PhD Position in Financial and Insurance Risk Management
Project
Research project:
The traditional insurance technique is ‘centralized’: An insurer takes over the risks of a pool of insureds and guarantees the ex-post payment of the insured claims, in return for ex-ante (deterministic) premiums. The ideal environment for the centralized insurance approach to work properly is a large pool of i.i.d. (independent and identically distributed) risks. This setting allows the insurer to apply the law of large numbers, such that the premium related to each insured loss in the insurance portfolio can be determined as the sum of the expected value (best estimate) of the loss and an appropriate risk margin.
This classical centralized approach is the one used in most actuarial and insurance literature. Insurance liabilities are nowadays of a hybrid nature, they are complex combinations of different types of risks. For example, when insurers provide financial guarantees, this introduces stock price risk in the insurance portfolio.In the presence of large-scale systematic risks such as financial, longevity, catastrophic or inflation risk, managing and valuating an insurance portfolio becomes more complex because the diversification effects and the law of large numbers on which one traditionally relies, diminish or even disappear. Indeed, a systematic risk factor simultaneously drives the individual risks of a portfolio in the same direction. In such cases, the portfolio consists of positively dependent risks and is often not insurable anymore (e.g. flood insurance).
In this project we will investigate new risk management techniques to manage risks in the presence of large systematic risks such as climate risk, catastrophe risk and longevity risk. We will develop new products that combine different risk management techniques such as securitization, peer-to-peer insurance and conic finance. We explore solutions for problems in pension financing, pandemic insurance and catastrophe bonds.
* you will carry out the research project in an international environment and will benefit from a long-standing and fruitful collaboration with the Insurance group in the Faculty of Business and Economics.
* You follow the doctoral program of the Arenberg Doctoral School, offering trainings in research skills and soft skills.
* You give exercise classes in mathematics and statistics for courses taught by members of the Department of Mathematics.
* You assist in the guidance of bachelor projects and master theses.
* You assist in the organization of workshops, conferences and other research and teaching activities.
Profile
* Candidates must hold a master degree in Mathematics or Statistics (or equivalent).
* Candidates should have a solid background in probability theory, stochastic processes and optimization.
* Candidates should have experience with programming of scientific software.
* Candidates should be able to teach mathematics exercise classes in Dutch. If your knowledge of Dutch is not sufficient, we ask you to follow language training classes so that after two years your Dutch language skills are sufficient for teaching exercise classes.
* Excellent proficiency in English is required, as well as good communication skills, both oral and written.
Offer
* An international environment in the Statistics and Risk section of the Department of Mathematics, which will support you to your Ph.D. degree.
* A supportive and collaborative team in which you can develop know-how and expertise in state-of-the-art methods in financial mathematics and risk management. .
* The opportunity to build up research and innovation skills that are essential for a future career in finance and actuarial science, both in an industrial and academic context.
* The opportunity to build up an international network and present ongoing research at different universities.
* A scholarship as a Ph.D. student in the section of Statistics & Risk of the Department of Mathematics funded by a FLOF grantfor one year. This can be extended to four years after a positive evaluation. The four-year period allows you to obtain a Ph.D. degree in Mathematics.
Interested?
For more information please contact Prof. dr. Daniël Linders, mail: daniel.linders@kuleuven.be
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