12/04/2019
Marie Skłodowska-Curie Actions

Université Claude Bernard Lyon 1- Hosting offer for an MSCA-IF post-doc candidate in Data Science Applied to Actuarial Science

This hosting has expired


  • OFFER DEADLINE
    10/08/2019 16:30 - 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:

 

J. Josse et al. (2019) recently studied the impact of missing values on empirical risk minimization in the context of supervised learning algorithms. For tree-based techniques, a good solution to impute missing values could be to use Missing Incorporated in Attribute (MIA). However, there is still no results on uncertainty of predictions in such contexts, despite being able to deal with the problem in expectation. The present project thus consists in investigating the problem of getting estimators of the variance of such estimators handling missing data. Such estimators would reveal very useful for actuarial applications, especially to insurance reserving.

Short bibliography :

B. E. T. H. Twala, M. C. Jones, and D. J. Hand. Good methods for coping with missing data in decision trees. Pattern Recogn. Lett., 29(7):950–956, May 2008. ISSN 0167-8655.

Adam Kapelner and Justin Bleich. Prediction with missing data via bayesian additive regression trees. Canadian Journal of Statistics, 43(2):224–239, 2015

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We are looking for a candidate with a strong background in data science and/or statistics. Her/his PhD defense must take place before Sept. 10th, 2019.

 

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 Xavier Milhaud.

Xavier Milhaud is associate professor at ISFA, UCBL. His main research interests include finite mixture models, regression models, and Machine Learning algorithms applied to insurance risks. The typical applications of his works concern customer behaviour in insurance, as well as pricing and reserving models in actuarial sciences.

See more at http://xaviermilhaud.fr/en/index-en.html

 

Application process to LSAF:

Interested candidates are invited to contact us exclusively by email at postdoc-1910@isfa.fr

Make sure that you include the reference "Post-doc 1910" 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.