Research contracts

Research projects under contracts and cooperation projects

This section concerns ongoing research projects and cooperation projects that are financed by outside agencies in the form of grants and contracts.
 
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Semiparametric inference for multi-state models (2016-2020)
▪ FINANCING: Projet de recherche (PDR), FNRS
▪ GRANT HOLDER: Kassu Mehari Beyene 
▪ PROMOTOR: A. El Ghouch
  
 
Semiparametric inference for multi-state models (2016-2020)
▪ FINANCING: Projet de recherche (PDR), FNRS
▪ GRANT HOLDER: TBC
▪ PROMOTOR: I. Van Keilegom
This project is motivated by real data situations in survival analysis where the objective is, for example, to model the course of a disease in order to identify prognostic factors of its evolution and to understand the interactions among these factors in the presence of multiple (competing) risks that affect the survival rate of individuals under study. Appropriate methods are required in this context and, specifically, in this project we will focus on competing risks, multi-state models and semi-competing risks. These methodologies are useful to describe complex structures, taking into account the event history, that cannot be handled with classical univariate survival analysis. Our contribution will be focused on the development of new and general methods in survival analysis that may also be applied to other areas like quality control in production lines and regime switching in the financial context.
 
 
Risk management and pricing in finance and insurance (2016-2020)
▪ FINANCING: Projet de recherche (PDR), FNRS
▪ GRANT HOLDER: TBC
▪ UCL PROMOTOR: P. Devolder; main promotor : Griselda Deelstra, ULB
In this project we will develop new risk management and pricing tools for several risks in finance and insurance.
A) A first goal of this research is to develop a multiple curve interest rate model that combines tractable model dynamics and semi-analytic pricing formulae with positive interest rates based on positive multiplicative spreads and by including regime switching. In this model we will first price interest rate derivatives. Afterwards we will study the influence of future cash flow evaluation by multiple curve models for the valuation and solvency requirements of life insurance and pension liabilities.
B) A second aim is to obtain a multivariate stochastic skew model by introducing first a tractable new time-changed Lévy model and afterwards its multivariate extension. We will focus on Index1Equity options markets as well as on foreign exchange markets. We will derive fast and accurate pricing formulae for Vanilla options through the use of FFT techniques. All the qualities of both the univariate and multivariate model will be illustrated by several numerical examples first mainly in derivatives pricing but later also in solvency risk measurement for a bank or insurance portfolio.
C) A third goal concerns the valuation and solvency requirements of life insurance and pension liabilities. Since the Solvency II regulation is based on a one year time horizon for the computation of the solvency capital we will first focus upon the long term aspect of the life insurance and pension liabilities. Therefore we will develop alternative risk measurements to Solvency II based on a time consistent framework inspired by dynamic risk measures and iteration techniques. In terms of valuation taking into account the joined presence of actuarial and financial risks we will develop a universal pricing method coherent with the risk neutral pricing in finance but also in line with the law of large numbers and the classical premium principles used in insurance.
Dans ce projet nous allons développer de nouveaux outils de gestion et d'évaluation de risques rencontrés en finance et assurance.
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Le financement des pensions (n/a-n/a)
▪ FINANCING: Generali Chair
▪ GRANT HOLDER: P. Devolder
The purpose of the research is to develop actuarial and financial models in order to estimate the impact of various scenarios of reform of the pension systems in Belgium.
In particular, stochastic models will be considered in order to establish actuarial balance sheets of the social security pension system.  The longevity risk in particular will be deeply analyzed and modeled.
 
Pension valuation and solvency (2016-2020)
▪ FINANCING: AG Insurance Chair
▪ GRANT HOLDER: P. Devolder
Development of a coherent and universal model of valuation and solvency requirement of pension liabilities for pension funds and insurance companies in a stochastic environment.
 
Health insurance and longevity (2015-2019)
▪ FINANCING: DKV Belgium Chair
▪ GRANT HOLDER: P. Devolder
Development of actuarial and financial techniques for the pricing, hedging and reserving of health, disability and long term care insurances ; analysis of the influence of the longevity risk on these products.
 
Actuarial dynamic approach of customer in P&C (2016-2020)
▪ FINANCING: AXA Research Fund, Joint Research Initiative
▪ GRANT HOLDER: M. Denuit
While actuaries carry their models’ calculations for insurance products considering each product in isolation, the consumers tend to view all the products bought in a global way.
This research project conducted with AXA Belgium aims at reconciling the two points of view, allowing insurers to offer the most appropriate damage insurance covers together with optimal premiums.

 

Applied research contracts

 

BRAIN-be (2017-2021)
▪ FINANCING: BELSPO
▪ GRANT HOLDER: S. Mathieu
▪ UCL promotor: R. von Sachs
This is an interdisciplinary project (VAL-U-SUN) between the Solar Influence Data Analysis Center of the Royal Observatory Belgium (Uccle, Brussels), Drs Laure Lefevre et Veronique Delouille, and l’ISBA, on the analysis of the international Sunspot Index. In a four years’ PhD project, the task is to statistically characterise the sunpot data set, by developing a model for its short and long term behaviour over time, including its statistical uncertainties. The overall goal is to come up with an automated quality control algorithm that allows (almost) online supervision of the evolution of the data reported by a collection of sunspot observation station around the world that contribute to establishing a statistically “clean” index. Assistance to this project is given by the SMCS (Christian Ritter).

 

SAS Partnership (2014-2018)
▪ FINANCING: SAS
▪ GRANT HOLDER: C. Legrand
The SAS software is one of the most used statistical software in the world.
Since several years, there exist a partenariat between SAS and Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA) through which courses of programming in SAS and data mining techniques are organized. These courses are open to all master students as well as to PhD students and to all researchers of the UCL. Within the context of this partenariat, SAS also support (financially and logistically) the organisation of short courses within ISBA.