“I am fascinated by Research and Science.”

Prof. Dr. Michel Dacorogna about the driving force behind his career

Prof. Dr. Michel Dacorogna joined Prime Re Solutions in July 2017. Previously he worked as a deputy Chief Risk Officer for the group of SCOR, where he was in charge of the project Solvency II and of the development of the group internal model. The later he developed with his team for more than ten years. He has also published more than 85 articles in scientific journals, is an associate editor of Quantitative Finance and teaches in the master of finance programs of the University of Zurich, the University Ca'Foscari of Venice and the University of Turin.

Michel, as an academic, what was your motivation to enter the private sector?

I started my career as a theoretical physicist fascinated by Research and Science. Learning physics showed me the importance of applying mathematical models to understand reality. My main motivation to move to the private sector was to see the models I develop applied successfully in practice.

Another important motivation was my perception of lack of scientific rigor in the area of financial research. It is there that I started my career in the private sector. We have pioneered the use of high frequency data in Finance, which has become nowadays its own field of research. The models we developed to forecast volatility, to quantify market shocks or to judge the performance of investment funds have become standards.

Later, in reinsurance, we were the first to develop methods to optimize reinsurance covers by defining reinsurance as a substitute for capital or ways to use expert judgements for calibrating copulas.

As the former deputy group CRO and scientific advisor of the chairman of SCOR, what where the challenges you had to face?

My main responsibility was the building of the internal model of the company. I have spent with my team more than 10 years to build one of the most advanced model of the industry. It was the first internal model approved by the French regulators. I am very proud to have been nominated by Risk Magazine as the Insurance Risk Manager of the year for the quality of our Economic Scenario Generator in 2009, just after the financial crisis.

Next to this responsibility, I have been managing the project to adapt SCOR for Solvency II, which included more than 60 people over the whole company. During my whole career in reinsurance, I was always involved in applied research in actuarial science and mathematical finance. It is the reason why SCORs CEO asked me to become his scientific advisor for risk management.

Now being the new partner at Prime Re Solutions, how can our clients benefit from your experience?

The moto of Prime Re Solutions is “Experts for Experts”. I bring to the team an expertise in model building and validation, in investment policies, in regulation and (re)insurance practices. This expertise will find many ways to be used to help our customers. For instance, designing a functional Asset and Liability Management (ALM) policy with good tools is one of the services, we offer our customers.

Another example of field of expertise that is very much in demand, is model validation. European and Swiss regulations require companies to validate the models they use for quantifying risk. Moreover, our expertise in Economic Scenario Generators is already shared in a special workshop of the Prime Re Academy and could be extended as a service to clients.

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Michel Dacorogna in brief

First name/surname:

Michel Dacorogna

Trained profession:

Physicist

With PRS since:

July 2017

Previous stops on the career path:

After doing research in solid state physics, I was involved in pioneering work on collecting and modelling High Frequency Data in Finance, then turned to (re)insurance for helping reinsurance customers to structure their reinsurance covers then moved to build the internal model of the company. During my whole professional life I involved myself in research and I enjoy intellectual challenges.

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