OFFER DEADLINE30/07/2019 17:30 - 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:
Cyber risk has become a major concern that is threatening the personal and public security, global economy as well as the human privacy. A particular interest is the insurance of such a risk. In fact, the insurance sector has a keen interest to enter into this market proving guarantees against the financial impacts of cyber attacks and incidents: loss of confidential data, disruption of business and reputational damage among others. It is therefore essential to model the incidence of such attacks and incidence in order to quantify the underlying risks. Thus, before adequately address the problem, an exploration of the statistical properties of theses events is required. An adequate model should take into account the contagion of attacks and the impact of early responses on the impacts of such treats, see e.g. Barsotti et al. (2016). To this end the so-called Hawkes (1971) process should provide an appropriate tool for handling such phenomena.
Baldwin, Adrian, et al. "Contagion in cyber security attacks." Journal of the Operational Research Society 68.7 (2017): 780-791.
Barsotti, Flavia, Xavier Milhaud, and Yahia Salhi. "Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors." Insurance: Mathematics and Economics 71 (2016): 317-331.
Eling, Martin, and Werner Schnell. "What do we know about cyber risk and cyber risk insurance?." The Journal of Risk Finance 17.5 (2016): 474-491.
Hawkes, A. (1971). Point spectra of some mutually exciting point processes. J. Roy. Statist. Soc. B 33, 438–443.
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 Denis Clot and Yahia Salhi
Denis Clot is associate professor at ISFA, UCBL. His research interests include information security, cryptology and applied mathematics. http://pages.isfa.fr/~denis/
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/
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 1935" 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.