Jean-François Bégin

Thank you for visiting my home page. I am an Associate Professor in the Department of Statistics and Actuarial Science at Simon Fraser University. I am also a fellow of the Society of Actuaries and of the Canadian Institute of Actuaries. My research interests include financial modelling, financial econometrics, filtering methods, high-frequency data, credit risk, option pricing, cyber risk, and pension economics. Before joining SFU, I completed my PhD at HEC Montréal under the supervision of Geneviève Gauthier.

Education

• PhD in Administration, major in Financial Engineering
  Department of Decision Sciences, HEC Montréal
  Supervisor: Geneviève Gauthier
  Thesis title : Four Essays on Applications of Filtering Methods in Finance
• MSc in Mathematics, major in Applied Mathematics
  Department of Mathematics and Statistics, Université de Montréal
  Supervisors: Mylène Bédard and Patrice Gaillardetz
  Thesis title : New Simulation Schemes for the Heston Model
• BSc in Mathematics, major in Financial Mathematics
  Department of Mathematics and Statistics, Université de Montréal

Papers

Publications in refereed journals.

Bégin, J.-F., N. Kapoor and B. Sanders. (2023) A New Approximation of Annuity Prices for Age–Period–Cohort Models. European Actuarial Journal, Accepted.

Bégin, J.-F., M. Boudreault and M. Thériault. (2023) Leveraging Prices from Credit and Equity Option Markets for Portfolio Risk Management. Journal of Futures Markets, Forthcoming.

Bégin, J.-F., B. Sanders and X. Xu. (2023) Modelling and Forecasting Subnational Mortality in the Presence of Aggregated Data. North American Actuarial Journal, Forthcoming.

Bégin, J.-F. and F. Godin. (2023) Option Pricing Under Stochastic Volatility Models with Latent Volatility. Quantitative Finance, 23(7–8):1079–1097.

Bégin, J.-F. (2023) Ensemble Economic Scenario Generators: Unity Makes Strength. North American Actuarial Journal, 27(3):444–471.

Augustyniak, M., A. Badescu and J.-F. Bégin. (2023) A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters. Journal of Econometrics, 232(2):416-444.

Ng, C., B. Sanders and J.-F. Bégin. (2022) Controlling the Effects of Adverse Selection in Flexible Benefit Plans: A Pricing-Based Approach. Insurance: Mathematics and Economics, 105:293-312.

Amaya, D., J.-F. Bégin and G. Gauthier. (2022) The Informational Content of High-Frequency Option Prices (formely: Extracting Latent States from High-Frequency Option Prices). Management Science, 68(3):2166–2201.

Yi, L., B. Sanders and J.-F. Bégin. (2022) Redistribution in Collective Pension Arrangements Without a Sponsor Guarantee: Hidden Versus Explicit Risk Transactions. Journal of Pension Economics and Finance, 21(2):260–293.

Bégin, J.-F. and M. Boudreault. (2022) Do Jumps Matter in the Long Term? A Tale of Two Horizons. North American Actuarial Journal, 6(1):82-101.

Bégin, J.-F. (2021) On Complex Economic Scenario Generators: Is Less More? ASTIN Bulletin, 51(3):779-812.   [Code]

Bégin, J.-F. and M. Boudreault. (2021) Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters. Journal of Computational and Graphical Statistics, 30(2):452-466.

Bégin, J.-F., D. Amaya, G. Gauthier and M.-E. Malette. (2020) On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach. SIAM Journal of Financial Mathematics, 11(4):1168-1208.

Bégin, J.-F., C. Dorion and G. Gauthier. (2020) Idiosyncratic Jump Risk Matters: Evidence from Equity Returns and Options. Review of Financial Studies, 33(1):155–211.

Bégin, J.-F. (2020) Levelling the Playing Field: A VIX-Linked Structure for Funded Pension Schemes. Insurance: Mathematics and Economics, 94:58-78.

Bégin, J.-F. and G. Gauthier. (2020) Price Bias and Common Practice in Option Pricing. Canadian Journal of Statistics, 48(1):8–35

Bégin, J.-F. (2019) Economic Scenario Generator and Parameter Uncertainty: A Bayesian Framework. ASTIN Bulletin., 49(2):335-372

Bégin, J.-F., M. Boudreault, D. A. Doljanu and G. Gauthier. (2019) Credit and Systemic Risks in the Financial Services Sector: Evidence from the 2008 Global Crisis. Journal of Risk and Insurance, 86(2):263-296.

Bégin, J.-F., M. Boudreault and G. Gauthier. (2017) Firm-Specific Credit Risk Estimation in the Presence of Regimes and Noisy Prices. Finance Research Letters, 23:306-313.

Bégin, J.-F. (2016) Deflation Risk and Implications for Life Insurers. Risks, 4(4):46.

Bégin, J.-F., M. Bédard and P. Gaillardetz. (2015) Simulating from the Heston Model: A Gamma Approximation Scheme. Monte Carlo Methods and Applications, 21(3):205–231.

Peer-reviewed, industry-oriented reports and articles.

Bégin, J.-F. and B. Sanders. (2023) Benefit at Risk for Lifetime Pension Pools. Society of Actuaries and Canadian Institute of Actuaries.

Articles submitted to refereed journals.

Augustyniak, M., A. Badescu, J.-F. Bégin and S.K. Jayaraman. A General Option Pricing Framework for Affine Fractionally Integrated Models.

Bégin, J.-F., B. Sanders and W. Zhou. On the Benefits of Pension Plan Consolidation: Understanding the Impact of Full Plan Mergers.

Arsenault-Mahjoubi, L., J.-F. Bégin and M. Boudreault. SVDNF: Estimating Stochastic Volatility Models Using Discrete Nonlinear Filtering.

Bacon, É., J.-F. Bégin and G. Gauthier. On General Semi-Closed-Form Solutions for VIX Derivative Pricing.

Working papers.

Augustyniak, M., A. Badescu, J.-F. Bégin and S.K. Jayaraman. On the Weak Limits of Affine Option Pricing Models.

Teaching

• Financial Economics for Actuaries
  Simon Fraser University, ACMA 340, Spring 2023
  Simon Fraser University, ACMA 340, Spring 2020
  Simon Fraser University, ACMA 340, Spring 2019
  Simon Fraser University, ACMA 340, Spring 2018
• Actuarial Communication
  Simon Fraser University, ACMA 360W, Fall 2022
  Simon Fraser University, ACMA 360W, Spring 2021
  Simon Fraser University, ACMA 360W, Spring 2020
• Stochastic Processes for Insurance and Finance
  Simon Fraser University, ACMA 830, Fall 2022
  Simon Fraser University, ACMA 830, Fall 2021
  Simon Fraser University, ACMA 850, Fall 2020
• Models for Financial Economics
  Simon Fraser University, ACMA 440, Fall 2021
  Simon Fraser University, ACMA 440, Fall 2020
  Simon Fraser University, ACMA 440, Fall 2019
  Simon Fraser University, ACMA 440, Fall 2018
  Simon Fraser University, ACMA 440, Fall 2017
• Applied Probability Models
  Simon Fraser University, STAT 832, Spring 2019
• Monte Carlo Simulation
  HEC Montréal, 6-601-09, Spring 2016
• Probability
  HEC Montréal, 1-613-07, Fall 2014
• Life Contingencies 1
  Université de Montréal, ACT 2250, Summer 2012

Supervision

I am a committed and active supervisor at the graduate and undergraduate levels. I supervise students working on a range of topics that relate to actuarial science, financial mathematics, financial econometrics, statistics, and finance.

• Prospective Students
  

  I am recruiting exceptional actuarial and statistics students at all levels (undergraduate, Master's and doctoral students). I do not require trainees to come from a certain academic discipline, but I do look for a quantitative background. So, they could be actuaries, computer scientists, mathematicians, physicists, as long as they are comfortable with equations, models, and computers. Most importantly, they need to be capable of independent thinking, very curious, and have similar research interests to mine.

  If you are interested, please send me a complete CV and a copy of your transcripts by email. I will be in touch with you if your academic background fits my research program.
• Current Doctoral Students
• Golara Zafari: Golara's research focuses on pricing kernels and financial econometrics.
• Louis Arsenault-Mahjoubi: Louis's research focuses on financial econometrics and Bayesian estimation of stochastic volatility models.
• Thomas Landry: Thomas's research focuses on pension economics, mortality, and finance (co-supervision with M. Boudreault).
• Current Master's Students
• Alice Roberts: Alice's research focuses on nonparametric option pricing methods (co-supervision with P. Tupper).
• Nikhil Kapoor: Nikhil's research focuses on variable payment life annuities (co-supervision with B. Sanders).
• Vatsal Desai: Vatsal's research focuses on collective defined contribution schemes and smoothing mechanisms (co-supervision with B. Sanders).
• Yingfei Sun: Yingfei's research focuses on variable payment life annuities and volatility targeting (co-supervision with B. Sanders).
• Sayyed Faraz Mohseni.
• Jingyu Zhu.
• Past Students
• Master's Students: Marie-Ève Malette, Lu Yi, Kanav Gupta, Fei (Michael) Mo, Cherie Ng, Louis Arsenault-Mahjoubi, Yige (Vivian) Jin, Xueyi (Wendy) Xu, Wenyuan Zhou.
• Undergraduate Students: Jin Tang, Vedant Choudhary, Qi (Richard) Li, Fei (Elsa) Chen, Xueyi (Wendy) Xu, Tianxing Yan, Armin Kavian, Yaqi Chen, Luman Zou, Hasti Delfi.