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 models, regime-switching models, GARCH models, state space models, filtering techniques, particle filters, Kalman filter, EM algorithm
   
   
2. Quantitative finance: My objective is to study and develop techniques to more effectively manage long-term financial risks.
   Keywords: quadratic hedging, variance-optimal hedging, mean-variance hedging, local 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 management, dynamic hedging, variable annuities, equity-linked life insurance, segregated funds, model risk, lapse risk, stochastic volatility, stochastic 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 AutoritÿFD des marchÿFDs 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.

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

• Doray, L.G , Luong, A. and Najem, E. (2016). Efficiency of Some Estimators for a Generalized Poisson Autoregressive Process of Order 1, Open Journal of Statistics, 6, 637-650. doi: 10.4236/ojs.2016.64054.
• Groparu-Cojocaru, I. and Doray, L.G. (2013). Inference for the Generalized Normal Laplace Distribution, Communications in Statistics: Simulation and Computation, 42, 1989-1997.
• Augustyniak, M. and Doray, L.G. (2012). Inference for a Leptokurtic Symmetric Family of Distributions Represented by the Difference of two Gamma Variates, Journal of Statistical Computation and Simulation, 82, 1621-1634.
• Doray, L.G. and Tang, K.O. (2011). Projection of mortality rates at advanced ages in Canada with a new Lee-Carter type model, International Symposium on Living to 100, SOA Monograph M-LI11-1, 40p.
• Doray, L.G., Jiang, S.M. and Luong, A. (2009). Some simple method of estimation for the parameters of the discrete stable distribution with the probability generating function, Communications in Statistics: Simulation and Computation, 38, 2004-2017.
• Luong A. and Doray, L.G. (2009). Inference for the Positive Stable Laws Based on a Special Quadratic Distance, Statistical Methodology, 6, 147-156.
• Luong, A. and Doray, L.G. (2002). General Quadratic Distance Methods for Discrete Distributions Definable Recursively, Insurance: Mathematics and Economics, 30, 255-267.
• Doray, L.G. (1996). UMVUE of the IBNR Reserve in a Lognormal Linear Regression Model, Insurance: Mathematics and Economics, 18, 43-57.