Bureau » PK-5715
Téléphone » (1-514) 987-3000, poste 8560
Courriel » boudreault.mathieu@uqam.ca
Domaines de recherche »
Modélisation actuarielle des risques de catastrophes naturelles (ouragans et inondations principalement);
Solvabilité des corporations, des compagnies et des programmes d'assurance;
Modélisation et évaluation des garanties dans les fonds distincts;
A.I.C.A., Associé, Institut Canadien des Actuaires (A.I.C.A. 2012)
F.S.A., Fellow, Society of Actuaries (F.S.A., 2007)
D. Carozza, M. Boudreault, Global flood risk modeling using climate models and machine learning. En cours de rédaction.
D. Carozza, M. Boudreault, On the impact of ENSO on spatial diversification of flood risk at the global scale. En cours de rédaction.
J.-F. Bégin, M. Boudreault, Likelihood valuation of jump-diffusion models with stochastic volatility and stochastic jump arrival intensity. En cours de rédaction.
M. Boudreault, P. Grenier, M. Pigeon, J.-M. Potvin, R. Turcotte, Pricing flood insurance with a physics-based hierarchical model, Première ronde de révision.
D. Amaya, M. Boudreault, D. L. McLeish (2019), Maximum likelihood estimation of first-passage structural credit risk models correcting for the survivorship bias, Journal of Economic Dynamics and Control 100, 293-313
J.-P. Baudouin, L.-P. Caron, M. Boudreault (2018), Impact of reanalysis boundary conditions on downscaled Atlantic hurricane activity, Publication prochaine dans Climate Dynamics. doi:10.1007/s00382-018-4352-7
J.-F. Bégin, M. Boudreault, D.-A. Doljanu & G. Gauthier (2017), Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis, Publication prochaine dans Journal of Risk and Insurance. doi:10.1111/jori.12210
M. Augustyniak, M. Boudreault & M. Morales (2017), Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure, Methodology and Computing in Applied Probability. doi:10.1007/s11009-016-9541-4.
J.-F. Bégin, M. Boudreault & G. Gauthier (2017), Firm-Specific Credit Risk Estimation in the Presence of Regimes and Noisy Prices, Finance Research Letters 23, 306-313.
M. Boudreault, L.-P. Caron & S. Camargo (2017), Reanalysis of Climate Influences on Atlantic Tropical Cyclone Activity using Cluster Analysis, Journal of Geophysical Research: Atmospheres 122, 4258–4280.
M. Augustyniak & M. Boudreault (2017), Hedging stochastic interest rates in variables annuities: effectiveness under model risk , North American Actuarial Journal 21, 502-525.
L.-P. Caron, M. Boudreault & S. Camargo (2015), On the Variability and Predictability of Eastern Pacific Tropical Cyclone Activity, Journal of Climate 28, 9678–9696.
M. Boudreault, G. Gauthier & T. Thomassin (2015), Estimation of correlations in portfolio credit risk models based on noisy security prices, Journal of Economic Dynamics and Control 61, 334-339
L.-P. Caron, M. Boudreault & C. Bruyère (2015), Changes in large-scale controls of Atlantic tropical cyclone activity with the phases of the AMO, Climate Dynamics 44, 1801-1821.
M. Boudreault, H. Cossette & É. Marceau (2014), Risk models with dependence between claim occurrences and severities for Atlantic hurricanes, Insurance: Mathematics & Economics 54, 123-132
M. Boudreault, G. Gauthier & T. Thomassin (2013), Contagion effect on bond portfolio risk measures in a hybrid credit risk model, Finance Research Letters 11, 131-139.
M. Boudreault, G. Gauthier et T. Thomassin (2013), Recovery rate risk and credit spreads in a hybrid credit risk model, Journal of Credit Risk 9, Fall 2013.
M. Augustyniak et M. Boudreault (2012), An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late-2000s, North American Actuarial Journal 16, 183-206.
M. Boudreault & C.-M. Panneton (2009), Multivariate models of equity returns for investment guarantees valuation, North American Actuarial Journal 13, 36-53.
M. Boudreault, H. Cossette, D. Landriault & É. Marceau (2006), On a risk model with dependence between interclaim arrivals and claim sizes, Scandinavian Actuarial Journal 5, 265-285;
M. Augustyniak, M. Boudreault (2018), Hedging variable annuities: How often should the hedging portfolio be rebalanced? Risk & Rewards, Février 2018, Society of Actuaries. (Prix du meilleur article 2018 dans Risk & Rewards)
M. Augustyniak, M. Boudreault (2015), On the importance of hedging dynamic lapses in variable annuities. Risk & Rewards, Août 2015, Society of Actuaries. (Lecture obligatoire pour l'examen QFI Advanced de la Society of Actuaries)
M. Boudreault (2013), Pricing and hedging financial and insurance products. Part 2: Black-Scholes' model and beyond, Risk & Rewards, Février 2013, Society of Actuaries.
M. Boudreault (2012), Pricing and hedging financial and insurance products. Part 1: Complete and incomplete markets, Risk & Rewards, Août 2012, Society of Actuaries.
C.-M. Panneton, M. Boudreault (2011), Modeling and hedging dynamic lapses in equity-linked insurance: a basic framework, Risk & Rewards, Août 2011, Society of Actuaries.
M. Boudreault & G. Gauthier (2008), A structural credit risk model with a reduced-form default trigger, Proceedings of the CIA Stochastic Modeling Symposium and Investment Seminar, Montréal, 1-2 décembre 2008.
M. Boudreault & C.-M. Panneton (2006), Practical Considerations in Multivariate Modeling of Asset Returns for Actuarial Valuation of Investment Guarantees, Proceedings of the CIA Stochastic Modeling Symposium and Investment Seminar, Toronto, 3 et 4 avril 2006.
M. Boudreault (2003), Modeling and pricing earthquake risk, Premier prix au concours canadien de recherche actuarielle de SCOR Canada;
J.-P. Boucher, M. Boudreault, J.-F. Forest (2017), Compendium of credit risk resources for P&C actuaries, E-Forum, Printemps 2017, Casualty Actuarial Society.
M. Boudreault (2013), « Une approche actuarielle à la gestion et la modélisation des risques de séismes et d'ouragans », Chapitre de l'ouvrage collectif «La gestion des risques majeurs: La résilience organisationnelle - Apprendre à être surpris» encadré par Andrée De Serres. Collection FidRisk, Éditions Yvon Blais, Thomson Reuters. Septembre 2013.
M. Boudreault, G. Gauthier et T. Thomassin (2012), "Credit Spreads, Recovery Rates and Bond Portfolio Risk Measures in a Hybrid Credit Risk Model", Les cahiers du GERAD, G-2012-45, SSRN Abstract # 2130851
M. Boudreault et A. Charpentier (2011), Multivariate integer-valued autoregressive models applied to earthquake counts. arXiv:1112.0929v1
M. Boudreault et G. Gauthier (2010), “Credit Risk Model: On the Non-Linear Relationship Between Default Intensity and Leverage”, Les cahiers du GERAD, G2010-40
M. Boudreault et G. Gauthier (2008), “A Structural Credit Risk Model with a Reduced-form Default Trigger”, Les cahiers du CREF, 08-02
CRSNG (Subvention à la découverte), FRQNT (Établissement de nouveaux chercheurs), UQAM (Programme d'aide financière à la recherche et à la création (PAFARC))
Mathématiques de l'ingénierie financière, modèles de solvabilité (théorie de la ruine, risque de crédit), programmation;
Dernière mise à jour : 25 février 2019