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Department of Applied Finance and Actuarial Studies

AFAS Staff Research Interests

Research Area of InterestStaff Member

Actuarial websites

Jim Farmer

Adverse selection  

Piet De Jong

Agency Theory and Risk ManagementElizabeth Sheedy

Annuities

Jim Farmer

Application of statistics to actuarial work

Timothy Kyng

Asset Allocation in Finance & InsuranceKen Siu
Asset Allocation (Strategic, Tactical and Dynamic)Dan Daugaard
Asset Allocation with Changing RiskRob Trevor
Asset and Liability Management for Life Insurance CompaniesDan Daugaard
Asset PricingStefan Trueck
Basis Risk and Optimal HedgingBernd P. Luedecke
Catastrophe insurance modellingJiwook Jang
Credibility TheoryXian Zhou
Credit Risk ModellingKen Siu
Econometrics of Financial MarketsStefan Trueck
Equity and Fixed Income Risk PremiaDan Daugaard
Employee Share and Option PlansElizabeth Sheedy
Energy MarketsStefan Trueck
Executive Option SchemesRob Trevor
Finance: Asset Pricing

Geoff Loudon

Finance: Corporate Finance

Geoff Loudon

Toomas Truuvert

Finance: Derivatives Pricing and Hedging

Geoff Loudon  
Ryle Perera

Finance: Finance EducationToomas Truuvert
Finance: Fisherian Economics in Corporate Finance Theory and PracticeToomas Truuvert
Finance: History of Economic ThoughtToomas Truuvert
Finance: Portfolio Management

Geoff Loudon

Financial derivatives pricingJiwook Jang

Financial Mathematics

Timothy Kyng

Financial Risk ManagementElizabeth Sheedy

Generalized linear modelling

Piet De Jong

Hedging Long-Term OptionsRob Trevor
Mathematical FinanceRyle Perera
Measuring and Managing Changing RiskRob Trevor
Measuring credit/longevity/operational riskJiwook Jang
Modelling Changing CorrelationsRob Trevor
Monitoring, Measuring and Modifying the Market Risk on a Swaps PortfolioBernd P. Luedecke

Mortality and morbidity of insured live

Leonie Tickle

Mortality forecasting

Piet De Jong

Leonie Tickle

Optimal Asset AllocationFrank Ashe
Optimal Portfolio ConstructionDan Daugaard
Portfolio Performance MeasurementRob Trevor
Pricing and Hedging Financial and Insurance RiskKen Siu
Pricing and Hedging GARCH and stochastic volatility optionsRob Trevor
Private Wealth ManagementSteve Christie
Real Estate EconomicsStefan Trueck
Real Time Identification of Profitable Trading OpportunitiesBernd P. Luedecke
Regime Switching ModelsKen Siu
Research in Financial EconomicsStefan Trueck

Return to work modelling

Piet De Jong

Risk classification

Shauna Ferris

Risk Management (credit and operational risk)Stefan Trueck
Risk Management by Non-Financial CorporationsElizabeth Sheedy
Risk Management for Fund Managers


Elizabeth Sheedy

Risk Measures and ManagementKen Siu

Runoff Triangle forecasting

Piet De Jong

Screened Investments (Ethical and Environmental)Dan Daugaard

Solvency regulation for financial institution

Shauna Ferris

State space modelling

Piet De Jong

Stochastic FinanceKen Siu
Stochastic SchedulingXian Zhou

Surrender value

Jim Farmer

Survival AnalysisXian Zhou

Term Insurance

Jim Farmer

The Impact of Company Hedging PoliciesShane Magee