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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

Research units

Membre

Projects

Research projects

2023 - 2029

Improving hedging effectiveness in actuarial and financial 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
2022 - 2029

Centre de recherches mathématiques (CRM)

Lead researcher : Octavian Cornea
Co-researchers : Yoshua Bengio , François Lalonde , Gilles Brassard , Michel Delfour , Marlène Frigon , Véronique Hussin , Christiane Rousseau , Jacques Bélair , Paul M Gauthier , Sabin Lessard , Alain Vinet , Nadia El-Mabrouk , Gena Hahn , Christian Léger , Fahima Nekka , Iosif Polterovich , Yvan Saint Aubin , Andrew Granville , Sylvie Hamel , Manuel Morales , François Perron , Mylène Bédard , Pierre Duchesne , Matilde Lalin , Robert Gwyn Owens , Manu Paranjape , Dana Schlomiuk , Luc Vinet , Hugo Chapdelaine , Mireille Schnitzer , Karim Jerbi , Alexander Fribergh , Alejandro Murua , Maciej Augustyniak , Benoît Mâsse , Dimitrios Koukoulopoulos , Jun Li , Benjamin Seamone , William Witczak-Krempa , Egor Shelukhin , Morgan Craig , Guillaume Lajoie , Margarida Carvalho , Guy Wolf , Florian Maire , Frédéric Dupont-Dupuis , Michael C. Mackey , Frédéric Lesage , Russell Steele , Erica Moodie , Paul François , Henri Darmon , Maxime Descoteaux , Prakash Panangaden , André Dieter Bandrauk , Peter Bartello , Chantal David , Jean-Marc Lina , Anthony Raymond Humphries , John P. Harnad , Jacques Claude Hurtubise , Pengfei Guan , John A Toth , Niky Kamran , Adrian Iovita , Eyal Goren , Dmitry Jakobson , Vojkan Jaksic , Daniel Tzvi Wise , André Garon , Éric P. Marchand , Debbie Janice Dupuis , Yogendra Chaubey , Pawel Gora , Hershy Kisilevsky , Galia Dafni , D. Korotkin , Marco Bertola , Alina Stancu , Lea Popovic , Ibrahim Assem , Tomasz Kaczynski , Shiping Liu , Vasilisa Shramchenko , Bruno L. Rémillard , Richard Fournier , Alfred Michel Grundland , David Stephens , Xiaowen Chang , Frederic Guichard , Erik P. Cook , Robert Brandenberger , Adrian Vetta , Keshav Dasgupta , Christophe Grova , Gantumur Tsogtgerel , Johanna Neslehova , Jean-Christophe Nave , Anmar Khadra , Adam M. Oberman , Michael Yves Michel Pichot , Alexander Maloney , Dana Louigi Addario-Berry , José Garrido , Alexei Kokotov , Wei Sun , Patrice Gaillardetz , Linan Chen , Piotr Przytycki , Vladimir Makarenkov , Louis-Paul Rivest , François Bergeron , Steven P. Boyer , Line Baribeau , Frédéric Gourdeau , Claude Levesque , Thomas Joseph Ransford , Jean-Marie De Koninck , Javad Mashreghi , Thierry Duchesne , Srecko Brlek , Christophe Reutenauer , Vestislav Apostolov , Steven Lu , Geneviève Lefebvre , Hélène Cossette , Étienne Marceau , José Manuel Urquiza , Michael Lau , Alexandre Girouard , Antonio Lei , Jean-François Renaud , Christophe Hohlweg , Mathieu Boudreault , FRANCO SALIOLA , Alexandre Roch , Frédéric Rochon , Alexandre Blondin-Massé , Clement Hyvrier , Denis Talbot , Alexandre Bureau , Fabrice Larribe , Aurélie Labbe , Cody Hyndman , Khader Khadraoui , Hamed Hatami , Roger Villemaire , Frédéric Godin , Marcin Sabok , Yi Yang , Anne Mackay , Jérôme Vétois , Ting-Huei Chen , Habib Benali , Taoufik Bouezmani , Christian Genest , Xiaowen Zhou , Sorana Froda , Mélina Mailhot , Alexandra Schmidt , Simon Philippe Caron-Huot , Abdoulaye Banire Diallo , Jean-Philippe Lessard , Sarah Harrison , Anne-Sophie Charest , Masoud Asgharian-Dastenael , Rustum Choksi , Abbas Khalili Mahmoudabadi , Simon Gravel , Arusharka Sen , Arthur Charpentier , Mathieu Pigeon , Benoit Larose , Thomas Brüstle , Laurent Charlin , Janosch Ortmann , 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 , Courtney Paquette , Anush Tserunyan , Suresh Krishna , Valentino Tosatti , Patrick Brodie Allen , Behrooz Yousefzadeh , Marc-Hubert Nicole , Rober Platt
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 : Yoshua Bengio , François Lalonde , Gilles Brassard , Michel Delfour , Marlène Frigon , Véronique Hussin , Christiane Rousseau , Pavel Winternitz , Jacques Bélair , Paul M Gauthier , Sabin Lessard , Alain Vinet , Nadia El-Mabrouk , Fahima Nekka , Jiri Patera , Iosif Polterovich , Yvan Saint Aubin , Andrew Granville , Sylvie Hamel , Manuel Morales , François Perron , Pierre Duchesne , Matilde Lalin , Robert Gwyn Owens , Manu Paranjape , Alfred Michel Grundland , Mireille Schnitzer , Karim Jerbi , Alexander Fribergh , Alejandro Murua , Maciej Augustyniak , Louis-Pierre Arguin , Dimitrios Koukoulopoulos , Jun Li , Benjamin Seamone , William Witczak-Krempa , Laurent Charlin , Dominique Pelletier , Michael C. Mackey , Frédéric Lesage , Russell Steele , Erica Moodie , Paul François , Henri Darmon , Maxime Descoteaux , Prakash Panangaden , André Dieter Bandrauk , Peter Bartello , Chantal David , Jean-Marc Lina , Johannes Walcher , Anthony Raymond Humphries , John P. Harnad , Jacques Claude Hurtubise , Pengfei Guan , John A Toth , Karl Peter Russell , Niky Kamran , Adrian Iovita , Eyal Goren , Dmitry Jakobson , Vojkan Jaksic , Daniel Tzvi Wise , André Garon , Éric P. Marchand , Debbie Janice Dupuis , Syed Ali , Yogendra Chaubey , Christopher Cummins , Pawel Gora , Hershy Kisilevsky , Galia Dafni , D. Korotkin , Benoit Larose , Marco Bertola , Alina Stancu , Lea Popovic , Ibrahim Assem , Tomasz Kaczynski , Shiping Liu , Virginie Charette , Vasilisa Shramchenko , Bruno L. Rémillard , Thomas Brüstle , Richard Fournier , David Stephens , Xiaowen Chang , Frederic Guichard , Erik P. Cook , Robert Brandenberger , Adrian Vetta , Keshav Dasgupta , Christophe Grova , Bruce Shepherd , Gantumur Tsogtgerel , Johanna Neslehova , Jean-Christophe Nave , Anmar Khadra , Adam M. Oberman , Michael Yves Michel Pichot , Alexander Maloney , Dana Louigi Addario-Berry , Eusebius Jacobus Doedel , José Garrido , Richard Hall , Alexei Kokotov , Wei Sun , Patrice Gaillardetz , Linan Chen , Payman Kassaei , Piotr Przytycki , André Fortin , Louis-Paul Rivest , François Bergeron , Steven P. Boyer , Frédéric Gourdeau , Claude Levesque , Pierre Mathieu , Thomas Joseph Ransford , Jean-Marie De Koninck , Javad Mashreghi , Thierry Duchesne , Srecko Brlek , Christophe Reutenauer , Vestislav Apostolov , Steven Lu , Geneviève Lefebvre , Pedro Peres-Neto , Hélène Cossette , Étienne Marceau , José Manuel Urquiza , Hugo Chapdelaine , Michael Lau , Alexandre Girouard , Antonio Lei , Anne Bergeron , Jean-François Renaud , Christophe Hohlweg , Mathieu Boudreault , FRANCO SALIOLA , Alexandre Roch , Frédéric Rochon , Mark Powell , Alexandre Blondin-Massé , Clement Hyvrier , Denis Talbot , Alexandre Bureau , M'Hamed Lajmi Lakhal Chaieb , Karim Oualkacha , Aurélie Labbe , Cody Hyndman , Khader Khadraoui , Hamed Hatami , Roger Villemaire , Jean-François Coeurjolly , Frédéric Godin , Marcin Sabok , Yi Yang , Anne Mackay , Paramita Saha Chaudhuri , Jérôme Vétois , Ting-Huei Chen , Christian Genest , Xiaowen Zhou , Sorana Froda
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