Yahia SALHI

Yahia Salhi

Assistant Professor

ISFA | Université Claude Bernard Lyon 1

Name Yahia SALHI
Address Ecole ISFA
50 avenue Tony Garnier, 69007 Lyon
Website salhi.yahia.free.fr
Email yahia.salhi(AT)univ-lyon1.fr




Yahia Salhi holds a PhD in applied mathematics from the University of Lyon, a MSc in actuarial science and finance from ISFA, and an engineering diploma from the Ecole des Mines. He is assitant professor at ISFA Graduate School of Actuarial Studies and associate researcher at the BNP Paribas Cardif's "Data Analytics & Models in Insurance's Chair" (DAMI). Yahia's main research interests include detection of abrupt changes, longevity and mortality modelling, pricing and management as well as surrender risk modelling and mathematical aspects of impairment of financial assets under IFRS regulations. Yahia lectures on actuarial and financial mathematics in various universities and actuarial programs: Saint-Joseph University (Lebanon), Université Internationale de Rabat (Morocco), Université Cheikh Anta Diop (Sénégal), Université Paris Dauphine (Tunisia) and at ISFA (France) among others.


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Published (Peer Reviewed)

[10] Age-Specific Adjustment of Graduated Mortality

Y. Salhi, P.-E. Thérond

ASTIN Bulletin (2018) 48(2) 543-569


[9] Alarm System for Credit Losses Impairment

Y. Salhi, P.-E. Thérond

Bulletin Français d'Actuariat (2017) 17(1) 131-161


[8] A Model-Point Approach to Indifference Pricing of Life Insurance Portfolios with Dependent Lives

C. Blanchet-Scalliet, D. Dorobantu, Y. Salhi

Methodology and Computing in Applied Probability (2017) XXX(X) 1-26


[7] A Class of Random Field Memory Models for Mortality Forecasting

P. Doukhan, J. Rynkiewicz, D. Pommeret, Y. Salhi

Insurance: Mathematics and Economics (2017) 77:97-110


[6] Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate

N. El Karoui, S. Loisel, Y. Salhi

The Annals of Applied Porbability (2017) 27(4), 2515-2538


[5] Basis risk modeling: A co-integration based approach

Y. Salhi, S. Loisel

Statistics (2017) 51(1) 205-221


[4] Lapse Risk in Life Insurance: Correlation and Contagion Effects Among Policyholders' Behaviors

F. Barsotti, X. Milhaud, Y. Salhi

Insurance: Mathematics and Economics (2016) 71:317-331


[3] Partial splitting of longevity and financial risks: The life nominal chooser swaption

H. Bensusan, N. El Karoui, S. Loisel, Y. Salhi

Insurance: Mathematics and Economics (2016) 68:61-72


[2] A Credibility Approach for the Makeham Mortality Law

Y. Salhi, P.-E. Thérond, J. Tomas

European Actuarial Journal (2016) 6(1) 61-96


[1] Understanding, modelling and managing longevity risk: key issues and main challenges

P. Barrieu, H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel, C. Ravanelli, Y. Salhi

Scandinavian actuarial journal (2012) 2012(3) 203-231


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Published (Non-peer Reviewed)

[1] De l'importance d'un bon suivi des hypothèses actuarielles

Y. Salhi

l'actuariel - № 22 - Oct. 2016


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Submitted

Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities

D. Dorobantu, Y. Salhi, P.-E. Thérond

Under revision (2018) XXX(X) XXX-XXX


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Working Papers

A Solvency Reduced-Form Model for Risk Management Purposes

A. Bignon, A. Ndjeng-Ndjeng, Y. Salhi, P.-E. Thérond

Work in progress (2018) XXX(X) XXX-XXX


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Institut de Science Financierère et d'Assurance flickr
9th International Workshop of Applied Probability, Budapest, 18-21 jun. 2018
31st International Congress of Actuaries, Berlin, 4-8 jun. 2018
Lolita ANR closing conference, Université Paris 6, Paris, 15-17 jan. 2018
IAALS Colloquium, Barcelona, 23-24 oct. 2017
Groupe de travail Dépendance, Institut Henri Poincaré, Paris, 21 jun. 2016
European Actuarial Journal Conference. Lyon, 5-8 sep. 2016
12th International Longevity Risk and Capital Markets Solutions Conference. Chicago, 29-30 sep. 2016
11th International Longevity Risk and Capital Markets Solutions Conference. Lyon, 7-8 sep. 2015
5th International Workshop in Sequential Methodologies, New York, 22-24 jun. 2015
International Conference on Quantitative Finance, Insurance and Risk Management. Marrakesh, 9-10 oct. 2014.
10th International Longevity Risk and Capital Markets Solutions Conference. Santiago, 3-4 sep. 2014.
Working Group on Risk and Uncertainty - ESSEC, Paris, 14 nov. 2013
Joint ISFA-Spienza University of Roma Research Seminar, Lyon, 15 nov. 2013
Summer School in Mathematical Modelling and Applications, Hanoï, 29-31 jul. 2013
17th International Congress on Insurance : Mathematics and Economics. Copenhagen, 1-3 jul. 2013
AFIR Colloquium, Lyon, 24-26 jun. 2013
Working Group on Longevity Risk, Universitée Paris 6 - LPMA, Paris, 2nd apr. 2013
Winter School on Perspectives in Actuarial Risks in Talks of Young Researchers, Ascona, 27 jan.-1 feb. 2013
Séminaire SéPia - Institut Français des Actuaires. Paris, 14 jan. 2013
Séminaire Lyon-Lausanne, Lyon, 30 nov. 2012
16th International Congress on Insurance : Mathematics and Economics. Hong-Kong, 28-30 jun. 2012
Séminaire SéPia - Institut Français des Actuaires. Paris, 15 mar. 2012
10th International Conference on Operations Research. Havana, 6-9 mar. 2012
Colloque ERM et Solvency II. Rabat, 31 oct.- 1 nov. 2011
7th International Longevity Risk and Capital Markets Solutions Conference. Frankfurt, 8-9 sep. 2011
2ème édition de la Journée des chaires de recherche de l'Institut Louis Bachelier. Paris, 4 jul. 2011
15th International Congress on Insurance : Mathematics and Economics. Trieste, 15-18 jun. 2011
Longevity Risk Modelling : An Inter-disciplinary approach. Paris, 30-31 may 2011
Axa Longevity and Pension Funds Conference. Paris, 3-4 feb. 2011
Cours Bachelier sur le risque de longévité. Paris, 21 jan. 2011
6th International Longevity Risk and Capital Markets Solutions Conference. Sydney, 9-10 sep. 2010
Ecole d'éte de l'Institut Français des Actuaires. Lyon, jul. 2010
14th International Congress on Insurance : Mathematics and Economics. Toronto, jun. 2010
SCOR Campus. Paris, jun. 2010
Journée Inter-universitaires de Recherche en Finance. Créteil, apr. 2010