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Optimal design of structured products: risk sharing and financial fairness

PhD Studentship – The project aims to design new products that can be used by insurance companies to smooth investment returns for their customers

The focus is on new mechanisms for investment risk sharing between customers, and between customers and the insurance company.  Research in this area is becoming increasingly important as more individuals must provide for their own retirement without the security of an employer-backed pension promise.

This project will involve stochastic models for financial markets, stochastic optimization techniques and application of economic theory on inter-generational risk sharing.

ARC scholar:  Zhaoxun (William) Mei
University: Heriot Watt University 
Period of research: May 2015 – September 2018
Academic supervisors:  Catherine Donnelly, Andrew Cairns
Outputs:

 

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Contact Details

If you have any questions or wish to discuss any aspect of research carried out through the Actuarial Research Centre (ARC), please contact the Research and Knowledge Team.

arc@actuaries.org.uk