Associate Professor Marius Hofert was awarded a Natural Sciences and Engineering Council of Canada (NSERC) Discovery Accelerator Supplement for his suggested new work on copula modeling with generative neural networks.
While a high school student in Toronto, Maysum Panju knew that the University of Waterloo was the destination for math. While working on his undergraduate degree and Master’s in computational math, he started learning about machine learning. That led to his interests in developing algorithms and theoretical proofs and he decided to start his PhD in statistics.
University of Waterloo Faculty to Mathematics researchers have developed a new method that enables large insurers to reduce the time spent estimating the financial liabilities of their portfolios from days to hours while achieving high accuracy.
A study details the new method which significantly reduces computational time, but still estimates the financial liability of variable annuity portfolios accurately for business purposes.
The University of Waterloo appointed Professor Richard Cook a “University Professor” in recognition of his outstanding research contributions in the field of Biostatistics. Waterloo’s designation of University Professor acknowledges exceptional scholarly achievement and international pre-eminence.
Statistics and Actuarial Science PhD candidate Yilin Chen is one of two students to claim the 2020 Huawei Prize for Best Research paper by a Mathematics Graduate Student. The $4,000 prize affirms the value of Chen’s efforts to establish a framework for analyzing nonprobability survey samples in her winning paper: Doubly Robust Interference with Nonprobability Survey Samples.
They won’t graduate until next spring, but their startup has already taken flight.
The five founders of Gooloo recently earned a spot in the University of Waterloo’s Concept $5K Finals, where they explained their business model to a panel of judges alongside nine other student teams.
Four graduate students were awarded a departmental research presentation award by the Department of Statistics and Actuarial Science, but that's not all they have in common. They all came to Waterloo because they knew of the excellence of the Statistics programs, research, and professors. Their backgrounds vary, as do their research areas, but they have all had a great experience.
The University of Waterloo, which is among the top universities in the world for actuarial science and number one in co-operative learning, has combined these two things to help build a stronger insurance and pension industry in Indonesia.
Statistics and Actuarial Science PhD candidate Rui Qiao was one of the six students who won the 2019 Huawei Prize for Best Research Paper by a Mathematics Graduate Student. This award recognizes the impact of his Deep learning enables de novo peptide sequencing from data-independent-acquisition mass spectrometry with a prize of $4,000.
Risk measurement, valuation and hedging form an integral task in portfolio risk management for insurance companies and other financial institutions. Portfolio risk arises because the values of constituent assets and liabilities change over time in response to changes in the underlying risk factors. The quantification of this risk requires modeling the dynamic portfolio value process. This boils down to compute conditional expectations of future cash flows over long time horizons, e.g., up to 40 years and beyond, which is computationally challenging.
This lecture presents a framework for dynamic portfolio risk management in discrete time building on machine learning theory. We learn the replicating martingale of the portfolio from a finite sample of its terminal cumulative cash flow. The learned replicating martingale is in closed form thanks to a suitable choice of the reproducing kernel Hilbert space. We develop an asymptotic theory and prove
convergence and a central limit theorem. We also derive finite sample error bounds and concentration inequalities. As application we compute the value at risk and expected shortfall of the one-year loss of some stylized portfolios.