RESEARCH AREAS

Stochastic Modelling in Finance and Insurance:

Risk and Uncertainty in Insurance, Finance and Climate related problems.

Pricing and Hedging of financial instruments and insurance products in stochastic models; in particular with several underlying assets and multiple risks.

Equity and Interest rate processes, Derivatives, Credit risk and XVA.

Regime switching models.

Risk modelling and risk management in finance and insurance.

Optimal Control problems: for example in pension funding (inflation, salaries, mortality)

Study of stop-loss premiums of a sum of dependent variables.