PhD Project: Designing a method to hedge European (social) welfare risk.

September 26th, 2016

In the field of actuarial science modelling mortality rates has always been of the upmost importance. The actuarial profession established around the mathematical principles of predicting and pricing life expectancies. In the late 20th and early 21st centuries the issue of accurately modelling mortality rates has become the key concern of actuaries.

The intersection of actuarial work and financial product development has recently come under in- creased attention as banks attempt to develop methods to transfer longevity risk from the tradition- al pension scheme / insurance company / state government to the financial sector more generally. This has been in the form of longevity future and forward contacts, longevity swap contracts and to a lesser extent longevity bonds.  These  instruments,  similar  in  structure  to  the  equivalent  interest rate risk products, are designed to provide a way to transfer longevity risk from the holder (pension schemes, life insurance companies, governments etc) to the banks and capital markets.

This project will consider the feasibility of designing and implementing an European welfare bond, to increase the stability of European countries’ state finances as baby boomers reach retirement, healthcare costs increase, unemployment rates fluctuate and social costs vary from country to country.

The research project will broadly cover:

  1. The identification and  modelling  of causes of  increased  welfare  costs (retirement costs, unemployment costs, disability costs etc).
  2. The design of a bond like product that will smooth those costs by transferring some of the risk from individual countries to the issuer of the European bond (e.g. the European central bank).

The project requires a strong mathematical background and a keen interest to work in the interface of financial mathematics and actuarial science. Applicants should have either a background in Mathematical or Actuarial/Financial Sciences or in relevant fields. A combined education in these fields would be an advantage.

Applications can be made by selecting the below link.

Please attach supporting documentation including a covering letter outlining why you would like to undertake the PhD project and a current CV including 2 referees. Please note that more than one application can be made if  you wish to be considered for more than one PhD project.

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