LOUIS G. DORAY, Ph.D., A.S.A.

ACADEMIC POSITION, PROFESSIONAL MEMBERSHIP and DEGREE

Professor of Actuarial Mathematics, Dept. of Mathematics and Statistics, University of Montreal.
Member, Centre de Recherches Mathématiques.
Associate of the Society of Actuaries (ASA)
SOA Fellowship exams completed: 200, 210, I-342C, P-460C, CAS 4B
Doctor of Philosophy, Ph.D. in Statistics, December 1991. Department of Statistics and Actuarial Science, University of Waterloo. Supervisor: Dr. Harry H. Panjer.
Area of research: Development of loss reserving models for claims incurred but not yet reported (IBNR) to a property/casualty insurance company
Title of Thesis: "Prediction of IBNR Events with Generalized Regression, Time Series and Compound Poisson Models", 178p.

INVITED TALKS and SEMINARS (since 2000)

$\bullet$ Inference for some continuous models used in demography and finance. Invited speaker, 11 April 2008, Conference in honour of Professor Harry H. Panjer, University of Waterloo.
$\bullet$ Inference for Logistic-type Models for the Force of Mortality. Invited speaker, 8 January 2008, International Symposium on Living to 100: Survival to Advanced Ages, organized by the Society of Actuaries, Orlando FL.
$\bullet$ Welcoming address, 41st SOA Actuarial Research Conference, University of Montreal, 10 August 2006.
$\bullet$ Actuarial Considerations in Establishing Gradual Retirement Pension Plans, Invited Speaker, 3 May 2006, Symposium on Re-Envisioning Retirement in the 21st Century, organized by the Society of Actuaries, Washington, DC.
$\bullet$ The GPAR(1) Process: theory and application in insurance. Invited Speaker, 5 December 2005, 14th Actuarial Day, Concordia University.
$\bullet$ Living to age 100 in Canada in 2000. Invited speaker, 17 January 2002, International Symposium on Living to 100 and Beyond: Survival at Advanced Ages, organized by the Society of Actuaries, Orlando FL.
$\bullet$ Testing for Overdispersion in the Poisson Family. Invited Speaker, 7 July 2001, Statistics 2001 Canada: The Fourth Canadian Conference in Applied Statistics, Concordia University.
$\bullet$ Inference for a class of discrete distributions and actuarial applications. Invited speaker, 27 April 2001, Actuarial Day, School of Actuarial Science, Laval University.
$\bullet$ Méthodes de distance quadratique en assurance. 21 March 2001, Dept of Mathematics, Université du Québec à Montréal.

CONFERENCE PRESENTATIONS (since 2000)

$\bullet$ Efficiency of some Estimators for a Generalized Poisson Autoregressive Process of Order 1. 25th European Meeting of Statisticians, 25 July 2005, Oslo.
$\bullet$ Minimum-distance Inference for Sundt's distribution. Compstat 2004 Conference, 24 August 2004, Prague.
$\bullet$ Estimators for a Generalized Poisson Autoregressive Process of Order 1. 39th Actuarial Research Conference, 7 August 2004, University of Iowa, Iowa City.
$\bullet$ Integer-valued Processes for the Number of Claims. Applied Actuarial Research Conference, 9 March 2004, University of Central Florida, Orlando.
$\bullet$ Estimation for the Discrete Generalized Linnik Distribution. Annual Meeting of the Statistical Society of Canada, 11 June 2003, Halifax.
$\bullet$ Statistical Inference for Sundt's Family of Distributions. Hawaii Conference on Statistics and Related Fields, 5 June 2003, Honololu.
$\bullet$ On the advantages of quadratic distance methods for inference in insurance. 37th Actuarial Research Conference, 9 August 2002, University of Waterloo, Waterloo, Canada.
$\bullet$ Estimation pour lois discrètes avec la récurrence entre probabilités successives. XXXIVèmes Journées de Statistique, 14 May 2002, Université Catholique de Louvain, Bruxelles.
$\bullet$ Number of IBNR Claims and Multivariate Compound Poisson Distribution. 27th International Congress of Actuaries, 19 March 2002, Cancun, Mexico.
$\bullet$ Estimation for Discrete Distributions. European Meeting of Statisticians, 14 August 2001, Funchal, Madeira.
$\bullet$ Inference for a class of discrete distributions and actuarial applications. XXXIInd International Astin Colloquium, 10 July 2001, Washington, D.C.
$\bullet$ On Some New Goodness-of-Fit Tests for the Poisson Distribution. International Workshop on Statistical Modelling, Poster talk, 4 July 2001, Odense, Denmark.

GRADUATE STUDENTS SUPERVISION

26- Masset, K. (June 2010-...). Modèles GLM. Master's internship report
25- Ben Salah, Z. (Sept. 2007-...). Ph.D. student, cosupervisor with M. Morales.
24- Groparu, I. (Jan. 2007-...). Ph.D. student.
23- Momeya Ouabo, R.H. (Sept. 2006-...). Ph.D. student, cosupervisor with M. Morales.
22- Randolph, W. (2008-...). Master's student (in progress).
21- Craciun, G. (2009). Les fonctions de perte en actuariat. Master's thesis.
20- Tang, K. (2009). Projection de la mortalité aux âges avancés au Canada: comparaison de trois modèles. Master's thesis.
19- Augustyniak, M. (2008). Une famille de distributions symétriques et leptocutriques représentés par la différence de deux variables aléatoires gamma. Master's thesis (nominated in top 5%, valedictorian).
18- Lenoir, M. (2007). Application des GLM à la tarification en assurance automobile. Master's internship report
17- Groparu, I. (2007). Quadratic Distance Methods Applied to Generalized Normal Laplace Distribution. Master's thesis (nominated in top 15%).
16- Jiang, S.M. (2006). Parameters estimation of the discrete stable distribution. Master's thesis.
15- Bouvier, M. (2006). Mise en Place d'un modèle Interne et Utilité Stratégique pour une Compagnie de Réassurance Non-Vie. Master's internship report.
14- Alhadji Kolo, B.M (2005). Comparaison de divers estimateurs pour la loi de Poisson bivariée. Master's thesis.
13- Louvel, A.-L. (2005). Valeur économique ajustée au risque pour une activité de réassurance. Master's internship report.
12- Beneteau, G. (2005). Modèle de provisionnement sur données détaillées en assurance non-vie. Master's internship report.
11- Roget, C. (2004). Gestion du risque de crédit bancaire. Master's internship report.
10- Chassé St-Laurent, É. (2004). Impact de la taille de l'espace-paramètre sur les résultats des tests d'hypothèses multiples sous différentes fonctions de perte. Master's thesis (nominated in top 10%), cosupervisor with J.F. Angers.
9- Ursu, E. (2004). Estimation linéaire pour un modèle de régression ARCH. Master's thesis, cosupervisor with A. Luong.
8- Glaizal, H. (2004). La mesure du risque de taux en gestion de bilan. Master's internship report.
7- Najem, E.H. (2004). Processus de Poisson généralisé autorégressif d'ordre 1. Master's thesis (nominated in top 15%).
6- Haziza, A. (1997). Inférence pour la famille de Sundt. Master's thesis.
5- Arsenault, M. (1996). Estimation pour la loi zeta. Master's thesis.
4- Huard, L. (1995). Nouveaux tests d'ajustement pour la loi de Poisson et généralisations. Master's thesis.
3- Coene, G. (1995). Un système bonus-malus optimal. Master's thesis.
2- Lambert, C. (1994). Tests d'ajustement pour la loi de Pareto. Master's thesis.
1- Pitselis, G. (1993-1994). Interim Ph.D. cosupervisor.

RESEARCH DIRECTION, MASTER'S in MATHEMATICAL and COMPUTATIONAL FINANCE

13- Ndoye, M. (2010). Master's internship report.
12- Colagiacomo, M. (2010). Analyse des comptes en dépassement de limite de crédit. Master's internship report.
11- Mouiha, A. (2009). Évaluation des prévisions - Modèles de PIB. Master's internship report.
10- Bernard, P. (2009). Gestion des risques. Master's internship report.
9- Gougeon, J. (2008). Évaluation de produits dérivés d'actions. Master's internship report.
8- Parent-Chartier, J.-S. (2008). Quality of earnings on the Canadian market. Master's internship report.
7- Bergeron, P. (2008). La prime de variance. Master's internship report.
6- Cheam, T. (2008). Valorisation des collaterized debt obligations. Master's internship report.
5- Kerri, C. (2008). Évaluation d'options sur l'électricié. Master's internship report.
4- Saint-Fleur, L. (2008). Analyse et modélisation du prix de l'électricié. Master's internship report.
3- Marie, N. (2008). Arbitrage statistique par analyse d'ondelettes. Master's internship report.
2- Dabraim, A. (2008). Optimisation du portefeuille et contrôle des risques. Master's internship report.
1- Bernier, M. (2007). Un modéle de taux d'intérêt aléatoires. Master's internship report.

UNDERGRADUATE STUDENTS SUPERVISION

7- Biron, D. (2008). Estimation de modèles pour la mortalité au Canada. Bourse d'été du CRSNG.
6- Cucos, D.M. (2005). Estimateurs pour la loi de la valeur extrême généralisée. Bourse d'été du CRSNG.
5- Bouria, F.Z. (2005). Taux d'intérêt aléatoires et valeurs actuarielles présentes de rentes. Bourse d'été du CRSNG.
4- Chabot-Hallé, D. (2004). Estimateurs efficaces pour la loi stable. Bourse d'été du CRSNG.
3- Bouvrette, M. (2002). Distribution du rendement de certains titres boursiers. Bourse d'été du CRSNG. Cosupervisor with J.F. Angers.
2- Randolph, W. (2002). Projection de la population canadienne. Programme études-travail pour étudiants étrangers, Gouvernement du Québec, stage d'été.
1- Chassé-St-Laurent, É. (2001). Mortalité aux âges avancés au Canada. Bourse d'été du CRSNG. Cosupervisor with J.F. Angers.

RESEARCH GRANTS (since 2000)

$\bullet$ MITACS-Aviva, Grant for an Internship Program with Aviva Canada, (Doray), 2010, $15,000.
$\bullet$ MITACS, Grant for the organization of the Montreal Seminar of Actuarial and Financial Mathematics (Doray et al.), 2009, $7000.
$\bullet$ MITACS-DGIA, Grant for an Internship Program, (Morales and Doray), 2008, $15,000.
$\bullet$ Grants for the organization of the MITACS-IFM2-DGIA Workshop on Recent Advances in Financial and Insurance Risk Management: Stochastic and Statistical Models, (Morales et al.), 2008, $25,000.
$\bullet$ Society of Actuaries, Travel grant to present invited paper at the International Symposium on Living to 100: Survival to Advanced Ages, Orlando, 7-9 January 2008, US $1500.
$\bullet$ MITACS, Grant for the organization of the Montreal Seminar of Actuarial and Financial Mathematics (Doray et al.), 2008, $7000.
$\bullet$ Natural Sciences and Engineering Research Council of Canada, Group equipment grant (Duchesne et al.), 2007-08, $43,756.
$\bullet$ Society of Actuaries, Travel grant to present invited paper at the Symposium on Re-Envisioning Retirement in the 21st Century, Washington DC, 3-4 May 2006, US $1000.
$\bullet$ Natural Sciences and Engineering Research Council of Canada, Individual research grant, Inference for heavy-tail models with financial applications, 2006-2011.
$\bullet$ Natural Sciences and Engineering Research Council of Canada, Group equipment grant (Duchesne et al.), 2004-05, $57,000.
$\bullet$ Committee on Knowledge Extension Research, Society of Actuaries, Joint research project with A. Luong, School of Actuarial Science, U. Laval, Inference Methods for positive Stable Laws with Applications in Insurance and Finance, 2003-08, US $10,000.
$\bullet$ Natural Sciences and Engineering Research Council of Canada, Individual research grant, Inference methods for certain distributions used in insurance and finance, 2002-2006.
$\bullet$ Society of Actuaries, Travel grant to present an invited paper at the International Symposium on Living to 100 and Beyond: Survival at Advanced Ages, Orlando, January 2002, US $2000.
$\bullet$ Chaire en assurance, Université Laval, Joint research project with A. Luong, School of Actuarial Science, U. Laval, Méthodes de distance quadratique généralisées et valeurs extrémales en réassurance, 1999-..., $5000.