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.
Developing crucial statistical methods for understanding major complex dynamic systems in natural, biomedical and social sciences - IAP Phase VII (2012-2017)
▪ FINANCING: Interuniversity Attraction Pole Programme, Belgian Science Policy, Brussels, Belgium
▪ PROMOTOR: IAP Promotor: I. Gijbels (KUL); UCL Coordinator: I. Van Keilegom
▪ EUROPEAN PARTNERS: Charles University Prague , Rijskuniversiteit Groningen, Universidad de Santiago de Compostela, London School of Hygiene and Tropical Medicine Stochastic systems are influenced by internal characteristics of the system, but may as well depend on (interactions with) external factors, and may evolve over time and/or space.
The main goal of this IAP-network is to develop statistical methods that are crucial for complete understanding of certain classes of complex dynamic systems, and to use these to answer challenging questions in focused applications.
Stochastic Modelling of Dependence: Systems under Stress (2012-2017)
▪ FINANCING: Action de Recherche Concertée (ARC), Communauté Française de Belgique
▪ PROMOTORS: L. Bauwens, M. Denuit, C. Hafner, J. Johannes, J. Segers (main promotor), S. Van Bellegem, R. von Sachs
Stochastic Modelling of Dependence: Systems under Stress (ARC 12/17-045)
Each time you write a paper related to the PARC (Art. 2.9)
please include the following sentence in the Acknowledgements (or on the bottom of the title page) :
"Financial support from the contract "Projet d'Actions de Recherche Concertées" No 12/17-045 of
the "Communauté française de Belgique", granted by the "Académie universitaire Louvain", is gratefully acknowledged

Administration : Modalités de gestion et lignes directrices
The project concerns fundamental research on statistical and econometric models for dependence. The aim of the project is to construct new ways of measuring and modelling risks in systems with intricate dependence structures. Particular attention is to be paid to such systems upon the arrival of shocks, after structural breaks, or when comovements between risk factors are higher than usual.
Semiparametric inference for multi-state models (2016-2020)
▪ FINANCING: Projet de recherche (PDR), FNRS
▪ GRANT HOLDER: Kassu Mehari Beyene 
▪ PROMOTOR: A. El Ghouch
Algorythmic governementality (2013-2017)
▪ FINANCING: Projet de recherche (PDR), FNRS
▪ PROMOTORS: Thomas Berns (ULB), Dominique Deprins (UCL (IMMAQ/ISBA) & Université Saint-Louis - Bruxelles), Antoinette Rouvroy (FUNDP)
The numerical capture of “reality”, and the statistical processes of the numerisation of the data play a role increasingly more essential in the whole of the normative practices, due to the fact of the public actors or the private actors. This new “cybernetic” modality of "control” is the fruit of a convergence of different factors: the evolution of the statistical algorithms, the explosion of the amount of available numerical data on the Internet, the development of a cognitive capitalism of « the attention », the politics focusing on the leitmotivs such as security, effectiveness, immediacy, interaction, interconnection, fluidity and comfort. This project will analyze the evolution of the normative actions to the light of the evolution of the statistical practices. The approach, nourished in an interdisciplinary way (philosophy, statistics, right, social sciences) is primarily analytical: far from a denounciative posture and concerned about the materiality of the statistical, technical and normative processes , we are rather interested to the question of understanding of what changes currently on the ground of the statistical practices that impose their omnipresence, of what they are constitutive of the contemporary gouvernementality, of what they involve changes in the nature itself of normativity and in the manner by which the human beings are normalized; we intend to do this in particular by observing at the same time the distance that these new practices induce with the legal normativity and the possible consecutive displacements of the subjectivation. By the analysis of the passage of the statistical government based on the classical probabilistic statistics, towards the decisional statistics implied in the automatic algorithmic systems (autonomic data-processing, intelligent environments) characterizing what we call the algorithmic gouvernementality, the purpose of our investigation is to shed light on the shifts induced by these new uses of the statistics on their manner of making the world meaningful, the way of anticipating the future, and the way in which, by the numerisation, the individuals are perceived and see themselve like subjects.
Max-stable models for dependent extremes of random vectors in high dimensions (2013-2017)
▪ FINANCING: Fonds pour la formation à la recherche dans l’industrie et dans l’agriculture (FRIA), FNRS
▪ GRANT HOLDER: A. Kiriljouk
▪ PROMOTORS: M. Denuit and J. Segers
Semiparametric inference for multi-state models (2016-2020)
▪ FINANCING: Projet de recherche (PDR), FNRS
▪ 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
▪ 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.
Identification de nouveaux biomarqueurs non invasifs de l’endométrie par l’analyse des microARNs et de l’utilisation de la métabolomique – METABIOSE (2014-2017)
▪ FINANCING: SPW, Programme de recherche d’intérêt général ‘WB Health’, Convention n° 1318051
▪ PROMOTOR: B. Govaerts (for UCL)
The goal of this medical project is to find new biomarkers for endometriosis disease on the basis of microARNs and metabolomics technologies. The final goal is to develop a non-invasive medical detection kit of the biomarkers discovered in this research. In the project, the role of ISBA consists in developing and implementing adapted signal processing and statistical techniques to identify biomarkers from the various o-mic data generated in the project (microARNs and 1D and 2D H-NMR metabolic spectra).
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
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

SAS Partnership (2014-2018)
▪ 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.