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

A branching process approach in financial modelling

Jiao et al. (2017, 2019+) have proposed a modelling approach by using the continuous-state branching processes with immigration which allows to describe some stylised facts on the the financial market such as the low interest rate phenomenon for sovereign interest rate and jump clusters in energy prices. The present project consists in investigating the calibration and estimations issues in this framework. We are looking for a candidate with a strong background in probability, statistics and financial mathematics.

Ying Jiao, Chunhua Ma and Simone Scotti, Alpha-CIR Model with branching processes in sovereign interest rate modelling, Finance and Stochastics, 21(3), 789-813, 2017.

Ying Jiao, Chunhua Ma, Simone Scotti and Carlo Sgarra, A branching process approach to power markets, to appear in Energy Economics.

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 Ying Jiao.

Ying Jiao is professor at ISFA, UCBL. Her research domain is financial mathematics and applied probability to risk management and modeling.

Application process to LSAF:

Interested candidates are invited to contact us exclusively by email at postdoc-1936@isfa.fr

Make sure that you include the reference "Post-doc 1936" 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.