Many governments and other organizations hold confidential data. Theft of that data can be extremely damaging both to the organization and to the people whose data has been stolen. Massive breaches each involving millions of people have been occurring on a regular basis in recent years. New Cyber Security tools are needed to help people […]

Theft or loss of sensitive data is a growing concern for companies who may suffer losses of consumer confidence, market valuation and intellectual property when large amounts of data are stolen. In this research project we will use an enhanced “screen and review” approach to combating exfiltration in a large data set of activity logs […]

Risk aggregation is omnipresent in insurance applications. A recent example, borrowed from the modern regulatory accords, is the determination of the aggregate economic capital and its consequent allocation to risk drivers. A more traditional illustration of the importance of risk aggregation in insurance is the celebrated collective risk theory that dates back to the early […]

Depression is expected to become the second leading cause of disease burden worldwide by the year 2020. Cognitive Behavioural Therapy (CBT) is one of the most effective methods of treatment for depression. CBT may be less effective, or ineffective, in the setting of patients in receipt of disability benefits who are likely to, on average, […]

This project aims to measure the credit risk of Sun Life structured assets portfolio. The objective is to evaluate the accuracy of different methods to assess the credit risk of these types of financial instruments and to evaluate their advantages and limitations. Two methods are proposed to assess structured finance assets risk: Loan Equivalent Approach […]

A recent meta-analysis of wellness program research literature, phase 1 of the project described in this proposal, suggests that wellness programs reduce absenteeism, resulting in an average savings of $251 per employee per year. These results are similar to those of a team from Harvard University, whose findings suggest a return on investment (ROI) of […]

Sun Life Financial is carrying out its ERM and ORSA analysis. The company seeks to develop sophisticated and mathematically sound internal models that would serve as company's own risk measurement tools for EC evaluations, provide continuing insights into the appropriate risk management routes, as well as be a benchmark against the RC required by the […]

This project will assist Sun Life Financial to build, implement and validate quantitatively sophisticated state-of-the-art models of its risk portfolio. This will result in a better quantitative and qualitative understanding of company’s risk, liability and capital profile, and thus in more effective risk management decision making process.

Although latent variable models are a well-known tool for evaluating a portfolio credit risk, concerns are raised regarding tractability of a subsequent analysis/simulation. The project attempts to address such concerns by incorporating a special class of Bernoulli mixture models. Then, efforts will be made to compare efficiency of these models with the commonly used latent […]

Although beta distribution models are a well-known tool for evaluating the recovery risk of credit instruments, concerns are raised regarding tractability its analysis and simulation. The project attempts to address such concerns by incorporating a mixture beta distribution model. The project will compare the efficiency of the proposed model with the commonly used beta distribution […]

Traditional insurance models build on the assumption of independence of risks. One of the main causes of the recent financial crisis, this assumption has facilitated the quantification of risks for decades, but it has often lead to risks’ under-estimation and as a result under-pricing. Importantly, one of the prime pillars of the novel concept of […]