Financial Risk, Insurance, Econometrics and Stochastic Finance

Theme Overview

This theme has a research program that encompasses a range of theoretical, methodological and applied problems encountered in financial risk, insurance, economics and finance. Each topic is covered from a statistical and stochastic process perspective. Examples of active areas include topics ranging from Solvency II, Basel III, non-life insurance, re-insurance, catastrophe bonds and insurance linked securities, Operational Risk, commodity modelling, econometrics, limit order book modelling, high frequency trading and execution algorithms and currency carry. 

Theme members

Name Keywords
Gareth Peters (Theme Lead)
Filtering methods, high frequency trading and algorithmic trading; insurance modelling (life and non-life); risk management (operational risk, market risk, credit risk); time series and state space models in econometrics
Petros Dellaportas
Inference for diffusions; volatility modelling
Serge Guillas
Catastrophe modelling; tsunami hazard modelling
Giampiero Marra
Bankruptcy prediction of small and medium enterprises
Matina Rassias
Stochastic analysis; stochastic functional differential equations and applications

Other members: Sofia Olhede.

Some of our current PhD students are also working on topics related to this theme.

Recent Research Activities

  1. Josef Dick, Frances Y. Kuo, Gareth W. Peters, and Ian H. Sloan (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2012, Springer-Verlag, 2014.
  2. Targino R., Peters G.W. , Sofronov G. and Shevchenko P. "Optimal Insurance Purchase Strategies via Optimal Multiple Stopping Times"  [arXiv: 1312.0424].
  3. Peters G.W., Targino R. and Shevchenko P. "Understanding Operational Risk Capital Approximations: First and Second Orders." [arXiv: 1303.2910]. [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
  4. Shevchenko P. and Peters G.W. "Loss Distributional Approach of Operational Risk Capital Modelling under Basel II: Combining Different Data Sources for Risk Estimation." [Invited Special Issue to coincide with 8th International conference "International Competition in Banking: Theory and Practice", Sumy, Ukraine, 2013.]
  5. Panayi E.,Peters G.W., Danielsson J. and Zigrand J.P. "Structural Models for Intra-day Liquidity and Resilience in Limit Order Book." [arXiv: ].
  6. Matthew Ames, Guillaume Bagnarosa and Peters G.W. "Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades." [arXiv: 1303.4314 ].
  7. Richards K.A.,Peters G.W. and Dunsmuir W. "Heavy-Tailed Features and Empirical Analysis of the Limite Order Book Volume Profiles in Futures Markets." [arXiv:1210.7215 ].
  8. Del Moral P., Peters G.W., and Verge Ch. "An introduction to particle integration methods: with applications to risk and insurance." [arXiv: 1210.3851 ]
  9. Peters G.W., Dong, A. and Kohn, R. "A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving" [arXiv:1210.3849 ].