Stochastic analysis, finance, insurance and risk
This research group works with how to analyse and control different forms of risk: economic, financial, insurance technical and technological. Do you know how important this is? All of finance and insurance industry evolves around this, in the same way as all planning and control of large projects.
About the group
Stochastic analysis is a mixture of mathematical analysis and probability theory with many applications in fields like mathematical finance, biology, energy and insurance. By using advanced stochastic processes and techniques from stochastic analysis, we investigate various problems within these fields, like for instance optimal management of portfolios and harvesting in biological systems. This involves stochastic control theory, where for instance partial differential equations play a crucial role. Our group also enjoys a close collaboration with insurance mathematics, where stochastic modeling and analysis are used for understanding the risk in insurance. The group also contributes to more general research on how to manage risk in technical/financial systems. Stochastic analysis is a vital research field by its own, and we are active in contributing to the theoretical development. However, we are largely involved in various applications of these theories as well.
The group consists of employees of both the mathematics and statistics divisions. Today it contains 7 professors, 1 associate professor, 1 governmental grant holder and a variable number of post docs, phd-students and several professor IIs. Parts of the group is associated with CMA, a Norwegian Center of Exellence funded by the Norwegian Research Council.
The groups research ranges from the theoretical to the applied with the main activity within these areas:
- Stochastic analysis
- Mathematical finance
- Energy finance
- Reliability and industrial risk
- Spatial-temporal statistical modelling and risk
- Electricity markets: modelling, optimization and simulation (EMMOS)
- Innovations in Stochastic Analysis and Applications with emphasis on Stochastic Control and Information (INNOSTOCH)
- Managing Weather Risk in Electricity Markets (MAWREM)
Members of the group has a wide variety of cooperation in research and education with researchers, industry and universities in many countries. One of the members of the stochastic part of the group is involved in developing mathematical research and phd-programmes in Africa.
Academic programmes and courses
This research group is involved in several programme options in two bachelor programmes and two masters programmes:
The group is responsible for the programme option that will qualify students as actuarians (Norwegian link), and supervise master- and phd-students within the areas of stochastical analysis, finance, insurance and risk.
The group offers these courses