Jean-François Bégin's Web Site

Jean-François Bégin

Associate Professor
Department of Statistics and Actuarial Science
Simon Fraser University

Thank you for visiting my home page. I am an Associate Professor in the Department of Statistics and Actuarial Science at Simon Fraser University. I am also a fellow of the Society of Actuaries and of the Canadian Institute of Actuaries. My research interests include probabilistic modelling in finance and insurance, financial econometrics, filtering methods, credit risk, option pricing, pension economics, mortality, and climate risk. Before joining SFU, I completed my PhD at HEC Montréal under the supervision of Geneviève Gauthier.

News

  • Seeing Beyond Risk Podcast (December 11, 2023)
    My joint work with Barbara Sanders on lifetime pension pools has been featured in the Seeing Beyond Risk podcast of the Canadian Institute of Actuaries. You can listen to it here.
  • Faculty of Science Research Award (July 30, 2023)
    It is a great honour for me to receive the Faculty of Science Research Award for Early Career Faculty. I extend my gratitude to the selection committee for recognizing the beginning of my career in this way.
  • Maple Leaf Research Award (July 11, 2023)
    Our paper Controlling the Effects of Adverse Selection in Flexible Benefit Plans: A Pricing-Based Approach won the Actuarial Foundation of Canada's 2022–2023 Maple Leaf Research Award. Barbara Sanders, Cherie Ng, and I would like to extend our most sincere gratitude to the Selection Committee for choosing our paper.
  • Research Funding from NSERC and Retraite Québec (January 31, 2023)
    Mathieu Boudreault and I have received funding to study the effects of climate change on the long-term viability of public and private pension funds. Find more information here.
  • New R Package for Stochastic Volatility Jump-Diffusion Models (November 9, 2022)
    Louis Arsenault-Mahjoubi, Mathieu Boudreault, and I developed an R package based on the method presented in Bégin and Boudreault (2021). It is available on CRAN; see here.
  • Practical Application on North American Actuarial Journal Articles (September 19, 2021)
    Mathieu Boudreault, David Cantor, Kailan Shang, and I wrote an essay on "Do Jumps Matter in the Long Term? A Tale of Two Horizons." You can read our essay here.
  • Pension Plan De-Risking North America 2021 Report (April 15, 2021)
    My joint work with Barbara Sanders on pension plan mergers has been featured in Clear Path Analysis's Pension Plan De-Risking Report. You can read the interview here.
  • 2019 Bob Alting von Geusau Prize (May 11, 2020)
    I am deeply honoured and grateful to be the recipient of this year's Bob Alting von Geusau Prize. I would like to extend my most sincere thanks to the Prize Paper Selection Committee and the AFIR-ERM Section of the IAA for choosing my paper.
  • Netspar Thesis Award (February 6, 2019)
    Lu Yi, a Master's student working with Professor Sanders and me, won the 2019 Netspar Thesis Award. You can read the announcement on Netspar's website here.
  • Catch a Rising Star (September 17, 2018)
    I did an interview with SFU's Faculty of Science a few months ago. You can read it here.
  • International Congress of Actuaries (September 10, 2018)
    I wrote an article for this month's CIA (e)Bulletin on my experience at the last ICA in Berlin. You can read the article here.

Education

Papers

Publications in refereed journals.


Peer-reviewed, industry-oriented reports and articles.


Articles submitted to refereed journals.


Working papers.

Teaching

Supervision

    I am a committed and active supervisor at the graduate and undergraduate levels. I supervise students working on a range of topics that relate to actuarial science, financial mathematics, financial econometrics, statistics, and finance.

  • Prospective Students

    I am recruiting exceptional actuarial and statistics students at all levels (undergraduate, Master's and doctoral students). I do not require trainees to come from a certain academic discipline, but I do look for a quantitative background. So, they could be actuaries, computer scientists, mathematicians, physicists, as long as they are comfortable with equations, models, and computers. Most importantly, they need to be capable of independent thinking, very curious, and have similar research interests to mine.

    If you are interested, please send me a complete CV and a copy of your transcripts by email. I will be in touch with you if your academic background fits my research program.
  • Current Doctoral Students
    • Golara Zafari: Golara's research focuses on pricing kernels and financial econometrics.
    • Louis Arsenault-Mahjoubi: Louis's research focuses on financial econometrics and Bayesian estimation of stochastic volatility models.
    • Thomas Landry: Thomas's research focuses on pension economics, mortality, and finance (co-supervision with M. Boudreault).
  • Current Master's Students
    • Alice Roberts: Alice's research focuses on nonparametric option pricing methods (co-supervision with P. Tupper).
    • Vatsal Desai: Vatsal's research focuses on collective defined contribution schemes and smoothing mechanisms (co-supervision with B. Sanders).
    • Yingfei Sun: Yingfei's research focuses on optimal hurdle rate policies in the context of lifetime pension pools (co-supervision with B. Sanders).
    • Jingyu Zhu: Jingyu's research focuses on fee structures in lifetime pension pools.
    • Parnian Rezaei: Parnian's research focuses on option pricing and quantization.
    • Isaac Marchand: Isaac's research focuses on member heterogeneity in lifetime pension pools.
  • Past Students