SCiFI Research Group: Simulation and Control in Finance and Insurance

Our group broadly works on numerical and control methodologies inspired by applications in quantitative finance and insurance. A particular focus is the interface between machine learning and probabilistic techniques, cross-cutting across Financial Mathematics, Actuarial Science, Applied Probability, Operations Research and Data Science communities.

My industry outreach activities have been focused on InsurTech, connecting academic research with actuarial practice. I organize an annual UCSB InsurTech Summit

Some of the recent research topics have included (see Research page for more details):

• Statistical emulation and active learning for computational stochastic control, in particular for Regression Monte Carlo methods;
• Gaussian process models in Insurance;
• Multi-population longevity modeling;
• Stochastic games: non-zero-sum timing games, switching games, mean field games;
• Strategic behavior in Energy Markets: transition to renewables, uncertain R-and-D investments, exhaustible resources;
• Sequential design of experiments in stochastic simulation contexts, such as new tools for global ranking of noisily observed functions, or advanced techniques for noisy contour-finding;
• Machine learning/non-parametric tools for mortality modeling and risk management;
• Meso-scopic behavior of Limit Order Books in the context of optimal execution and price impact;
• Modeling, detection, and control of infectious epidemics within stochastic compartmental models.

Current Students

• Olivier Mulkin, 2023-present

• Thiha Aung, 2023-present

• Cosmin Borsa, 2021-- present
  Works on Deep Learning for American Option Pricing

• Qiqi Li, 2021 -- present
  Works on Spatiotemporal Gaussian Process models for Wind Energy

PhD Alumni

1. Nhan Huynh, defended August 2021

   Worked on Multi Population Mortality Models: Paper1 and Paper 2
   Earlier version appeared in Living to 100 SOA Symposium 2020.

2. Xiong (Victoria) Lyu defended January 2020

   Currently at Google, Mountain View
   Worked on Noisy Contour Finding and Batching in Gaussian Process Emulators:
   Paper 1 and Paper 2

3.  Aditya Maheshwari defended August 2019

   Currently at Amazon Seattle
   Worked on Stochastic Storage Problems and Energy Microgrids
   Dynamic Emulation Algorithm and Probability Constrained Stochastic Control

4.  Liangchen Li defended January 2019

   Currently at JP Morgan, Hong Kong
   Worked on Stochastic Games in Energy Markets:
   Competitive Capacity Expansion and Stochastic Switching Games

5. Sergio Rodriguez defended April 2018

   Currently Data Scientist at Amazon Seattle
   Worked on Generalized Probabilistic Bisection:
   Local G-PBA and Spatial G-PBA. See also WinterSim 2015 and WinterSim 2016

6. Xuwei Yang defended October 2017

   Currently at McMaster U, Canada
   Worked on Stochastic Games: Exhaustible Resource Management and MFGs for Replenishable Commodities

7.  Jimmy Risk defended July 2017

   Currently Assistant Professor at Cal Poly Pomona
   Society of Actuaries Hickman Scholar (2015--2017)
   Worked on Longevity Risk/Machine Learning in Insurance: 
   GPs for mortality modeling and GPs for Longevity-linked contracts  Portfolio Risk Measurement

8.  Kyle Bechler, defended Aug 2015

   Currently Senior Analyst at CBRE
   SIAM FM'14 Conference Paper Prize Finalist
   Worked on Limit Order Books:
   Optimal Execution and Order Flows

9.  Katherine Shatskikh Klachko defended March 2017

   Worked on Sequential Detection of Stochastic Epidemics:
   Preprint and poster: ISDS 2014

10.  Chunhsiung (Nate) Lu, defended Dec 2014

    Currently Quantitative Analyst at Capital One

11. Qunying (Rain) Shen, defended Aug 2012

    Currently Lead Modeler at RMS
    Work on Optimal Investment with Liquidity Shocks: Article

Other Student Projects

• Heng Yang (City University of New York)
  External PhD Committee Member, defended March 2016
  Project on Quickest Detection: Article

• Ruimeng (Michelle) Hu (UCSB PSTAT)
  Project on Sequential Design for Ranking Response Surfaces: arxiv

• Steven Quintero (UCSB ECE)
  External PhD Committee Member, defended June 2014
  Project on UAV tracking: Article

• Michael Loginov (UCSB PSTAT)
  MS Actuarial Science (Masters student), graduated June 2013
  Project on healthcare costs: Article

• Junjing Lin (UCSB PSTAT)
  Defended PhD June 2015
  Project on Sequential Bayesian Inference for of Seasonal Epidemics
  Article and ISDS 2012 Poster

Undergraduate Alumni