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You are here: FRIAS Fellows Fellows 2021/22 Prof. Dr. Jean Bérard

Prof. Dr. Jean Bérard

University of Strasbourg
Institute for Advanced Mathematical Research (IRMA)
External Senior Fellow
October 2017 - September 2019


Jean Bérard is professor of mathematics at the University of Strasbourg. He is a member of the Institute for Advanced Mathematical Research (IRMA), and is currently responsible for the actuarial programme in Strasbourg.  His research interests include probability theory, Monte Carlo methods, and stochastic modelling applied to life and actuarial sciences.


FRIAS Research Project

Linking Finance and Insurance: Theory and Applications

The goal of this research group is to tackle problems which lie in the intersection of finance and insurance. Under the current market situation this is of particular interest, as the present low interest rate environment is both a big challenge for insurance companies and a key driving factor of stock markets. This shows the high topicality of this endeavor on one side and the enormous potential for future developments on the other side.  The main topics we aim  at  are  hybrid derivatives  which have equity  and  interest  rates  as underlying  instruments.  This type  of derivatives  appears  naturally  in  equity-linked  insurance  products,  variable  annuities  and other  financial products from the area of pensions and life-insurance.   Our first step is to develop fundamental results on assets of this type, in particular we are looking for valuation and risk-management methodologies. We will also cover the important question of model risk utilizing methods from robust finance and Bayesian finance. The second step is to apply these results by studying specific industry-relevant problems and developing tailor-made solutions.