OFFER DEADLINE30/07/2019 13:00 - Europe/Athens
EU RESEARCH FRAMEWORK PROGRAMMEH2020 / Marie Skłodowska-Curie Actions
ORGANISATION/COMPANYUniversité Claude Bernard Lyon 1
DEPARTMENTActuarial Science and Finance Institute
LABORATORYLaboratory 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:
Calculation of the economic value of a savings contract in €: definition of a calibration of the model consistent with market values and incorporating a history of price structures.
The calculation of technical provisions for savings contracts in € is a delicate exercise, the context of which is presented for example in chapter 4 of Laurent et al. .
Calibration of the economic scenario generator is an important and delicate subject: the choice of financial instruments used has a significant impact on the outcome. The question is also asked of the period over which the generator must be calibrated.
The use of the latest observed prices is not optimal and leads to biases that may be important (cf. El Karoui et al. ).
The research work will consist, to overcome these difficulties, to take again the approach proposed in Laidi et al.  and to generalize it to apply it to all the assets modeled in the generator of economic scenarios.
N. El Karoui, S. Loisel, J.L. Prigent, J. Vedani , Market inconsistencies of the market-consistent European life insurance economic valuations: pitfalls and practical solutions, European Actuarial Journal, Vol. 7(1).
Laïdi Y., Planchet F.  « Calibrating LMN Model to Compute Best Estimates in Life Insurance », Bulletin Français d’Actuariat, vol. 15, n°29.
Laurent J.P., Norberg R., Planchet F. (editors)  Modelling in life insurance – a management perspective, EAA Series, Springer.
The fellowship could last for 12 to 36 months, depending on the type of Individual Fellowship.
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.
Application process to LSAF:
Interested candidates are invited to contact us exclusively by email at firstname.lastname@example.org
Make sure that you include the reference "Post-doc 1943" 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.
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.