Research areas

Finance

Basel II

Modelling of total economic capital

Modelling of market risk

Modelling of credit risk

Modelling of operational risk

Solvency II: Calculation of the best estimate of technical provisions

Solvency II: Models for market risk

Risk premium estimation in non-life insurance

Applying climate scenarios for predicting future premiums in non-life insurance

Large claims and extreme value theory

Geopricing

Hierarchical Bayesian premium rating with latent variables.

Asset Liability Management (ALM) modelling

Pricing of interest rate guarantees

Short-term and long-term forecasting models

Models for C02, electricity, gas, coal and oil prices

Models for the nordic and continental markets

Models for spot and forward prices

Pricing of power derivatives

IFRS valuation

Net present value with uncertainty