applied Mathematics), UMR8145 (Université Paris-Descartes, France)
      • 1994 - 2006 : Assistant, then associate professor (Université Paris-Descartes, France)
      • 1999 - 2000 : Delegation C.N.R.S. (SAMOS-MATISSE, UMR 8595 (CNRS, France)
      • 2012 - Present : Director of the ESSEC-ISUP actuarial track (ESSEC Business School, France)
      • 2013 - Present : 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 - 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)
      • 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)
      • 2008 - 2012 : Co-responsible of the ESSEC-ISUP actuarial track (ESSEC Business School, France)

Awards

  • 2013 : Fellow of the French Institute of Actuaries (French Institute of Actuaries, France)

Grants

  • 2017 : ETH Risk Center (ETH Zurich, Switzerland)
  • 2016 : Institute for Mathematical Research (FIM) (ETH Zurich, Switzerland)
  • 2016 : Visiting scholar and Member of the advisory board of QRFE (Durham University Business School, United Kingdom)
  • 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 : European FP7-RARE project
  • 2012 : FP7-PEOPLE-2012-IRSES - Marie Curie Actions (European Union, Belgium)
  • 2010 : Ceressec Research projects grants

Journal articles

Book chapters

HDR

Guest editor of a journal special issue

Conference Proceedings

Presentations at an Academic or Professional conference

Prefaces of a journal

Working Papers

Press article, video or other popular media

Teaching

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

Tutoring

  • 2018 - 2019 : Supervision of Master Thesis (Supervision of dissertation)

Professional activities

    Member of an professional association, of an expert group or of a board of directors

  • 1994 - Present : BERNOULLI SOCIETY (for Mathematical Statistics and Probability- ISI section), International Statistical Institute, Pays-Bas
  • 2010 - Present : Member of the Banque, Finance, Assurance - BFA group - SFdS (President until 2017), Société Française de Statistique (SFdS), France
  • 2007 - Present : SFdS - Société Française de Statistique
  • Other professional activity

  • 2016 - Present : Research experts forum (invited panelist), fringe event to the IFoA Asia conference, Kuala Lumpur, Malaisie
  • 2017 Experts forum: Singapore Actuarial Society forum, 'Overview of Copulas for Actuaries in Management', Singapour
  • 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, Royaume-Uni
  • 2014 Experts Forum on Risk Measures and Regulation in Insurance, Swiss Re Learning Center (by invitation), Zurich, Suisse
  • 2012 Workshop on Statistical Applications to Climate Extremes, Zurich Development Center (by invitation), Zurich, Suisse

Research activities

    Editorial Board Membership

  • 2019 - Present : REVSTAT Statistical Journal
  • Organization of a conference or a seminar

  • 2020 - Present : International round table on Key Issues and Challenges for Actuarial Science - Bringing Together Academics and Practitioners, International Actuarial Colloquium (Virtual),
  • 2009 - Present : Organizer of the Working-Group-on-Risk (CREAR series of fortnightly seminars), ESSEC Business School, France
  • 2019 Can Stochastic Geometry handle Dynamics of Risk Management?, ESSEC Business School, France
  • 2018 'Cyber risks – Threats and Opportunities for the Asia Pacific Insurance Industry', 4th SAS ERM - ESSEC CREAR Conference, Singapour
  • 2018 Can Stochastic Geometry handle Dynamics of Risk Management?, Lund University. School of Economics and Management. Statistics Department, Suède
  • 2016 'Financial risk: Black Swan or Opportunities?', ESSEC Business School, France
  • 2016 'Lois Scientifiques et Modèles Mathématiques: de la physique à l'actuariat', Colloquium SCOR-IA, Paris
  • 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 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 International Actuarial Colloquium (Virtual), co-organizer (member of the Scientific Committee)
  • 2014 Mini-workshop "Small data " (CREAR & BFA-SFdS), 13ème Congrès des Actuaires, Paris
  • 2012 ESSEC CREAR - SWISS LIFE conference: 'Risk, Insurance and Longevity', ESSEC La Défense
  • 2010 BFA - SFdS & ESSEC WG Risk: 'Financial Regulation' , Paris, France
  • 2009 European workshop on EVT & Finance - Paris La défense, France
  • Member of an academic association

  • 2005 - 2011 : Responsible in Paris Descartes of the GREFI-MEFI (European Research Group Franco Italian - Matematica Fisica)
  • 2006 - 2009 : Member of the ANR MiPomodim and the Working Group on Random Porous Media Modelling (Paris Descartes)
  • Other academic activity

  • 2006 - 2009 : Member of MIPOMODIM (Project ANR blanc - NT05-1_42030)
  • Participation in scientific commissions or reviewer for a conference

  • 2015 - Present : Member of the Advisory Board of QRFE, Durham Business School, Royaume-Uni
  • 2013 - Present : Member of the Scientific Committee of ISUP-UPMC
  • 2014 - Present : Member of the Scientific Committee of the IRFRC Conference, NTU Singapore
  • 2014 - 2016 : Member of the ANR Ameriska on the Analysis of Multivariate Extremes and RISKs Assessment

Theses

  • 2020 : Bräutigam M. (ESSEC Business School), Thesis director
  • 2016 : Cadena M. (ESSEC Business School), Thesis director
  • 2015 : Debbabi N. (URCA), Thesis co-director