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Department of Mathematics

Financial and insurance mathematics

Mathematical finance is concerned with mathematical/probabilistic modelling of financial markets. Our research in mathematical finance belongs to derivatives pricing and portfolio/risk management.

Actuarial science applies mathematical / probabilistic methods to assess risk in insurance and finance. Our research in actuarial science belongs to analysis and optimisation of insurance systems including dividend payment, reinsurance, and investment. We aim at promoting and capitalising on the strong interplay between finance and insurance.

We tackle challenging mathematical problems in mathematical finance and actuarial science. As a prime example in mathematical finance we study nonlinear optimal stopping problems and nonlinear optimal stochastic control problems aiming to maximise investment returns and minimise their risk. This leads to novel concepts of optimality which require development of new methodologies for solving the problems. As a prime example in actuarial science we study various optimal stochastic control problems in ruin theory which have applications to enterprise risk management. This includes optimal dividend problems, optimal switching between business lines problems, and the general study of (Levy) insurance risk processes, among others.

We collaborate with researchers and professionals from the UK and worldwide. More information about our research can can be found by browsing the web pages of the staff members. Potential PhD students may e-mail staff directly to discuss possible projects.