Université Claude Bernard Lyon 1- Hosting offer for an MSCA-IF post-doc candidate in Multivariate probability distributions in actuarial sciences

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:

Construction and estimation of new dependence structures, based on the knowledge of multidimensional marginal. In the article [1], we introduce a new class of multivariate probability distributions, built from given multidimensional projections. We provide a few examples of distributions within this class, but we are looking for other members of this class, that can be constructed using contemporary numerical techniques. Another aspect of the subject is to exploit the properties of the constructed class for non-parametric estimation of multivariate distributions defined via a univariate generator. An open question is the extension of this methodology to the construction of random fields. Illustrations on actuarial data sets can be developed. We refer to the references within [1] for other constructions of multivariate distributions given multidimensional marginals.

[1] N. Kazi-Tani, D. Rullière, On a construction of multivariate distributions given some multidimensional marginals, Advances in Applied Probability 51.2 (June 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 Nabil Kazi-Tani and Didier Rullière.

Nabil Kazi-Tani is associate professor, University Lyon 1, actuary, and member of the LSAF laboratory. His research interests include stochastic optimal control, ruin problems, dependence modelling and risk measures.

https://sites.google.com/site/nabilkazitani/

Didier Rullière is associate professor, University Lyon 1, actuary, and member of the LSAF laboratory. His research interests include dependence modelling, spatial statistics and risk measures.

https://www.researchgate.net/profile/Didier_Rulliere

Application process to LSAF:

Interested candidates are invited to contact us exclusively by email at postdoc-1905@isfa.fr

Make sure that you include the reference "Post-doc 1905" 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.