Master Student Research Grant

The CEMAPRE (Center for Applied Mathematics and Economics) opens a call for applications for one (1) Research Grant (BI) for Master Students withing the framework of the Research project “Optimal-Re: Optimal reinsurance with dependencies”, with the reference EXPL/EGE-ECO/0886/2021, funded by national funds through FCT/MCTES (PIDDAC), Fundação para a Ciência e Tecnologia, under the following conditions:

1. Scientific area: Mathematics, Probabilities and Statistics, Economics, Management, or related areas.

2. Admission requirements: Master student in the scientific areas mentioned in with completed curricular units in Financial Mathematics. Undergraduate Degree in one of the areas mentioned in point 1. English language proficiency.

3. Preference factors: Having completed curricular units in Stochastic Calculus and Stochastic Control. Programming experience.

4. Contracting requirements: Evidence of the elements of point 2 of this notice.

5. Work plan: Without prejudice to other functions inherent to the proper functioning of the research project, the work plan includes:

a) Study of the problem of reinsurance in the presence of dependencies;

c) Analysis of the stochastic process of wealth of an insurance company and the probability of ruin in the presence of reinsurance and dependencies;

d) Optimization of the probability of ruin through reinsurance in the wealth stochastic process with dependencies.

6. Applicable legislation and regulations: The granting of the Research Scholarship will be carried out through the execution of a contract between CEMAPRE and the scholarship holder, as established in the rules for awarding and managing research grants under the Research Fellowship Statute regulation, approved by Law nº40/2004 of 18 August, Decreto-Lei nº 123/2019 of 28 August (available in https://www.fct.pt/apoios/bolsas/docs/Normas_de_Atribuicao_de_Bolsas_202... ) and in accordance with the legislation and Regulation of Research Grants (RBI) of the Fundação para a Ciência e Tecnologica (FCT), I.P. in force, regulation nº950/2019 of 16 December 2019, (available in https://www.fct.pt/apoios/bolsas/regulamento.phtml.pt ) and any other applicable rules.

7. Workplace and scientific supervision: The work will be carried out at ISEG's facilities, located at Rua do Quelhas, 6, 1200 – 781 Lisbon, under the scientific supervision of the project's Principal Investigator, Professor Alexandra Bugalho de Moura.

8. Duration of the scholarship: The scholarship will have an initial duration of 6 months, starting in March 2022, eventually renewable until reaching a maximum duration of 9 months.

9. Amount of monthly maintenance allowance: The amount of the scholarship corresponds to €835.98, according to the table of values of the scholarships awarded directly by FCT, I.P. in Portugal (http://fct.pt/apoios/bolsas/valores ), with payments made monthly by bank transfer. Scholarship holders will benefit from personal accident insurance and, if they are not covered by any social protection scheme, may ensure the exercise of the right to social security by joining the voluntary social insurance scheme, under the terms set out in the Code of Contributory Schemes of the Welfare Social Security System.

10. Selection methods and respective valuation: Candidates will be evaluated through the documentation sent and referred to in point 14 of this public notice and a possible interview. In a first phase, the jury selects the first 4 candidates by analysing the documentation. The 4 selected will be invited for an interview. Each candidate's score will be calculated by:

• Documentation analysis: 60%

• Interview: 40%.

The candidate with the highest score will be selected.

11. Composition of the Selection Jury:

President: Professora Doutora Alexandra Bugalho de Moura (ISEG & CEMAPRE)

Effective Member: Professor Doutor Manuel Guerra (ISEG & CEMAPRE)

Effective Member: Professor Doutor Carlos Oliveira (ISEG & CEMAPRE)

Substitute Member: Professor Doutor João Manuel Andrade e Silva (ISEG & CEMAPRE)

Substitute Member: Professor Doutor Nuno Brites (ISEG & CEMAPRE)

12. Publication/notification of results: all candidates must be notified by email sent by the applicant of the contest with the submission of the minutes of the selection meeting. After communicating the provisional list of evaluation results, candidates have a period of 10 working days to, if they so wish, speak at a prior hearing of interested parties, under the terms set out in the Code of Administrative Procedure.

13. Application deadline: The contest is open from February 4, 2022 to February 18, 2022.

14. Submission of applications: Applications must be formalized via email to [email protected] accompanied by the following documents in PDF format:

a) Curriculum Vitae (maximum 2 A4 pages) written in English.

b) Graduation certificate and document proving enrolment in Master's and curricular units already taken.

c) Motivation letter (maximum 1 A4 page) written in English.

CEMAPRE, 24 January 2022