AFAS and Quantitative Methodology
The Accounting, Finance and Actuarial Science (AFAS) group provides a home for a number of researchers with disciplinary backgrounds in mathematics, statistics and economics who develop and apply advanced quantitative methodology to address problems in finance, insurance and business.
Our strengths in rigorous quantitative and theoretical research are an important part of our distinctive identity. We are also relatively unusual, in a UK context, in embedding actuarial science in a business school rather than a mathematics environment, which contributes significantly to our critical mass in quantitative methods.
Quantitative finance
We have expertise in high-dimensional and non-linear time series modelling for finance. Recent work includes high-dimensional factor modelling to detect structural breaks in large covariance matrices and copula-based time series models to provide improved forecasts of volatile return series. We are also active in high-frequency finance where our research encompasses the use of advanced AI models to simulate real stock markets and investigate the implications of high-frequency trading, as well as the application of advanced econometric models to examine microstructure noise and efficient prices.
Quantitative risk management
Much of our work in this area has been prompted by prudential regulation of the financial and insurance industries – see also our Regulation theme. It includes models for capital and solvency, methods for model validation and a particular specialty in the modelling of dependent risks. Our work in this field has influenced the development of methods used in industry and benefits from good relationships with researchers at the Federal Reserve and in the insurance industry.
Life insurance and pensions mathematics
We are interested in mortality modelling, the effects of Covid and other pandemics on mortality, pensions and household finance, as well as the construction of economic scenario generators for applications in life and pensions. We have a particular strength in actuarial calculations for workplace injury and wrongful death through our research centre CAVOL which collaborates with the Ogden Working Party.
Risk theory and non-life insurance
Our research in this area involves the development of stochastic processes to model the fundamental components of non-life insurance policies, financial instruments and insurance cash flows. This includes models for the frequency and severity of insurance losses, premium pricing methods, capital income models, the effect of external environments and solvency measures.