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Marius Hofert awarded NSERC Discovery Accelerator Supplement

Friday, July 10, 2020

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.

Marius HofertHofert’s research focuses on the intersection of copula modeling and computational statistics with applications in quantitative risk management. Looking at high-dimensional, hierarchical models, Hofert’s research includes theoretical aspects such as the construction or sampling, as well as practical applications such as the estimation, graphical goodness-of-fit and computability of such models. Copula models often lead to computational challenges when involved in data analyses and Hofert has worked to provide theoretical and practical solutions, as well as the actual implementation, to solve or mitigate such challenges. Applications in finance, insurance or quantitative risk management require such models for decision-making purposes. Hofert’s work has practical applications in addressing and eliminating some of the long-standing challenges of simulation-based applications of copulas in such applications.

“Congratulations to Marius for being awarded the NSERC Discovery Accelerator Supplement,” said Stefan Steiner, Chair of the Department of Statistics and Actuarial Science. “His research and contributions, including development and maintenance of the open source statistical software R, are significant.”

The DAS Program aims to provide substantial and timely additional resources to accelerate progress and maximize the impact of outstanding research programs. In 2020, NSERC awarded $15.24 million to 127 applications in the DAS competition. These supplements are valued at $120,000 over three years.

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