Doctoral researcher

The goal of this PhD project is to tackle the problems presented by emerging/changing global risks using securitisation. Insurance securitisation allows insurers to cede risks through financial markets. This can be achieved by trading insurance-linked securities on financial markets. My projects focuses on the application of insurance securitisation in various contexts. My first focus will be on modelling mortality dependence. I will work on developing a copula-based model that allows for non-linear and non-symmetric modelling of both auto and cross correlations. I will then improve the model to include time varying mortality dependence. I will use this mortality model to examine the hedge effectiveness borne from implementing insurance securitisation. This will allow us to determine the capital relief that can be achieved through securitisation. The second focus of my project will be on investigating various hedging approaches. Securitisation allows us to split claims into three parts, hedgeable, non-hedgeable but diversifiable and a residual. I will develop new valuation principles based on this split. The headgeable part can be easily priced using existing approaches. For the non-hedgeable part, I will develop general valuation principles that take into account the dependencies between parts. The final area of focus for my research will be on time-consistent valuation of insurance cash flow streams. I will generalise existing results for a single contingent payment to a cash flow stream case. Particularly, the dependency structure between payments will be an important consideration for this project. There will be a focus on producing straightforward valuation techniques so practitioners can adopt them easily.