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Actuarial science and financial mathematics

Actuarial science identifies, analyzes and models the financial risks borne by financial institutions such as insurance companies, public and private pension systems and banks. Actuaries are responsible for quantifying the cost of insurance and pension products, as well as managing investment portfolios under specific constraints. Because of their random nature, these issues require rigorous mathematical frameworks, rooted in the areas of probability, stochastic processes and statistics.

Over the past few decades, financial mathematics has become a major research area, where both practitioners and mathematicians interact in a very dynamic way. Products of increasing complexity are introduced on the international financial markets, the pricing of which requires advanced tools in stochastic analysis. Methods that were developed in other fields (partial differential equations, simulation, …) became highly useful and relevant to these modelling problems.

The research group in actuarial and financial mathematics is active in a wide range of problems of both theoretical and practical nature: pricing of motor insurance, loss models, reserving, pensions, quantitative risk management, surplus models and ruin theory, estimation and application of jump diffusions to finance and insurance, pricing of derivatives, computational finance and simulation.

Prospective PhD students

The Actuarial and Financial Mathematics research group is looking for dynamic PhD students. These students should have excellent skills in the fields of actuarial science and financial mathematics or in related fields. The group guarantees a minimum funding of $ 16,000 - $ 20,000 for four years. To this core funding, several supplements can be added through internships (usually $ 15,000 for a period of four months) and scholarships. Those interested must apply for either the doctorate in mathematics, actuarial and financial mathematics option, or the doctorate in statistics, depending on the interests and skills of the candidates. It is not necessary to have a confirmed research supervisor at the time of the application.

The professors working in this discipline are :