02/04/2019
Marie Skłodowska-Curie Actions

Université Claude Bernard Lyon 1- Hosting offer for an MSCA-IF post-doc candidate in Actuarial Science and Risk Management


  • OFFER DEADLINE
    31/07/2019 11:00 - Europe/Athens
  • EU RESEARCH FRAMEWORK PROGRAMME
    H2020 / Marie Skłodowska-Curie Actions
  • LOCATION
    France, Villeurbanne
  • ORGANISATION/COMPANY
    Université Claude Bernard Lyon 1
  • DEPARTMENT
    Actuarial Science and Finance Institute
  • LABORATORY
    Laboratory of Actuarial Science and Finance

The Laboratoire de Sciences Actuarielle et Financière (LSAF) is a leading actuarial research lab in Europe and undertakes inter-disciplinary research on risks in insurance and finance. The research topics of the laboratory are always evolving to include new risks (human longevity improvements, natural hazards...), recent accounting standards (IFRS), new prudential regulation systems (Basel 4, Solvency 2) as well as new risk management practices (Enterprise Risk Management) or new business models with Big Data and Analytics in insurance. Current team research projects concern in particular the impact of modeling and data analytics on the management of insurance and financial firms, environmental risks, longevity risk management and public health, long term investments and ESG, as well as behaviours and risks.

Strongly associated to ISFA graduate school of actuarial studies, LSAF gathers 30 permanent researchers, 4 post-docs and 18 PhD students. LSAF is part of University Claude Bernard Lyon 1 (UCBL), a multidisciplinary university in the primary fields of science and health. With over 2630 professors and assistant professors and 39,000 students, leading to more than 4500 internationally published articles and 40 patents per year. The University is involved in more than 80 European Union projects.

The LSAF offers to host a MSCA Individual Fellowship candidate ("Experienced Researcher" according to the Marie Sklodowska Curie categories, typically a post-doc), submitting an application to the next MSCA-IF call for proposals (deadline september 2019), interested to work on the following research topic:

As part of a model for calculating the economic value of life insurance commitments, the value of a stream of cash flows from the model differs from the value observed, due to imperfections in models and markets.

It is therefore necessary to reconcile the prices derived from the model with market prices.

This is commonly done by the "risk neutralization", modifying the cash flows served by the instrument so that the model provides the observed price.

The legitimacy of this approach is conditioned by the fact that the poorly modelled risk is correctly pooled in the portfolio (since it is only taken into account on average) and, above all, by the fact that most of the valuation deviation is the consequence of poorly or unmodeled risk. Moreover, if the flows are used in functions involving bounds or comparisons with thresholds (non-linear), this adjustment is more difficult to justify. For example, such modelling may present difficulties in replicating the price of options for which the underlying is a risky bond.

An alternative solution to limit the complexity of the model and to overcome the previous difficulties is not to modify the cash flows (which are given and do not depend on the probability used to value them), but to directly correct the valuation function:

The objective of the work will be to rigorously define such an approach, for all the financial instruments present in an insurer's asset.

The fellowship could last for 12 to 36 months, depending on the type of Individual Fellowship.

Supervision:

The successful Marie-Curie Post-doctoral fellow will be supervised by Frédéric Planchet.

Frédéric Planchet is professor at ISFA, UCBL, and Scientific Co-head of the research chair DAMI (http://chaire-dami.fr/en/). His research interests include actuarial mathematics, duration models and economic valuation of cash flows.

http://www.ressources-actuarielles.net/

Application process to LSAF:

Interested candidates are invited to contact us exclusively by email at postdoc-1944@isfa.fr

Make sure that you include the reference "Post-doc 1944" in the title of your email. Please attach a CV, a motivation letter, your MSc marks, as well as a 1-page research proposal.

NB: Candidates will receive the support of the LSAF supervisors, as well as a professional grant application company, to prepare and submit their application with the LSAF as a host laboratory, to the next MSCA-IF call for proposals.

Disclaimer:

The responsibility for the hosting offers published on this website, including the hosting description, lies entirely with the publishing institutions. The application is handled uniquely by the employer, who is also fully responsible for the recruitment and selection processes.