Patrice Gaillardetz, PhD

Dr. Patrice Gaillardetz received a Ph.D. (2006) in Statistics from the University of Toronto. In 2005, a little less than a year before graduating, he joined the Department of Mathematics and Statistics at Concordia University. Dr. Gaillardetz has been the Director of the Actuarial Mathematics program or Co-op director for the last twelve years. He also sat on granting agencies, and supervised several graduate students. He is a member of Quantact and the Centre de recherches mathématiques. Dr. Gaillardetz’s main research interests are the pricing and hedging financial guarantees embedded in insurance products. Among other journals, Dr. Gaillardetz has published in Insurance: Mathematics and Economics, North American Actuarial Journal, and Journal of Risk and Insurance. He has received grants from NSERC, FQRNT, IFSID, CIA, and SoA.

- Eghbalzadeh, R., Godin, F., and P. Gaillardetz (2024). “The discrete-time arbitrage-free Nelson-Siegel model: a closed-form solution and applications to mixed funds representation”. Annals of Actuarial Science,18(2), 310-341.

- Eghbalzadeh, R., Gaillardetz, P., and F. Godin (2024). “Evaluation of Partici- pating Endowment Life Insurance Policies in a Stochastic Environment”. European Actuarial Journal, 1-28.

- Gaillardetz, P. and S. Hachem (2023). “American Option Evaluation Using Higher Moments”. Studies in Economics and Finance. https://doi.org/10.1108/SEF- 08-2023-0458.

- Godin, F., Eghbalzadeh, R., and P. Gaillardetz (2023). “Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model”. Review of Derivatives Research, 1-36.

- Godin, F., Hamel, E., Gaillardetz, P., and E. Ng (2023). “Risk allocation through Shapley decompositions with applications to variable annuities”. ASTIN Bulletin: The Journal of the IAA, 53(2), 311-331.

- Gaillardetz, P. and S. Hachem (2022). “Dynamic Hedging In Incomplete Mar- kets Using Risk Measures”. IMA Journal of Management Mathematics, 33, 345- 367.

- Gaillardetz, P., Moghtadai, M., and S. Hachem (2022). “Valuation of Equity- Linked Products in the Presence of Policyholder Surrender Option Using Risk Min- imizing Strategies”. Annals of Actuarial Science, 16, 25-41.

- Gaillardetz, P. and E. Osei Meriku (2022). “Worst-Case Valuation of Equity- Linked Products Using Risk-Minimizing Strategies”. North American Actuarial Journal, 26, 64-81.

- Gaillardetz, P. and S. El Khoury(2020). “Dynamic Hedging Strategies Based on Changing Pricing Parameters for Compound Ratchets”. Asia-Pacific Journal of Risk and Insurance, 14, 1-15.