Econometrics, model uncertainty and risk management in actuarial applications

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Actuaries use models to quantify and manage risks in insurance and finance. Accurately modeling financial risks is challenging because financial processes exhibit complex dynamics which are difficult to reproduce with statistical models. When developing a model, actuaries face a tradeoff between its complexity and implementation. The first objective of my research program is to improve this tradeoff by investigating new model structures in finance and by developing original methods to implement them.