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

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:

Probabilistic models have been successfully used to comprehend the risk of fraud within blockchain transactions, see Goffard (2019). We aim at developing new mathematical model to study various problem related to blockchain technology, for instance assessing the risk of an attack depending on the consensus protocol and studying the profitability of being miner. We aim at deriving formulas suitable for numerical evaluations of quantities relevant to the optimization of storage and verification of data in the blockchain. We are looking for a candidate with a strong background in applied probability and numerical method. The applicant should have demonstrated the ability to publish his/her work in peer reviewed journals and have strong coding skill in either R/Matlab/Python. Her/his PhD defense must take place before Sept. 10th, 2019.

Goffard, P. O. (2019). Fraud risk assessment within blockchain transactions. To appear in Advances in Applied Probability.

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 Pierre-Olivier Goffard.

Pierre-Olivier Goffard is associate professor at ISFA, UCBL. His research interests include numerical methods, risk theory and statistics. http://pierre-olivier.goffard.me/

Application process to LSAF:

Interested candidates are invited to contact us exclusively by email at postdoc-1923@isfa.fr

Make sure that you include the reference "Post-doc 1923" 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.