Position as PhD Research fellow (Stipendiat SKO 1017) available at the Department of Mathematics, University of Oslo.
The Department of Mathematics is part of the Faculty of Mathematics and Natural Sciences. The department has three sections: Mathematics, Mechanics, and Statistics and Insurance Mathematics. The position is affiliated with the research group in Stochastic Analysis, finance, insurance and risk. This research group has members both from the section of Mathematics and the section of Statistics and Insurance Mathematics.
Project description:
In recent years insurance companies in a series of European countries have been comitted to implement several new initiatives of supervision and politics in their insurance business. These guidelines are known under the notion of Solvency II. The main objective of the new framework is to ensure the ability of the insurer to meet all its liabilities.
The Solvency II regime encompasses guidelines that are required to be risk-adjusted and based on market-consistent valuation of the balance sheet of an insurance company. Other important aspects of this regulatory framework pertains to asset and liability management (ALM) in insurance companies, that is the financial risk management of insurance companies.
The PHD project will be a part of the project "Quantitative Risk Analysis and Risk Management in Insurance", and it will refer to the development and implementation of stochastic models for quantitative risk management and risk analysis under the Solvency II regime (in particular in Norway).
