Prof. Dr. Michel Dacorogna

 
Prof. Dr. Michel Dacorogna, risk expert and Partner of PRS Prime Re Solutions in Zug, Switzerland.
Prof. Dr. Michel Dacorogna
Partner

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)

  • Pricing

  • Reserving

  • 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)