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/ Department of Mathematics and Statistics

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Subjects by keyword

Our faculty members and researchers have vast expertise in many advanced aeras, as can be seen in the list below.

For the complete list of our experts, see the Departmental directory.

Axes

Augustyniak, Maciej

Augustyniak, Maciej

Professeur agregé

I am a researcher in actuarial science and quantitative risk management. My research aims to develop new models and methods for quantifying and managing long-term risks in actuarial and financial applications. This research program requires a multidisciplinary expertise and I therefore have research interests in different areas.

  1. Econometrics and computational statistics: I propose methodological and modeling contributions in the class of hidden Markov models applied to financial time series.
    Keywords: hidden Markov modelsregime-switching modelsGARCH modelsstate space modelsfiltering techniquesparticle filtersKalman filterEM algorithm

  2. Quantitative finance: My objective is to study and develop techniques to more effectively manage long-term financial risks.
    Keywords: quadratic hedgingvariance-optimal hedgingmean-variance hedginglocal risk-minimization, dynamic programming

  3. Actuarial science: I aim to analyze and improve the effectiveness of hedging strategies used in the context of financial products sold with investment guarantees, known as segregated funds, variable annuities or equity-linked investments.
    Keywords: risk managementdynamic hedgingvariable annuitiesequity-linked life insurancesegregated fundsmodel risklapse riskstochastic volatilitystochastic interest rates

Moreover, I also want to establish research collaborations with the industry and professional actuarial associations. For example, I participated in collaborative research projects in partnership with Autorité des marchés financiers, National Bank of Canada, PwC Canada and the Society of Actuaries.

Dear students, you are welcome to contact me to undertake graduate studies under my supervision. I can supervise you for a master or doctoral research thesis. Alternatively, you can participate in one of my collaborative research projects with the industry.

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Doray, Louis

Doray, Louis

Professeur titulaire

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.

Selected Publications

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