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. 

Research Reading Groups: 

1. Ruin Theory Reading and Lectures (LGS year long lecture series) (Sept.2013 - June 2014)

Lecturers: Dr. Andrea Macrina (UCL Mathematics) and Dr. Gareth W. Peters (UCL Statistics)

Tuesday evenings during term - 5-8pm (email: gareth.peters@ucl.ac.uk or a.macrina@ucl.ac.uk for details)

2. Heavy Tailed Processes and Financial Mathematics (Jan. 2014 - June 2014)

Time and place to be decided - topics to be discussed in first meetings

3. Operational Risk and Basel II/III Discussion Group: NORM (Network of Operational Risk Modellers)

Next meeting: Thursday January 16, 2013 at UCL, 5.00 pm – 7.00 pm

Details - email: Ariane Chapelle (ariane@chapelleconsulting.com) or (gareth.peters@ucl.ac.uk) 

4. Insurance and Catastrophe Modelling: (Jan. 2014 - June 2014)

Time and place to be decided - topics to be discussed in first meetings

Theme members 

Name Position 
 Dr. Gareth Peters (QRSLab) (Theme Lead) Lecturer - Statistics
 Dr. Codina Cotar  Lecturer - Statistics
 Prof. Sofia Olhede  Professor - Statistics
 Dr. Ioannis Kosmidis  Lecturer - Statistics
 Dr. Serge Guillas  Reader - Statistics
 Dr. Giampiero Marra  Lecturer - Statistics
 Dr. Alvaro Cartea  Reader - Financial Mathematics 
 Dr. Earl Barr  Lecturer - Computer Science
 Dr. Matina Rassias  Lecturer - Statistics
 Dr. Andrea Macrina   Senior Lecturer - Financial Mathematics

Theme members (Associates)

Name Position 
 Dr. Remy Cottet Researcher - Deputy Head of Strategic Research at AHL and Oxford-Man Institute
 Prof. Mario Wuethrich  Prof. (Titular) ETH Risk Lab - D-Math
 Prof. Swiss Finance Institute
 Honorary Prof. (UCL)
 Visiting Honary Prof. (Cass Business School)
 Prof. Pavel Shevchenko  Senior Principle Research Scientist CSIRO, Team Leader Financial Risk Management, Commonwealth Scientific and Industrial Research Organisation
(Co-Founder QRSLab)
 Prof. Pierre Del Moral

 Professor - University of New South Wales, Sydney Australia.

Previously: INRIA Research Director INRIA Bordeaux-Sud Ouest; Professor charge de cours Ecole Polytechnique (CMAP)

 Dr. Jaideep Oberoi  Lecturer in Finance - Center for Actuarial Science, Risk and Investment, Kent Univestity 
 Dr. Guillaume Bagnarosa  Director of Research, Molinero Capital Management
 Dr. Peng Hu  Research Fellow Oxford-Man Institute, University of Oxford
 Prof. Arnaud Doucet  Professor - Department of Statistics, University of Oxford
 Prof. Mike Pitt  Prof. - Department of Economics, Warwick University

PhD Student members 

Name Position 
 Kylie-Anne Richards University of New South Wales (UNSW)
 Alice Xiaodan Dong  University of Sydney
Rodrigo Targino   University College London 
 Emmanouil Karimalis  Cass Business School
Matthew Ames   University College London 
 Guy Vishnia   University College London 
 Antonio Dalessandro   University College London 
 Efstathios Panyi   University College London

Recent Research Activities (Last updated: 05/01/2014)

(Members - please send me research highlights to add)

  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 ].

Upcoming Conferences (Last updated: 05/01/2014)

Risk and Insurance Events

  1. March 26-27, 2014, OpRisk North Americahttp://www.oprisknorthamerica.com/
  2. March 2014 Amsterdam: http://www.riskmindsinsurance.com/page/speakers The 3rd Annual RiskMinds Insurance
  3. 2015 Europe (tba): http://www.wriec.org/index.htm - World Risk and Insurance Economics Congress 
  4. April 1-3, 2014, Quant Europe:  http://www.quanteurope.com/static/home
  5. March 20-22, 2014, Spring School in Risk Management, Insurance and Finance, St. Petersburg (http://www.eu.spb.ru/econ/projects/srmif)
  6. July 10-12, 2014,  Insurance: Mathematics and Economics Congress

Econometrics and Financial Mathematics Events

  1. Nov. 13-15 2014 Chicago: http://www.siam.org/meetings/fm14/ SIAM Conference on Financial Mathematics and Engineering

High Frequency Trading, Limit Order Book Events

  1. 2014 (tba): http://www.wbresearch.com/tradetecheurope/ TradeTech HFT

Page last modified on 05 jan 14 21:59