Analysis of first passage times with risk management applications

使用风险管理应用程序分析首次通过时间

• 批准号: RGPIN-2015-04330
• 负责人: Landriault, David
• 金额: $ 1.82万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2016
• 资助国家: 加拿大
• 起止时间: 2016-01-01 至 2017-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=612903
• 关键词: Analysis; first; passage; times; risk

The financial crisis of 2007-2008 (also known as the Great Recession) has had extensive impact on the practice of risk management in insurance and finance. The importance of designing and implementing good risk management practices was painfully demonstrated in some cases and shown to be a determining factor in an insurer's ability to weather the last period of extreme financial instability. Insurers and other important financial players have since increased their risk management activities by most notably characterizing new and emerging threats, quantitatively assessing these threats, and developing cutting-edge techniques to mitigate potential risks via the use of the most up-to-date financial instruments, modern design of insurance policies, as well as other means. Also, the insurance industry has since heavily invested on the development of a more sophisticated and integrated risk management framework to better assess an insurer's solvency risk. My proposed research program is expected to make significant contributions in this immediate field of research. The development and the subsequent analysis of general insurance risk models are a central theme of my research. More specifically, my proposed research pertains to the analysis of an insurer’s cash flow dynamics with a special focus on the risks inherent to periods of financial stress. Central to my research program are stress periods which begin either with a capital shortfall episode (ruin) or extreme negative shocks in capital levels (drawdown). Building on the recent trend in the scientific community, risk measures with additional path-dependent features will be introduced and further analyzed to assist in the early detection of potential risks. My research will lead to significant advances in mathematical theory and related techniques for the study of risk processes. Related disciplines in applied probability (such as queueing theory and fluid flow theory) will also benefit from such advances. This will solidify the transfer of knowledge among these research disciplines. Another main objective of my proposed research consists in the development of risk models which will subsequently allow for a quantitative measurement of the benefits of proper risk management practices. Both analytic and probabilistic techniques are expected to be used to conduct the alluded analysis.

2007-2008 年的金融危机（也称为大衰退）对保险和金融领域的风险管理实践产生了广泛的影响。设计和实施良好的风险管理实践的重要性在某些案例中得到了痛苦的证明，并被证明是非常重要的。此后，保险公司和其他重要的金融参与者通过最显着地描述新的和正在出现的威胁、定量评估这些威胁以及开发尖端技术来增加其风险管理活动。到通过使用最新的金融工具、现代化的保险单设计以及其他手段来降低潜在风险 此外，保险业还大力投资开发更复杂和综合的风险管理框架。更好地评估保险公司的偿付能力风险。我提出的研究计划预计将在这一直接研究领域做出重大贡献。一般保险风险模型的开发和后续分析是我研究的中心主题。 更具体地说，我提出的研究涉及保险公司现金流动态的分析，特别关注财务压力时期固有的风险，我的研究计划的核心是从资本短缺事件（破产）或开始的压力时期。根据科学界最近的趋势，将引入并进一步分析具有额外路径依赖特征的风险措施，以帮助及早发现潜在风险。数学理论和相关技术的进展应用概率的相关学科（例如排队论和流体流理论）也将受益于这些进步，这将巩固这些研究学科之间的知识转移。随后将允许衡量适当风险管理实践的好处，预计将定量地使用分析技术和概率技术来进行所提到的分析。