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More than 150 students participated last week in the second annual Scotiabank Data Science Discovery Days.

The event, which took place both online and on campus from January 26 to February 2, invited Waterloo students to analyze large volumes of data in projects that would emulate the real work data scientists di every day. This year, the event focused on “Using AI to derive business insights from customer feedback.”

Read the full article on the Faculty of Math site.

The fourth annual Student Conference in Statistics, Actuarial Science, and Finance took place on October 27 & 28, 2023. This two-day event was entirely organized by and for students.

The conference featured keynote presentations by prominent researchers, including Agostino Capponi (Columbia University) and Grace Yi (Western University). Additionally, 30+ student researchers from various universities presented their research findings.

Highlighting excellence, the conference acknowledged outstanding talks at the conference by issuing 6 Presentation Awards to the following participants:

The winners in alphabetic order are:

  • Luke Hagar, University of Waterloo  
  • Dingding Hu, University of Waterloo  
  • Yifan Li, University of Western Ontario  
  • Dante Mata Lopez, UQAM  
  • Zachary Van Oosten, University of Waterloo  
  • Augustine Wigle, University of Waterloo 

 Honourable mentions go out to: 

  • Yuling (Max) Chen, University of Waterloo 
  • Hwanwoo Kim, University of Chicago

The Institute for Operations Research and the Management Sciences (INFORMS) has awarded department members Alexander Schied and Ruodu Wang, along with co-author Paul Embrechts (ETH Zurich) the Best Paper Award on Financial Engineering in the journal "Operations Research".

The paper aims to understand the consequences of risk optimization in finance when the model being used is uncertain or wrong. The conclusion is that some classic methods of risk assessment, called risk measures in the scientific field, are problematic, and some new methods in financial regulation are much better.

For this purpose, the authors study issues of robustness in the context of Quantitative Risk Management and Optimization. They develop a general methodology for determining whether a given risk-measurement-related optimization problem is robust, called “robustness against optimization.” The new notion is studied for various classes of risk measures and expected utility and loss functions. Motivated by practical issues from financial regulation, special attention is given to the two most widely used risk measures in the industry, Value-at-Risk (VaR) and Expected Shortfall (ES). The authors establish that for a class of general optimization problems, VaR leads to nonrobust optimizers, whereas convex risk measures generally lead to robust ones. The results offer extra insight on the ongoing discussion about the comparative advantages of VaR and ES in banking and insurance regulation. The new notion of robustness is conceptually different from the field of robust optimization, to which some interesting links are derived.

Congratulations, Mary Hardy, on receiving the Society of Actuaries (SOA) 2023

Mary's profound impact on the actuarial profession is immeasurable. Her extensive involvement within the SOA has left an indelible mark. With a remarkable history of service in various capacities, Mary's contributions have been nothing short of revolutionary.

Learn more on the Society of Actuaries website.

Congratulations to Mario Ghossoub and Gautam Kamath, this year’s recipients of the Golden Jubilee Research Excellence Award.

Mario Ghossoub is an associate professor of Statistics and Actuarial Science, as well as a Fellow of the Society of Actuaries, a Fellow of the Canadian Institute of Actuaries and a Chartered Enterprise Risk Analyst. His research concerns the optimal design of risk-sharing arrangements, including both insurance markets (between policyholders and insurance companies) and decentralized risk-sharing markets (directly between economic agents without a centralized insurance provider).

Read the full story on the Faculty of Math's website.

Jeffrey Negrea received his B.Math. from the University of Waterloo in 2014, with a major in Mathematical Finance and two minors in Pure Mathematics and Actuarial Science. He completed an M.Sc. in 2017 and a Ph.D. in 2022, both in Statistical Sciences at the University of Toronto. He joined the Department of Statistics and Actuarial Science at the University of Waterloo on July 1, 2023 as an Assistant Professor after a one-year stay at the University of Chicago’s Data Science Institute as a Postdoctoral Research Scholar.

The Department of Statistics and Actuarial Science congratulates professor Nathaniel Stevens on being named the winner of the European Network for Business and Industrial Statistics (ENBIS) 2023 Young Statistician Award. This achievement is awarded for the "recognize the work of young people in introducing innovative methods, promoting the use of statistics and/or successfully using it in the daily practice."

Waterloo alum Dr. Joy (Shu) Jiang (PhD Statistics ‘18) continues to make headlines for her ground-breaking breast cancer research.

As an associate professor of Surgery at the Washington University School of Medicine in St. Louis, Jiang develops “statistical methods for precision oncology with a direct focus on breast cancer.” Her broader research is particularly concerned with addressing racial disparities in the medical field and improving statistical models to better reflect differing experiences of women of various races.

“Women’s health, in the past, has not been a big focus compared to other areas of research,” Jiang says. “We know that breast cancer is the leading cancer in women, but the risk prediction stratification strategies are still not up to standards compared to other disease areas.”

Full story on the Faculty of Math site.

Dr. Carlos Andrés Araiza Iturria recently completed a PhD in actuarial science. His doctoral research and dissertation, “Discrimination in insurance pricing,” was co-supervised by Dr. Mary Hardy and Dr. Paul Marriott.

The main objective of his research is to understand when and how either direct or indirect discrimination can arise in insurance pricing and suggest feasible guidelines that can mitigate its detrimental impact on society.

“I think that people who finish their PhD with a smile on their face are those that do two things,” he continues. “They research what they are passionate about, and they don’t let their degree consume their whole life. At the end of the day, we need to love and be loved, have fun and stay healthy.”

Read the full profile of Dr. Araiza Iturria, and PhD graduates from the other five Faculties, on the UW News site.