OFFER DEADLINE30/07/2019 17:00 - Europe/Athens
EU RESEARCH FRAMEWORK PROGRAMMEH2020 / Marie Skłodowska-Curie Actions
ORGANISATION/COMPANYUniversité Claude Bernard lyon1
DEPARTMENTInstitute of Actuarial Science and Finance
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 modelling 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:
Human longevity has been regularly improving over the last decades. However, it seems to stagnate for some national populations in the recent years. On the opposite, some selected sub-populations have experienced longevity improvement acceleration on several occasions. To adjust pension contributions and benefits and to respect inter-generational fairness, it is necessary to detect these changes fast enough without too many false alarms. This project considers the optimal quickest detection problem on a multi-source setting. This problem arises, for instance, from the surveillance of biometric risks. In such a context, we are interested in raising an alarm for an onset of mortality shifts of a given population due, for example, to public health changing conditions. The idea is to sequentially observe multiple cohorts (sources) and aim at detecting the first occurrence of a change in the underlying mortality. More formally, observations (death counts) that are collected from various sources (cohorts) are assumed to behave as Poisson processes. El Karoui, Loisel and Salhi (2017) have proved that the so-called cusum process is the optimal detection strategy in a generalized Lorden sense when one cares about longevity levels and a unique source of information. Therefore, the present project consists in an optimal quickest detection problem on a multi-source setting.
N. El Karoui, S. Loisel, Y. Salhi, Minimax Optimality in Robust Detection of a Disorder Time in Poisson Rate, Annals of Applied Probability (2017), Vol. 27(4), 2515-2538.
The fellowship could last for 12 to 36 months, depending on the type of Individual Fellowship.
The successful Marie Sklodowska Curie Post-doctoral fellow will be supervised by Stéphane Loisel and Yahia Salhi at LSAF, UCBL and will also work with Nicole El Karoui.
Stéphane Loisel is professor at ISFA, UCBL, and director of the research lab LSAF. His research interests include actuarial mathematics and quantitative risk management, longevity risk, quickest detection problems, and ruin theory. http://pages.isfa.fr/~stephane/
Yahia Salhi is associate professor at ISFA, UCBL. His research interests include mortality modeling, longevity risk, quickest detection problems, credibility theory and financial mathematics. http://salhi.yahia.free.fr/
Nicole El Karoui is emeritus professor at LPSM (Laboratory of Probability and stochastic modeling), Sorbonne Universités, Paris. Her research interests include theory of stochastic processes, financial mathematics, longevity risk and quickest detection problems. https://www.lpsm.paris/pageperso/karoui/
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 1916" 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.
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