Publications and preprints
Publications
- Efficient simulation of individual-based population models: the R Package IBMPopSim. D. Giorgi, S. Kaakaï, V. Lemaire. Computo (2025).
- Deep learning scheme for forward utilities using ergodic BSDEs. G. Broux-Quemerais, S. Kaakaï, A. Matoussi, W. Sabbagh. Probability, Uncertainty and Quantitative Risk (2024).
- Estimation of Systemic Shortfall Risk Measure using Stochastic Algorithms. S. Kaakaï, A. Matoussi, A. Tamtalini. SIAM Journal on Financial Mathematics (2024).
- Time-consistent pension policy with minimum guarantee and sustainability constraint. C. Hillairet, S. Kaakaï, M. Mrad. Probability, Uncertainty and Quantitative Risk (2024).
- Birth Death Swap population in random environment and aggregation with two timescales. S. Kaakaï, N. El Karoui. Stochastic Processes and their Applications (2023).
- Ethical and social implications of approaching death prediction in humans — when the biology of ageing meets existential issues. M. Gaille, M. Araneda, C. Dubost, C. Guillermain, S. Kaakaï, E. Ricadat, N. Todd, M. Rera. BMC Medical Ethics (2020).
- How can a cause-of-death reduction be compensated for by the population heterogeneity? A dynamic approach. S. Kaakaï, H. Labit Hardy, S. Arnold, N. El Karoui. Insurance: Mathematics and Economics (2019). Presentation at Seminaire Cournot (2019, in french).
Preprints
- Acute Smurf mortality and inter-phase dependence in Drosophila and mice identified through comprehensive modelling and statistical analysis of two-phase ageing. L. Breuil, M. Doumic, S. Kaakaï, M. Rera (2026). bioRxiv:2026.02.18.706552.
- Deep numerical schemes for systems of ergodic BSDEs with applications to regime-switching forward utilities. G. Broux-Quemerais, S. Kaakaï, A. Matoussi, W. Sabbagh (2026). arXiv:2606.24271.
- Optimal investment and pension policy in Pay-As-You-Go systems under forward utility and ageing population. J. Alonso-Garcia, C. Hillairet, S. Kaakaï, M. Mrad (2026). arXiv:2605.12698.
- Nonparametric hazard rate estimation with associated kernels and minimax bandwidth choice. L. Breuil, S. Kaakaï (2025). arXiv:2509.24535.
- Multivariate Optimized Certainty Equivalent Risk Measures and their Numerical Computation. S. Kaakaï, A. Matoussi, A. Tamtalini (2022). arXiv:2210.13825.
- Utility Maximization Problem with Uncertainty and a Jump Setting. S. Kaakaï, A. Matoussi, A. Tamtalini (2022). arXiv:2210.07640.
- Inextricable complexity of two centuries of demographic changes: A fascinating modeling challenge. N. El Karoui, K. Hajji, S. Kaakaï (2018). hal-01745901.
R package
- IBMPopSim, co-authored with D. Giorgi and V. Lemaire (LPSM, Sorbonne-Universite), available on the CRAN. The package simulates the random evolution of a wide range of heterogeneous population models, called stochastic Individual Based Models (IBMs), with applications in actuarial sciences, biology, demography or ecology. Documentation and examples.
Presentation at the GT ARC (december 2020, in french).
Other activities
