We invite you to apply for a MSc or PhD grant, in the area of economics, statistics and data science, applied to insurance, starting mid-Spring 2023 (MSc) or Fall 2023 (PhD). We are seeking applications of students with a solid background in applied mathematics, theoretical economics, actuarial modeling, statistical learning and/or data science. Students interested in a PhD application (starting Fall 2023) are encouraged to apply for a Spring-Summer internship.

Topics Description :

Here is a list of possible topics: 

• Game theory for insurance

keywords: game theory; dynamic games; insurance markets; bargain

Lemaire, J. (1980). A game theoretic look at life insurance underwriting. https://doi.org/10.1017/S0515036100006565

Lemaire, J. (1991). Cooperative game theory and its insurance applications. https://doi.org/10.2143/AST.21.1.2005399

1. Quantifying uncertainty in risk models

keywords: machine learning; neural networks; uncertainty; autocalibration; MCdropout; bayesian models

Gal, Y. (2016) Uncertainty in Deep Learning http://mlg.eng.cam.ac.uk/yarin/thesis/thesis.pdf

Lahlou et al. (2022): Direct Epistemic Uncertainty Prediction https://arxiv.org/pdf/2102.08501.pdf 

• Dimension reduction and interpretability

keywords: UMAP; T-SNE; Shapley; VAE

McInnes, L. &, Healy, J (2018) UMAP: Uniform Manifold Approximation and Projection for Dimension Reduction, https://arxiv.org/abs/1802.03426

Hinton & Roweis (2002) Stochastic neighbor embedding

https://proceedings.neurips.cc/paper/2002/file/6150ccc6069bea6b5716254057a194ef-Paper.pdf

v.d. Maaten & Hinton (2008):  Visualizing Data using t-SNE https://jmlr.org/papers/volume9/vandermaaten08a/vandermaaten08a.pdf

 

• Networks and risk sharing mechanism

keywords: networks; dynamic networks; P2P; altruism

Charpentier, A., Kouakou, L., Löwe, M., Ratz, P., & Vermet, F. (2021). Collaborative insurance sustainability and network structure https://arxiv.org/abs/2107.02764

Abdikerimova & Feng (2022): Peer-to-peer multi-risk insurance and mutual aid https://www.sciencedirect.com/science/article/pii/S0377221721007761 

• Optimal transport for insurance

keywords: optimal transport; multivariate quantiles; risk measures; counterfactual; causal inference:

Carlier, G. (2010). Optimal Transportation and Economic Applications. http://dedekind.mit.edu/~dws/boulder/IMA-transport-Lecture-Notes.pdf

Additional Information :

Candidates will be located in the mathematics department at UQAM (Montréal). On some topics, industrial partnerships are associated with the project, and candidates will be working and interacting with either colleagues in Canada and France, or PhD students at UQAM.

The scholarship grants will be at a competitive level, with additional funding for travels (for PhD students) and local workshops and seminars (MSc and PhD)

Applications must be submitted electronically through email before February 1, 2023 to

charpentier.arthur@uqam.ca and consist of the following:

• A (short) cover letter ;
• A detailed curriculum vitae ;
• Two contacts for recommendations

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