01/04/2019
Marie Skłodowska-Curie Actions

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

This hosting has expired


  • OFFER DEADLINE
    30/07/2019 13:00 - 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:

Construction of an ORSA model for the prospective analysis of solvency by integrating non-proportional reinsurance for life and non-life risks

Guibert [2012] proposed an approach to construct prospective analyses of the various "Solvency II" prudential indicators (own funds, solvency ratio, reserves, etc.) as part of a non-life insurance business. This model was later extended to the case of life insurance by Bonnin et al. [2014] and Bonnin et al. [2015].

The research theme will be to consider the effect of non-proportional reinsurance, which is an important lever in the insurer's risk management policy. The chapter 9 of Dupourqué et al. [2019] can serve as a basis for work.

Bonnin F., Juillard M., Planchet F. [2014] « Best Estimate Calculations of Savings Contracts by Closed Formulas - Application to the ORSA », European Actuarial Journal, Vol. 4, Issue 1, Page 181-196. http://dx.doi.org/10.1007/s13385-014-0086-z.

Bonnin F., Combes F., Planchet F., Tammar M. [2015] « Un modèle de projection pour des contrats de retraite dans le cadre de l’ORSA », Bulletin Français d’Actuariat, vol. 14, n°28.

Dupourqué E.., Planchet F., Sator N. (editors) [2019] Actuarial Aspects of Long-Term Care, Springer Actuarial Series, Springer.

Guibert Q., Juillard M., Planchet F. [2012] « Measuring Uncertainty of Solvency Coverage Ratio in ORSA for Non-Life Insurance », European Actuarial Journal, 2:205-226, doi: 10.1007/s13385-012-0051-7.

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-1942@isfa.fr

Make sure that you include the reference "Post-doc 1942" 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.