Anas Abdallah
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Assistant Professor and AFM Coordinator
HH 408
(905) 525 9140 ext. 23429
(905) 522-0935
...

Research Area: Actuarial and Financial Mathematics

Research Profile: Actuarial Science
My research area is in actuarial science, with focus on: dependence modeling, loss reserving, capital allocation and predictive modeling in non-life insurance and ratemaking/pricing.
The objective of my research is to propose hierarchical statistical approaches to model dependence within and between risks in non-life insurance in general, and in a loss reserving context in particular. One of the most critical problems in Property & Casualty (P&C) insurance is to determine an appropriate reserve for incurred but unpaid losses. These provisions generally comprise most of the liabilities of a non-life insurance company. The global provisions are often determined under an assumption of independence between the lines of business. However, most risks are related to each other in practice, and this correlation needs to be taken into account.

Actuarial and Financial Mathematics, Statistical Models in P&C insurance, Dependence Modeling

2021/2022
Math 3FM3
Math 4FM3/6FM3
Stats 3ST3
Stats 4G03
MFM 704 

2020/2021
Math 2FM3
Math 3FM3
Math 4FM3/6FM3
Stats 3ST3
MFM 704

2019/2020
Math 2FM3
Math 3FM3
Math 4FM3/6FM3
MFM 704 

2018/2019
Math 2FM3
Math 4FM3/6FM3

Hamel E, Abdallah A, Leveille G (2020). Macro and Micro Loss Reserves with Inflation, Discount and Trend. European Actuarial Journal. Under review

Abdallah, A. Modèles de dépendance hiérarchique pour l’évaluation des passifs et la tarification en actuariat, 2016

Abdallah A, Boucher J-P, Cossette H, Trufin J. (2016). Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis. North American Actuarial Journal. 20(2): 184–200.

Abdallah A, Boucher J-P, Cossette H. (2016). Sarmanov Family of Multivariate Distributions for Bivariate Dynamic Claim Counts Model. Insurance: Mathematics and Economics. 68: 120-133.

Côté M-P, Genest C, Abdallah A. (2016). Rank-Based Methods for Modeling Dependence Between Loss Triangles. European Actuarial Journal. 6(2): 377-408.

Abdallah A, Boucher J-P, Cossette H. (2015). Modeling dependence between loss triangles with hierarchical Archimedean copulas. ASTIN Bulletin. 45(3): 577–599.

Currently Supervising:
Pengfei Cai (PhD Stats)
Lan Wang (MSc Stats)

Past Students:
Pengfei Cai (MSc Stats)

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McMaster University - Faculty of Science | Math & Stats