Listed here are completed research projects which were co-funded by the Actuarial Profession and the Engineering and Physical Sciences Research Council (EPSRC).

Third round

Asset price dynamics under aggregated decision making in financial markets with uncertainty and external constraints
Principal Researcher: Jon Danielsson

Some of the papers that resulted from the grant are available in the Project conference webpage

Other project outcomes can be found as follows:

• On time-scaling of risk and the square-root-of-time rule. Jon Danielsson and Jean-Pierre Zigrand.
  Journal of Banking and Finance. 2006, 30(10), p.2701-2713
• Comparing downside risk measures for heavy tailed distributions. Jon Danielsson, B N Jorgensen, Mandira Sarma and C G de Vries
  Economics Letters. 2006, 92(2), p.202-208
• Asset price dynamics when traders care about reputation. Amil Dasgupta and Andrea Prat
  CEPR Discussion Paper no.5372 (2005)
• Risk and liquidity in a system context. Hyun Song Shin
  BIS Working Paper no.212 (2006)
• A theory of strategic intermediation and endogenous liquidity. Jean-Pierre Zigrand and Rohit Rahi
  EFA 2004 Maastricht Meetings paper 5330

Second round

Optimal premium pricing of non-life insurance
Principal Researcher: Steven Haberman

• Optimal strategies for pricing general insurance. Paul Emms, Steven Haberman and Irene Savoullia.
  Insurance: Mathematics and Economics, 2007, 40(1), p.15-34.
• Asymptotic and numerical analysis of the optimal investment strategy for an insurer. Paul Emms and Steven Haberman.
  Insurance: Mathematics and Economics, 2007, 40(1), p.113-134.
• Pricing general insurance with constraints. Paul Emms.
  Insurance: Mathematics and Economics, 2007, 40(2), p.335-355.
• Pricing general insurance using optimal control theory. Paul Emms and Steven Haberman.
  ASTIN Bulletin, 2005 35(2), p.427-453
• Dynamic pricing of general insurance in a competitive market. Paul Emms.
  ASTIN Bulletin, 2007, 37(1). To appear.
• Pricing general insurance in a reactive and competitive market Abstract. Paul Emms.
  10th International Congress on Insurance: Mathematics and Economics. 2006
• Optimal management of an insurer's exposure under premium control Abstract. Paul Emms.
  10th International Congress on Insurance: Mathematics and Economics. 2006

First round

Customer value management and customer lifetime value
Principal Researcher: Lyn Thomas

• The impact of demographic and economic variables on financial policy purchase timing decisions. Lyn Thomas, Stephen Thomas, Leilei Tang and Owain ap Gwilym
• It’s the economy stupid: modelling financial product purchases. Leilei Tang, Lyn Thomas, Stephen Thomas and Jean-Francois Bozzetto

Distributed risk management
Principal Researcher: Saul Jacka

• On the density of properly maximal claims in financial markets with transaction costs. Saul Jacka and Abdelkarem Berkaoui
  The Annals of Applied Probability 2007, 17(2), p.716–740
• On decomposing risk in a financial-intermediate market and reserving. Saul Jacka and Abdelkarem Berkaoui
• No arbitrage and closure results for trading cones with transaction costs. Saul Jacka, Abdelkarem Berkaoui, and Jon Warren