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Doray, Louis

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Professeur titulaire

Faculté des arts et des sciences - Département de mathématiques et de statistique

André-Aisenstadt Local 5253

514 343-2486

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Expertise

Expert in data science, Professor Doray has developed and used advanced analytics methods to solve problems for the insurance and financial industries. An Associate member of the Society of Actuaries (ASA), he has acted as a consultant for banks, actuarial organizations and insurance companies on many predictive analytics projects, for example:

--­ projection of mortality rates

-- survival to advanced ages

-- prediction of IBNR reserves

-- modeling of duration of disability with covariates

-- calculation of VAR for various statistical distributions

-- inference for daily logarithmic returns of a stock.

Prof. Doray's research has been funded by many funding agencies: NSERC, FQRNT, SOA, Mitacs; he has been invited to present his work in numerous International Conferences and foreign universities.

Articles choisis - Selected Publications

Encadrement Tout déplier Tout replier

Distribution de la valeur escomptée de la réserve IBNR avec un modèle lognormal et un taux d'intérêt aléatoire Thèses et mémoires dirigés / 2017-09
Li, Huimei
Abstract
It is assumed that IBNR claims follow lognormal distribution and we also assume the force of interest follows a GNL law. The force of interest is incorporated into the incremental predictive claims to find the discounted value of the reserve.

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Quadratic distance methods applied to generalized normal Laplace distribution Thèses et mémoires dirigés / 2007
Groparu-Cojocaru, Ionica
Abstract
Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

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Parameters estimation of the discrete stable distribution Thèses et mémoires dirigés / 2006
Jiang, Shu Mei
Abstract
Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

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Comparaison de divers estimateurs pour la loi de poisson bivariée Thèses et mémoires dirigés / 2005
Alhadji Kolo, Baba Madji
Abstract
Mémoire numérisé par la Direction des bibliothèques de l'Université de Montréal.

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Projets de recherche Tout déplier Tout replier

Calcul de rentes et primes d’assurance-vie individuelles avec la Covid-19 SPIIE/Secrétariat des programmes interorganismes à l’intention des établissements / 2021 - 2021

Publications choisies Tout déplier Tout replier

Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates

Augustyniak, Maciej et Doray, Louis G., Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates 82, 1621--1634 (2012), , J. Stat. Comput. Simul.

Some simple method of estimation for the parameters of the discrete stable distribution with the probability generating function

Doray, Louis G., Jiang, Shu Mei et Luong, Andrew, Some simple method of estimation for the parameters of the discrete stable distribution with the probability generating function 38, 2004--2017 (2009), , Comm. Statist. Simulation Comput.

Inference for the positive stable laws based on a special quadratic distance

Luong, Andrew et Doray, Louis G., Inference for the positive stable laws based on a special quadratic distance 6, 147--156 (2009), , Stat. Methodol.

Estimators of the regression parameters of the zeta distribution

Doray, Louis G. et Arsenault, Michel, Estimators of the regression parameters of the zeta distribution 30, 439--450 (2002), , Insurance Math. Econom.

General quadratic distance methods for discrete distributions definable recursively

Luong, Andrew et Doray, Louis G., General quadratic distance methods for discrete distributions definable recursively 30, 255--267 (2002), , Insurance Math. Econom.

Efficient estimators for the Good family

Doray, Louis G. et Luong, Andrew, Efficient estimators for the Good family 26, 1075--1088 (1997), , Comm. Statist. Simulation Comput.

Goodness of fit test statistics for the zeta family

Luong, Andrew et Doray, Louis G., Goodness of fit test statistics for the zeta family 19, 45--53 (1996), , Insurance Math. Econom.

UMVUE of the IBNR reserve in a lognormal linear regression model

Doray, Louis G., UMVUE of the IBNR reserve in a lognormal linear regression model 18, 43--57 (1996), , Insurance Math. Econom.

Quadratic distance estimators for the zeta family

Doray, Louis G. et Luong, Andrew, Quadratic distance estimators for the zeta family 16, 255--260 (1995), , Insurance Math. Econom.

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