Michel Dacorogna was until recently the deputy Chief Risk Officer of the group of SCOR in charge of the project Solvency II and development of the group internal model. He was at the origin of SCOR's internal model, which he developed with his team for more than 10 years. He also developed for customers methods to structure reinsurance covers and judge their economic efficiency.
He has published more than 85 articles in scientific refereed journals and is an associate editor of “Quantitative Finance”.
Relevant Qualification and Academic Background
Post-Doc – Theoretical Physics – University of California in Berkeley
Habilitation – Theoretical Physics – University of Geneva
Ph.D. – Theoretical Physics – University of Geneva
M.Sc. – Solid State Physics – University of Geneva
Relevant Professional Experience
Quantitative Risk Management and Corporate Finance
Financial Modelling with High Frequency Data
Actuarial engineering (insurance & reinsurance)
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Pricing
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Reserving
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Solvency and economic capital modelling
Mathematical modelling and simulation of complex systems
Model validation
Actuarial Lectures (Professor at the University of Zurich, Ca’Foscari in Venice, and Cattolica in Milan)
International Chair LabEx MME-DII & ESSEC CREAR on Risk Analysis and Management, Paris
Directed numerous Master and PhD thesis
Relevant Career Development
2017 – present PRS: Consulting Actuary & shareholder
2013 – 2016 SCOR: Scientific Advisor to the chairman of SCOR
2010 – 2013 SCOR: Deputy group CRO – in charge of Solvency 2 project
2007 – 2010 SCOR: Head of Financial Modelling and in charge of internal model
2001 – 2007 Converium: Head of Financial Modelling in charge of internal model
2000 – 2001 Zurich Re: Customer consulting on reinsurance structuring
1986 – 2000 Olsen & Associates: Head of Research and Development real time systems
Relevant Memberships in Professional Organisations
Fellow of the International Statistical Institute
IT and Programming Skills
Microsoft Office including MS Access
Various programming languages (R, Matlab, FORTRAN, Mathematica)
Language Skills
French (mother tongue)
English, German, Italian (good understanding)