Mélina Mailhot, PhD

Education

Ph.D.:  Université Laval, Canada 2012

Research interests

Actuarial Science, Risk Theory, Dependence Modeling, Risk Measures, Optimization

Mathematics of Finance

Loss Models

Investment Mathematics

Risk Theory

Risk Measures

• Jessup, S., Mailhot, M., Pigeon, M. (2025). Uncertainty in Heteroscedastic Bayesian Model Averaging. Insurance: Mathematics and Economics.

• Moresco, M.R., Mailhot, M. and Pesenti, S. M. (2024). Uncertainty propagation and dynamic robust risk measures. Mathematics of Operations Research, pages 1–26.

• Palacios-Rodriguez, F., Bernardino, E. D., Mailhot, M. (2023). Smooth copula-based generalized extreme value model and spatial interpolation for extreme rainfall in Central Eastern Canada. Environmetrics, 34(3), e2795.

• Jessup, S., Mailhot, M., Pigeon, M. (2023). Impact of combination methods on extreme precipitation projections. Annals of Actuarial Science, 1-20.

• Bairakdar, R., Boudreault, M., Mailhot, M. (2023). Random Forests for WildfireInsurance Applications. Variance, 16(2).

• N. Beck, E. Di Bernardino, M. Mailhot (2021). Semi-parametric estimation of multivariate extreme expectile. Journal of Multivariate Analysis,doi.org/10.1016/j.jmva.2021.104758

• C. Araiza I.*, F. Godin, M. Mailhot (2021). Tweedie double GLM loss triangles with dependenc within and across business lines. European Actuarial Journal, in press.

• N. Beck*, E. Di Bernardino, M. Mailhot (2021). Semi-parametric estimation of multivariate extreme expectile. Journal of Multivariate Analysis, doi.org/10.1016/j.jmva.2021.104758

• K. Herrmann, M. Hofert, H. Mailhot (2020). Multivariate geometric tail- and range-value-at-risk. ASTIN Bulletin, 50 (1), p.-265-292, doi:10.1017/asb.2019.31

• N. Beck*, C. Genest, J. Jalbert, M. Mailhot (2020). Predicting extreme surges from sparse data using a copula-based hierarchical Bayesian spatial model. Environmetrics. doi.org/10.1002/env.2616

• K. Herrmann, M. Hofert, H. Mailhot (2018). Multivariate Geometric Expectiles. Scandinavian Actuarial Journal, 7, p. 629-659.

• N. Beck*, M. Mailhot (2018). A Consistent Estimator to the Orthant-Based Tail Value-at-Risk. ESAIM: Probability and Statistics, 22, p. 163-177.

• M. Mailhot, M. Mesfioui (2016). Multivariate TVaR-Based Risk Decomposition for Vector-Valued Portfolios. Risks, 44(4).

• B. Kchouk*, M. Mailhot (2016). Reciprocal Reinsurance Treaties Under an      Optimal and Fair Joint Survival Probability. Variance.

• H. Cossette, M. Mailhot, E. Marceau, M. Mesfioui (2015). Vector-valued Tail      Value-at-Risk. Methodology and Computing in Applied Probability, p.1-22.

• H. Cossette, M.-P. Côté, M. Mailhot, E. Marceau (2014). A note on the      computation of sharp numerical bounds for the distribution of the sum,      product or ratio of dependent risks. Journal of Multivariate Analysis, 130,      p.1-20

• H. Cossette, M. Mailhot, E. Marceau, M. Mesfioui (2013). Bivariate lower and      upper orthant Value-at-Risks. European Actuarial Journal, 3 (2), p.321-357.

• H. Cossette, M. Mailhot, E. Marceau. (2012). TVaR-based capital allocation for      multivariate compound  distributions.  Insurance : Mathematics and      Economics, 50 (2), p.247-256.

• J.-F. Quessy, M. Mailhot (2011). Asymptotic power of tests of normality under      local alternatives. Journal of Statistical Planning and Inference, 141,      p.2787- 2802
  
  
  

Selected Presentations

Climate Change in Insurance; from an insurance perspective, how geographical lo-

cations are affected by natural catastrophes, Moteur de Recherche https://ici.radio-

canada.ca/ ohdio/premiere/emissions/moteur-de-recherche/episodes/791060/rattrapage-

lundi-17- juin-2024, Radio Canada. 2024

Math Beyond the Numbers: An EDI Panel Discussion, Panel discussion on the sig-

nificance of equity, diversity, and inclusion (EDI) in STEM fields, with a particular

focus on mathematics and statistics., In person and live stream (youtube), open to

everybody, focussed on STEM. 2023

Actuarial Science Before, During and After Covid; impacts on the actuarial profession,

Podcast of the Canadian Institute of Actuaries, Canadian Institute of Actuaries 2021

Risk Measures and Dependence Models, Podcast: Mathematics, Actuarial, and Statis-

tics Student Association, Concordia University, 2021

Online International Conference in Actuarial Science, Data Science and Finance, 2020

Statistics Seminar, Laval University, 2020

Groupe d’étude et de recherche en analyse de décision, University of Montréal, 2019

Annual Meeting of the Canadian Institute of Actuaries, Montreal, 2019

Annual Meeting of the Statistical Society of Canada, University of Calgary, 2019

International Conference on Statistical Distributions and Applications, Grand Rapids, 2019

Annual Meeting of the Statistical Society of Canada, McGill University, 2018

CRM Thematic Semester, McGill University, 2017

Workshop in Insurance Mathematics, Waterloo University, 2016

International Conference on Statistical Distributions with Applications, Niagara Falls, 2016

Annual Meeting of the Statistical Society of Canada, Brock University, 2016

CRM Seminar, Université Sherbrooke, 2015

CRM Seminar, Université de Montréal, 2015

Lecture,“Actuariat et société”, Université du Québec à Montréal, 2015

Conference, National Association of Students in Actuarial Science, 2015

Lecture “Actuariat et société”, Université du Québec à Montréal, 2014

Conference, Industrielle Alliance, 2012

Seminar, Université Concordia, 2012

Seminar, Université de Montréal, 2012