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

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:

Sakthivel et al. (2019) have recently studied the modelling of count data with excess number of zero counts. They have shown that some nonparametric approaches such as Artificial Neural Netwoks could provide higer performance than classical parametric models like zero-truncated or zero-inflated models. The present project consists in investigating the problem of getting accurate predictions of claim frequency in insurance when applying nonparametric algorithms (CART and Random Forest) to data containing excess of zeros. In particular, quantifying the bias/variance caused by such type of data on this kind of estimators, and defining procedures to correct it.

Short bibliography :

Sakthivel,K.M. & C.S.Rajitha. 'Model Selection for Count Data with Excess Number of Zero Counts.' American Journal of Applied Mathematics and Statistics 7, no. 1 (2019): 43-51.

Yip, K.C.H., & Yau, K.K.W, “On modeling claim frequency data in general insurance with extra zeros,” Insurance: Mathematics and Economics, 36, 153-163, 2005.

Heilbron, D, “Zero-altered and other regression models for count data with added zeros,” Biometrical Journal, 36(5), 531-547, 1994.

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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-1909@isfa.fr

Make sure that you include the reference "Post-doc 1909" 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.