Erwan Koch

EPFL SB MATH STAT
MA B1 433 (Bâtiment MA)
Station 8
CH-1015 Lausanne

Unit: SMA-ENS

Administrative data


Professional course

Post-doctoral Fellow under the supervision of Prof. Dr. P. Embrechts ETH Zurich (Department of Mathematics, RiskLab) 2014-2017
Post-doctoral Fellow under the supervision of Prof. Dr. J. H. Blanchet and Prof. Dr. R. A. Davis Columbia University (Department of Statistics) 2016 (one month and a half)

Education

PhD Applied Mathematics ISFA (Institute of Financial and Actuarial Sciences), and Finance/Insurance Laboratory of CREST (Center for Research in Economics and Statistics) 2011-2014
Master's Degree Actuarial Science Paris-Dauphine University 2009-2011
Master's Degree Modelling/Simulation and Climatology Ecole Centrale de Paris 2008-2009
Engineer of Ecole Centrale de Paris Engineering Ecole Centrale de Paris 2006-2009

Publications

Teaching & PhD

Teaching

  • Mathematics,

PhD Programs

PhD Students

Courses

Probabilities and statistics

The course introduces the basic notions of probability and statistical inference, with an emphasis on concepts and methods. goto


Research

Interests

- Extreme-value theory; Spatial and weather extremes;
- Risk measures; Spatial, weather and climatic risks;
- Actuarial science; Event-linked securities;
- Systemic risk; Optimal risk transfer.