Barclays Africa Chair in Actuarial Science
The main aim of the Barclays Africa Chair in Actuarial Science is to establish a centre of research excellence in the Department of Insurance and Actuarial Science. This will be achieved through the development of research by the Chair itself, through multidisciplinary research collaboration and also through the establishment of a strong postgraduate research programme.
The multidisciplinary nature of actuarial research makes it imperative to include experts across a wide range of disciplines into actuarial research investigations. Currently, the Research Chair is involved in research collaboration with academics from a range of disciplines, either through research projects or through postgraduate supervision. These disciplines include Mathematics, Statistics, Engineering and Geosciences.
The Research Chair is actively collaborating with other finance and risk related research fields within the university, including the Barclays Africa Banking Law Chair. In addition, joint research projects with other universities (such as North-West University), industry players (specifically including Barclays Africa) and research centres (such as the UP Natural Hazard Centre) form an important part of the Chair’s activities and objectives. The strengthening of research ties with actuarial academics throughout Africa is envisioned. This could be achieved through postgraduate education and the mentoring of upcoming African academics and the consequent establishment of research networks in Africa.
The department experienced a remarkable growth in postgraduate students during the past year and is continuing to do so. This includes both South African and international students. The Research Chair will develop its postgraduate research programme further through the identification of promising postgraduate researchers and through the offering of funding incentives and bursaries.
Research focus areas
Through its activities, collaboration and postgraduate research programmes, the Research Chair aims to make contributions in the following areas:
- Assessment of the implications of banking and insurance capital adequacy regimes such as Basel 3 and Solvency 2;
- Extreme risk modelling – Reinsurance, Insurance Risk, Operational Risk, Credit Risk, Market Risk applications, e.g.
- Modelling of worst-case losses – applying earthquake modelling methods to financial problems
- Investigating maximum probable loss in the event of natural catastrophes
- Risk portfolio theory – investigating the dependencies between portfolio constituents in the context of large losses
- Low-probability, high-impact events
- Intelligent systems (multidisciplinary research with Electronic Engineering department)
- Financial modelling with Artificial Neural Networks (ANN’s) and machine learning methods
- Computationally intensive investigations, involving IBM Supercomputer
- Fraud detection
- Credit risk investigations
- Modelling innovation (overlapping with the above), in respect of:
- Economic Capital Modelling, using advanced statistical approaches, including:
- Mathematical development and refinement of existing models
- Regulatory and policy development
- Optimisation of internal models
- Harmonising of financial regulation in Africa, together with
- Calibration of regulatory capital requirements
- Investigating the implications of retirement reform in South Africa and Africa
- Big ideas, including
- “Black swans” (Taleb) vs “Dragon Kings” (Sornette)
- Unconventional approaches towards financial modelling such as applying quantum statistical formalism to financial problems
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Last edited by Frederik BeyersEdit