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Natural Sciences and Engineering; Fundamental Sciences; Applied Sciences

Maciej Augustyniak

Professeur agrégé

Faculté des arts et des sciences - Département de mathématiques et de statistique

André-Aisenstadt, room 4143

514 343-6111 #1696

maciej.augustyniak@umontreal.ca

Secondary email: augusty@dms.umontreal.ca (Travail)

Profile

Research expertise

I am a researcher in actuarial science and quantitative risk management with interests in computational statistics, econometrics and quantitative finance. My research aims to develop new models and methods for quantifying and managing long-term risks in actuarial and financial applications. I am particularly interested in hidden Markov models and statistical inference for regime-switching GARCH and stochastic volatility models. Moreover, I study risk management and hedging problems that arise in the context of equity-linked insurance (a.k.a. variable annuities).

Biography

I am an Associate Professor in the Department of Mathematics and Statistics at the Université de Montréal and a member of the Quantact research group, which is the Centre de recherches mathématiques (CRM) Laboratory of Actuarial and Financial Mathematics. I am also a Fellow of the Society of Actuaries (FSA) and a former Hickman Scholar.

Affiliations and responsabilities

Research affiliations

Teaching and supervision

Student supervision

Theses and dissertation supervision (Papyrus Institutional Repository)

Projects

Research projects

2022 - 2029

Centre de recherches mathématiques (CRM)

Lead researcher : Octavian Cornea
Co-researchers : Luc Vinet , Christiane Rousseau , Sabin Lessard , François Perron , Sylvie Hamel , Gena Hahn , Marlène Frigon , Mireille Schnitzer , Karim Jerbi , Alexander Fribergh , Guillaume Lajoie , Margarida Carvalho , Florian Maire , Guy Wolf , Benjamin Seamone , Egor Shelukhin , Jacques Bélair , François Lalonde , Robert Gwyn Owens , Gilles Brassard , Alain Vinet , Michel Delfour , Yvan Saint Aubin , Manuel Morales , Alejandro Murua , Frédéric Dupont-Dupuis , Paul M Gauthier , Maciej Augustyniak , Manu Paranjape , Véronique Hussin , Fahima Nekka , Mylène Bédard , Christian Léger , Yoshua Bengio , Pierre Duchesne , Jun Li , Nadia El-Mabrouk , William Witczak-Krempa , Andrew Granville , Dana Schlomiuk , Iosif Polterovich , Hugo Chapdelaine , Matilde Lalin , Benoît Mâsse , Dimitrios Koukoulopoulos , Morgan Craig , Line Baribeau , Hélène Cossette , Christian Genest , Frédéric Gourdeau , Claude Levesque , Étienne Marceau , Thomas Joseph Ransford , Louis-Paul Rivest , Jean-Marie De Koninck , Javad Mashreghi , Thierry Duchesne , Alexandre Bureau , José Manuel Urquiza , Michael Lau , Jean-Philippe Lessard , Anne-Sophie Charest , Alexandre Girouard , Khader Khadraoui , Antonio Lei , Pengfei Guan , Xiaowen Chang , Prakash Panangaden , R Platt , Michael C. Mackey , John A Toth , Henri Darmon , Niky Kamran , Jacques Claude Hurtubise , Adrian Iovita , Peter Bartello , Eyal Goren , Dmitry Jakobson , Masoud Asgharian-Dastenael , Vojkan Jaksic , Daniel Tzvi Wise , Anthony Raymond Humphries , Frederic Guichard , Russell Steele , Erik P. Cook , Robert Brandenberger , Adrian Vetta , Erica Moodie , Keshav Dasgupta , Christophe Grova , David Stephens , Rustum Choksi , Abbas Khalili Mahmoudabadi , Gantumur Tsogtgerel , Johanna Neslehova , Jean-Christophe Nave , Paul François , Hamed Hatami , Anmar Khadra , Adam M. Oberman , Michael Yves Michel Pichot , Simon Gravel , Frédéric Lesage , Jean-Marc Lina , Vladimir Makarenkov , Alexander Maloney , Dana Louigi Addario-Berry , André Garon , Éric P. Marchand , Debbie Janice Dupuis , Yogendra Chaubey , Chantal David , José Garrido , Pawel Gora , John P. Harnad , Hershy Kisilevsky , Galia Dafni , D. Korotkin , Xiaowen Zhou , Marco Bertola , Arusharka Sen , Alexei Kokotov , Wei Sun , Cody Hyndman , Alina Stancu , Patrice Gaillardetz , Lea Popovic , André Dieter Bandrauk , Ibrahim Assem , Tomasz Kaczynski , Shiping Liu , Vasilisa Shramchenko , Maxime Descoteaux , Taoufik Bouezmani , François Bergeron , Steven P. Boyer , Srecko Brlek , Sorana Froda , Christophe Reutenauer , Roger Villemaire , Jean-François Renaud , Vestislav Apostolov , Steven Lu , Fabrice Larribe , Christophe Hohlweg , Abdoulaye Banire Diallo , Mathieu Boudreault , Geneviève Lefebvre , FRANCO SALIOLA , Alexandre Roch , Arthur Charpentier , Frédéric Rochon , Mathieu Pigeon , Bruno L. Rémillard , Alexandre Blondin-Massé , Benoit Larose , Thomas Brüstle , Richard Fournier , Linan Chen , Clement Hyvrier , Piotr Przytycki , Alfred Michel Grundland , Denis Talbot , Habib Benali , Frédéric Godin , Marcin Sabok , Yi Yang , Anne Mackay , Ting-Huei Chen , Aurélie Labbe , Mélina Mailhot , Alexandra Schmidt , Simon Philippe Caron-Huot , Laurent Charlin , Janosch Ortmann , Sarah Harrison , Tim Hoheisel , Jean Deteix , Jessica Lin , Michael Lipnowski , Giovanni Rosso , Thomas Hugh , Jean-Philippe Burelle , Julien Keller , Félix Camirand Lemyre , Marie-Pier Côté , Damir Kinzebulatov , Duncan McCoy , Klaus Herrmann , Felix Kwok
Funding sources: FRQNT/Fonds de recherche du Québec - Nature et technologies (FQRNT)
Grant programs: PVXXXXXX-(RS) Programme de regroupements stratégiques
2015 - 2023

CENTRE DE RECHERCHES MATHEMATIQUES (CRM)

Lead researcher : Luc Vinet , Octavian Cornea
Co-researchers : Pavel Winternitz , Alfred Michel Grundland , Christiane Rousseau , Sabin Lessard , François Perron , Sylvie Hamel , Marlène Frigon , Karim Jerbi , Jacques Bélair , François Lalonde , Robert Gwyn Owens , Gilles Brassard , Alain Vinet , Michel Delfour , Yvan Saint Aubin , Manuel Morales , Paul M Gauthier , Manu Paranjape , Véronique Hussin , Fahima Nekka , Yoshua Bengio , Pierre Duchesne , Jiri Patera , Nadia El-Mabrouk , Louis-Pierre Arguin , Andrew Granville , Iosif Polterovich , Matilde Lalin , Dimitrios Koukoulopoulos , Maciej Augustyniak , Jun Li , William Witczak-Krempa , Mireille Schnitzer , Alexander Fribergh , Benjamin Seamone , Alejandro Murua , Laurent Charlin , Hélène Cossette , Christian Genest , Frédéric Gourdeau , Claude Levesque , Étienne Marceau , Pierre Mathieu , Thomas Joseph Ransford , Louis-Paul Rivest , Jean-Marie De Koninck , Javad Mashreghi , Thierry Duchesne , Alexandre Bureau , M'Hamed Lajmi Lakhal Chaieb , José Manuel Urquiza , Hugo Chapdelaine , Michael Lau , Alexandre Girouard , Khader Khadraoui , Antonio Lei , Pengfei Guan , Xiaowen Chang , Prakash Panangaden , Michael C. Mackey , John A Toth , Henri Darmon , Karl Peter Russell , Niky Kamran , Jacques Claude Hurtubise , Adrian Iovita , Peter Bartello , Eyal Goren , Dmitry Jakobson , Vojkan Jaksic , Daniel Tzvi Wise , Anthony Raymond Humphries , Frederic Guichard , Russell Steele , Erik P. Cook , Robert Brandenberger , Adrian Vetta , Erica Moodie , Keshav Dasgupta , Christophe Grova , Bruce Shepherd , David Stephens , Gantumur Tsogtgerel , Johanna Neslehova , Jean-Christophe Nave , Johannes Walcher , Paul François , Hamed Hatami , Anmar Khadra , Adam M. Oberman , Michael Yves Michel Pichot , Frédéric Lesage , Jean-Marc Lina , Alexander Maloney , Dana Louigi Addario-Berry , André Fortin , André Garon , Dominique Pelletier , Éric P. Marchand , Debbie Janice Dupuis , Syed Ali , Yogendra Chaubey , Christopher Cummins , Chantal David , Eusebius Jacobus Doedel , José Garrido , Pawel Gora , Richard Hall , John P. Harnad , Hershy Kisilevsky , Galia Dafni , D. Korotkin , Xiaowen Zhou , Benoit Larose , Marco Bertola , Alexei Kokotov , Wei Sun , Cody Hyndman , Alina Stancu , Patrice Gaillardetz , Lea Popovic , André Dieter Bandrauk , Ibrahim Assem , Tomasz Kaczynski , Shiping Liu , Virginie Charette , Vasilisa Shramchenko , Maxime Descoteaux , Anne Bergeron , François Bergeron , Steven P. Boyer , Srecko Brlek , Sorana Froda , Christophe Reutenauer , Roger Villemaire , Jean-François Renaud , Vestislav Apostolov , Steven Lu , Pedro Peres-Neto , Christophe Hohlweg , Mathieu Boudreault , Geneviève Lefebvre , FRANCO SALIOLA , Alexandre Roch , Frédéric Rochon , Karim Oualkacha , Mark Powell , Bruno L. Rémillard , Alexandre Blondin-Massé , Thomas Brüstle , Richard Fournier , Linan Chen , Clement Hyvrier , Payman Kassaei , Piotr Przytycki , Denis Talbot , Jean-François Coeurjolly , Frédéric Godin , Marcin Sabok , Yi Yang , Anne Mackay , Paramita Saha Chaudhuri , Jérôme Vétois , Ting-Huei Chen , Aurélie Labbe
Funding sources: FRQNT/Fonds de recherche du Québec - Nature et technologies (FQRNT)
Grant programs: PVXXXXXX-(RS) Programme de regroupements stratégiques
2015 - 2023

ECONOMETRICS, MODEL UNCERTAINTY AND RISK MANAGEMENT IN ACTUARIAL APPLICATIONS

Lead researcher : Maciej Augustyniak
Funding sources: CRSNG/Conseil de recherches en sciences naturelles et génie du Canada (CRSNG)
Grant programs: PVX20965-(RGP) Programme de subvention à la découverte individuelle ou de groupe
2021

Quantitative Trading in North American Power Markets

Lead researcher : Maciej Augustyniak
Funding sources: MITACS Inc.
Grant programs: PVXXXXXX-Stage Accélération Québec - MITACS
2018 - 2019

Modeling regime changes to improve portfolio diversification and performance

Lead researcher : Maciej Augustyniak
Co-researchers : Manuel Morales
Funding sources: MITACS Inc.
Grant programs: PVXXXXXX-Stage Accélération Québec - MITACS
2015 - 2018

SOA Educational Institution Grant

Lead researcher : Maciej Augustyniak
Funding sources: Society of Actuaries
Grant programs:
2017

Automated Transaction Classification Using Machine Learning Algorithm.

Lead researcher : Maciej Augustyniak
Co-researchers : Manuel Morales
Funding sources: MITACS Inc.
Grant programs: PVXXXXXX-Stage Accélération Québec - MITACS
2017

Automated Transaction Classification Using Machine Learning Algorithm.

Lead researcher : Manuel Morales
Co-researchers : Maciej Augustyniak
Funding sources: MITACS Inc.
Grant programs: PVXXXXXX-Stage Accélération Québec - MITACS
2016

Modeling and segmentation of the customer lifetime value in the banking industry

Lead researcher : Maciej Augustyniak
Funding sources: CRSNG/Conseil de recherches en sciences naturelles et génie du Canada (CRSNG)
Grant programs: PV128974-(EGP) Programme de subvention d'engagement partenarial

Outreach

Publications and presentations

Publications

Disciplines

  • Applied Mathematics
  • Actuarial Science (Mathematical Sciences)
  • Finance
  • Statistics

Areas of expertise

  • Experimental Finance and Economy
  • Econometrics
  • Actuarial Studies
  • Risk Management
  • Model Building
  • Computer Science and Statistics
  • Theoretical Statistics