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Actuarial Science & Mathematical Finance


Actuarial Science & Mathematical Finance

Programme design

Asset and liability management for insurance contracts and pension obligations can often be formulated in terms of optimal investment and consumption problems. Typical for such actuarial risk management problems are the relatively long time horizons, necessitating investment in less liquid assets and making the mitigation of interest rate risk more difficult. For pension funds, investment goals are often stated in real instead of nominal terms which complicates the dynamic optimisation problem. There is also the added challenge of longevity risk, since life expectancy continues to rise faster than was predicted earlier in most Western countries. Stochastic models for liquidity, inflation, and future survival rates, and their consequences for the valuation and risk management of annuities and pension contracts therefore constitute an important area of investigation.

Supervision and regulation of insurance companies and pension funds form another important part of the research programme. Methods for risk measurement and the determination of solvency requirements have come under intensified scrutiny in the wake of the recent financial crisis. The new European regulatory framework Solvency II for insurers and the Dutch FTK regulation for pension funds have therefore led to many new research questions. Researchers in this programme contribute fundamentally to mathematical models for market-consistent pricing in incomplete markets and to the further development of actuarial risk theory. This includes the development of robust methods for risk measurement and management that explicitly take model risk (ambiguity) into account. This also includes the development of methods to evaluate and mitigate systemic risk in the broader financial sector. From an applied perspective, researchers in this programme actively participate as scientific advisors in policy discussions on the new architecture of financial regulation and supervision.

Present-day challenges in non-life insurance contracts include the detection of insurance fraud, premium rating and claims reserving and the estimation of unreported claims. In this research programme techniques have been developed which tackle such issues by the use of Generalized Linear Mixed Models. These methods can also be used for survival modelling, graduation, multiple-state insurance models and risk classification and as such allow the unification of several distinct actuarial subfields.

Research Report ASMF 2017 Research Report ASMF 2016 Research Report ASMF 2015