Econometrics, model uncertainty and risk management in actuarial applications

精算应用中的计量经济学、模型不确定性和风险管理

• 批准号: RGPIN-2015-05066
• 负责人: Augustyniak, Maciej
• 金额: $ 0.95万
• 依托单位: Université de Montréal
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=590200
• 关键词: Econometrics; model; uncertainty; risk; management

Actuaries use models to quantify and manage risks in insurance and finance. Accurately modeling financial risks is challenging because financial processes exhibit complex dynamics which are difficult to reproduce with statistical models. When developing a model, actuaries face a tradeoff between its complexity and implementation. The first objective of my research program is to improve this tradeoff by investigating new model structures in finance and by developing original methods to implement them.

精算师使用模型来量化和管理保险和金融中的风险。准确地对财务风险进行建模是具有挑战性的，因为财务流程表现出复杂的动态，这些动态很难通过统计模型复制。在开发模型时，精算师面临其复杂性和实施之间的权衡。我的研究计划的第一个目标是通过研究金融中的新模型结构并开发实施原始方法来改善这一权衡。