King’s is now inviting applications for one of the Professor Sir Richard Trainor PhD Scholarships in the Department of Mathematics at King’s College London in collaboration with Pensions Policy Institute. The scholarship will commence from October 2016 onwards and is open to new incoming PhD students only.
The UK pension landscape is changing rapidly and there is an urgent need for a consistent framework in which to value and risk manage longevity related financial products.
Poor risk management of defined benefit investments and annuities has resulted in over-pricing and the consequent unpopularity of such products with the public. Since April 2015 it has no longer been necessary for defined contribution pensions to be converted into an annuity at retirement. Retirees now have considerable flexibility on when they can access their pension savings and how they can invest. A large growth in the range of available post-retirement products is to be expected. There will be a corresponding demand for techniques to value and manage these products. The risk management approach of financial mathematics has the potential to transform the pensions and annuities industry and to provide better retirement incomes for all.
Modern techniques of financial mathematics provide a novel approach that unifies risk management, accounting as well as pricing and hedging of pensions products under a coherent quantitative framework. Instead of simple rules of thumb, it derives the values of financial products from the costs of their risk management. This differs markedly from actuarial discounting rules as well as from classical risk-neutral valuation principles of financial mathematics. Instead of analytically tractable models, the risk management-based approach builds on comprehensive stochastic models of pension schemes that often have largely unhedgeable risks. The loss of analytical tractability is well compensated by the computational possibilities this approach offers for risk management of pension assets and liabilities.
The successful candidate will work on implementation and application of mathematical models for pensions risk management. The PhD-project combines mathematics (stochastics and optimisation), and programming with financial economics of the UK pension system.
In the 2015 REF, 77% of research activity by the Department of Mathematics was assessed as ‘world leading or internationally excellent’. It is a research-led department with a strong reputation for contribution to scholarship, teaching and practice. The Department is located on the Strand Campus of King’s College London where the studentship will be based.
Lead Supervisor: Professor Teemu Pennanen
Second Supervisor: Dr John Armstrong
Partner Organisation Supervisor: Chris Curry
Application documentation: applicants must complete and submit:
- a CV
- a transcript and MSc certificate in Mathematics or related area
- personal statement explaining why they would be suitable
to firstname.lastname@example.org by 12pm (UK BST) on 29 February 2016. The subject line of the email should read ‘RT Scholarship 1617 – Asset Liability Management of Longevity Risk’.
All documents should be submitted as a single pdf.
Two academic references must be received by the deadline for the application to be eligible. Candidates are responsible for instructing referees to submit their references to email@example.com using the subject line ‘RT Scholarship 1617 – [name of applicant]’.
Selection: Please note that as part of selection, short-listed candidates will be invited for interview (via Skype).
Funding Details: The scholarship will provide an annual payment of £15,000 which can be used to cover tuition fees and/or living costs. In addition, £3,000 per annum will be provided by the partner organisation.
Length of Award: 3 years (PhD)