Jean-François Bégin's Web Site

Jean-François Bégin

Assistant Professor
Department of Statistics and Actuarial Science
Simon Fraser University

Thank you for visiting my home page. I am an Assistant 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.


  • New R Package for Stochastic Volatility Jump-Diffusion Models (November 9, 2022)
    Louis Arsenault-Mahjoubi, Mathieu Boudreault, and I developed an R package based on the method presented in Bégin and Boudreault (2021). It is available on CRAN; see here.
  • Practical Application on North American Actuarial Journal Articles (September 19, 2021)
    Mathieu Boudreault, David Cantor, Kailan Shang, and I wrote an essay on "Do Jumps Matter in the Long Term? A Tale of Two Horizons." You can read our essay here.
  • Pension Plan De-Risking North America 2021 Report (April 15, 2021)
    My joint work with Barbara Sanders on pension plan mergers has been featured in Clear Path Analysis's Pension Plan De-Risking Report. You can read the interview here.
  • 2019 Bob Alting von Geusau Prize (May 11, 2020)
    I am deeply honoured and grateful to be the recipient of this year's Bob Alting von Geusau Prize. I would like to extend my most sincere thanks to the Prize Paper Selection Committee and the AFIR-ERM Section of the IAA for choosing my paper.
  • Netspar Thesis Award (February 6, 2019)
    Lu Yi, a Master's student working with Professor Sanders and me, won the 2019 Netspar Thesis Award. You can read the announcement on Netspar's website here.
  • Catch a Rising Star (September 17, 2018)
    I did an interview with SFU's Faculty of Science a few months ago. You can read it here.
  • International Congress of Actuaries (September 10, 2018)
    I wrote an article for this month's CIA (e)Bulletin on my experience at the last ICA in Berlin. You can read the article here.



Publications in refereed journals.

Articles submitted to refereed journals.

Working papers.


    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 high-frequency 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 and finance (co-supervision with M. Boudreault).
  • Current Master's Students
    • Alice Roberts: Alice's research focuses on high-frequency econometrics (co-supervision with P. Tupper).
    • Wenyuan Zhou: Wenyuan's research focuses on modelling defined benefit pension plans (co-supervision with B. Sanders).
    • Nikhil Kapoor: Nikhil's research focuses on variable payment life annuity (co-supervision with B. Sanders).
  • Current Undergraduate Students
    • Hasti Delfi: Hasti's research focuses on inflation modelling using machine learning methods.
  • Past Students