News

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 Lifetime Volunteer Award.

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.

This week, the University of Waterloo campus will host the second-ever CANSSI-NISS Health Data Science Workshop, taking place from August 3rd to 4th. This workshop is jointly sponsored by the Canadian Statistical Sciences Institute (CANSSI) and the United States' National Institute of Statistical Sciences (NISS).

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."

Charmaine B. Dean, a professor in the Department of Statistics and Actuarial Science and vice-president, research and international at the University of Waterloo received the prestigious 2023 Gold Medal from the Statistical Society of Canada (SSC) for her outstanding contributions to statistical sciences. Her research spans various areas, including survival analysis, disease mapping, and interdisciplinary statistical and wildfire research. Dr. Dean is a Fellow of multiple renowned organizations and has served in editorial roles for esteemed journals. Her accomplishments have established her as a highly respected figure in the field of statistics.

Read more about Dr. Dean’s award on the SSC website.

The Department of Statistics and Actuarial Science would like to congratulate Zhanyi Jiao, Benxuan Shi, and Yuanyuan Zhang for being three of the six new recipients of the Society of Actuaries (SOA) Hickman Scholarship for 2023-2024, and to Yiping Guo, Liyuan Li, and Michael Zhu for having their stipend renewed.

The Hickman Scholars Program provides highly  prestigious awards for PhD students in North America who work in fields related to Actuarial Science. The program provides stipends to doctoral candidates who will, through their studies and careers, address the research and education needs of the actuarial profession.