Integrated strategies for measuring and hedging the risks of financial and insurance products, with applications to non traditional markets and assets
Scientific-Disciplinary Group
13/STAT-04 - Mathematical Methods For Economy, Finance And Actuarial Sciences
Description
The project aims at developing mathematical and statistical methodologies for measuring, modeling, and hedging risk in financial and insurance products, extending analysis to non traditional markets and assets. The research will analyse nonlinear stochastic models and multiscale dynamics to capture heavy tails, jumps, and complex dependencies between market and actuarial risks, including contagion and regime switching. Robust inference and calibration techniques will be proposed and numerical algorithms for pricing and technical reserves (advanced Monte Carlo, PDE based schemes, deep learning). Hedging and stochastic control problems will be addressed under market frictions and regulatory constraints, evaluating dynamic and strategic hedging solutions. Research includes validation on real world data, sensitivity and stress testing, and development of reproducible tools for practitioners
Working time
Other
Number of positions
1
View the original posting on the MUR website: Go to MUR website