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Rechercher

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

2015 - 2022

CENTRE DE RECHERCHES MATHEMATIQUES (CRM)

Lead researcher : Luc Vinet
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 , Octavian Cornea , Matilde Lalin , Dimitrios Koukoulopoulos , 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 , José Manuel Urquiza , Hugo Chapdelaine , Michael Lau , Alexandre Girouard , Antonio Lei , Pengfei Guan , Xiaowen Chang , 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 , 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 , 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 , Benoit Larose , Marco Bertola , Alexei Kokotov , Wei Sun , 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 , Christophe Reutenauer , Jean-François Renaud , Vestislav Apostolov , Steven Lu , Pedro Peres-Neto , Christophe Hohlweg , Mathieu Boudreault , FRANCO SALIOLA , Alexandre Roch , Frédéric Rochon , Mark Powell , Bruno L. Rémillard , Alexandre Blondin-Massé , Thomas Brüstle , Richard Fournier , Linan Chen , Jal Choksi , Clement Hyvrier , Payman Kassaei , Piotr Przytycki , 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 , José Manuel Urquiza , Hugo Chapdelaine , Michael Lau , Alexandre Girouard , Antonio Lei , André Fortin , Anne Bergeron , François Bergeron , Steven P. Boyer , Srecko Brlek , Christophe Reutenauer , Jean-François Renaud , Vestislav Apostolov , Steven Lu , Pedro Peres-Neto , Christophe Hohlweg , Mathieu Boudreault , FRANCO SALIOLA , Alexandre Roch , Frédéric Rochon , Mark Powell , Alexandre Blondin-Massé , Clement Hyvrier , Maciej Augustyniak , Jun Li , William Witczak-Krempa , M'Hamed Lajmi Lakhal Chaieb , Khader Khadraoui , Prakash Panangaden , Hamed Hatami , Roger Villemaire , Geneviève Lefebvre , Karim Oualkacha , Denis Talbot , Jean-François Coeurjolly , Frédéric Godin , Marcin Sabok , Yi Yang , Anne Mackay , Paramita Saha Chaudhuri , Jérôme Vétois , Ting-Huei Chen , Gena Hahn , Mireille Schnitzer , Alexander Fribergh , Benjamin Seamone , Egor Shelukhin , Alejandro Murua , Mylène Bédard , Alain Tapp , Laurent Charlin , Christian Genest , Alexandre Bureau , Nicolas Doyon , R Platt , Bruce Alan Reed , Russell Steele , Vladimir Makarenkov , Vahid Partovi Nia , Xiaowen Zhou , Cody Hyndman , Taoufik Bouezmani , Sorana Froda , Simon Guillotte , Aurélie Labbe , Mélina Mailhot , Alexandra Schmidt , Simon Philippe Caron-Huot
Funding sources: FRQNT/Fonds de recherche du Québec - Nature et technologies (FQRNT)
Grant programs: PVXXXXXX-(RS) Programme de regroupements stratégiques
2015 - 2022

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