Vacancy

School of Mathematical and Computer Sciences

Department of Actuarial Mathematics and Statistics

Academic Fellowship (tenure track) in Actuarial and Financial Mathematics

• have a strong track record in research in actuarial or financial mathematics,
• have the technical skills necessary to make a significant contribution to the research and the reputation of the Department, and,
• possess the communication skills to teach at a range of levels.

It is anticipated that the person appointed should start late in 2005 or some time during the first 6 months of 2006 by negotiation.

The Academic Fellowship is a new type of position which is partially funded by Research Councils UK.

• The position being advertised is a permanent position within the university. However, the nature of the appointment will change after a period of 5 years.
• The fellowship itself runs for the first 5 years of the appointment. The duties of the Fellow will be restricted to research and teaching with no significant administration. The teaching load will be lighter than a permanent lecturer within the department and will include supervision of masters projects over the summer months as well as a limited number of lecture courses over the 5 years.
• At the end of the 5-year fellowship the Fellow will be offered a permanent position within the department at a level appropriate to their experience at that time.

The Actuarial Mathematics and Statistics group forms part of the School of Mathematical and Computer Sciences at Heriot-Watt University. The group is internationally renowned both for its research in all of Actuarial and Financial Mathematics, Probability Theory and Statistics. Current teaching includes undergraduate and postgraduate courses in actuarial mathematics and statistics and occasional courses for continuing professional development. Both our MSc and BSc courses are highly successful and attract large numbers of students from around the world as well as from the UK. These long-established courses have been complemented more recently by the highly-successful MSc (the first of its type in the UK) and BSc courses in financial mathematics.

Staff are encouraged to develop or maintain contacts leading researchers around the world and with professional, industrial, commercial and research organisations.

Research

The outstanding international reputation of the department was acknowledged in December 2001 with the award of a grade 5 (within the subject area of Statistics and OR) in the UK Research Assessment Exercise (RAE).
This award identified the group as the leading centre of research in actuarial mathematics in the UK.

Current research interests include:

• Actuarial Mathematics Group and Financial Mathematics Group:
  • incomplete markets;
  • optimal utility and dynamic hedging;
  • derivative pricing;
  • models for the term structure of interest rates;
  • exotic options;
  • Levy processes in financial mathematics;
  • the application of control theory in insurance;
  • stochastic investment models;
  • the impact of genetic testing on insurance;
  • risk theory;
  • permanent health insurance;
  • mortality studies;
  • stochastic models in life insurance and pensions.
• Probability and Statistics:
  • Epidemic modelling;
  • stochastic population modelling;
  • stochastic networks, with applications to communications networks;
  • probability and algorithms;
  • stochastic partial differential equations;
  • applied statistics, with applications to engineering and biology;
  • environmental statistics;
  • design of experiments.

The Department is able to provide generous support for participation in international conferences and workshops.

Further details can also be found in the Department's Annual Report for 2001-02.

Teaching

Current teaching in the Department includes:

• undergraduate courses for the Honours degrees in Actuarial Mathematics & Statistics, Financial Mathematics, and Statistics;
• postgraduate courses for the MSc in Actuarial Science;
• postgraduate courses for the MSc in Financial Mathematics;
• part-time courses for actuarial trainees from local companies.

Job Qualifications

Applicants should

• have an established research record in actuarial or financial mathematics and a desire to develop a programme of research at the interface between the two subject areas;
• have the technical skills necessary to make a significant contribution to the research and the international reputation of the Department, and,
• possess the communication skills to teach at a range of levels.

The person appointed will be expected to contribute (in a limited way during the 5-year Fellowship) to the Department's teaching activities on the BSc and MSc degrees, including project supervision, and to carry out high-quality research (or develop their research) in actuarial and financial mathematics.

Persons wishing to discuss these opportunities informally and in confidence may contact
Angus Macdonald, (+44 (0)131 451 3202) (e-mail A.S.Macdonald@ma.hw.ac.uk).

Application forms and further information may be obtained from: Human Resources, Heriot-Watt University, Edinburgh, EH14 4AS, UK or phone +44 (0)131 451 3475 (24 hours); Minicom +44 (0)131 451 8212 quoting the reference number 137/05/WWW or use the HR's Job-Related Enquiries Form.

The closing date for applications is 28 October 2005.

Interviews will be probably held late in 2005.

• Return to the Department's home page
• Maxwell Institute for Mathematical Sciences
• Department's Annual Report for 2001-02.
• Staff
• Department of Mathematics
• International Centre for the Mathematical Sciences (ICMS)
• Heriot-Watt University home page
• The department's guide for undergraduate students 2003/2004.
• MSc in Actuarial Science course brochure.
• MSc in Financial Mathematics course brochure.

Andrew Cairns / Department of Actuarial Mathematics and Statistics/ Heriot-Watt University / Edinburgh, EH14 4AS