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（也称为大萧条）对保险和金融风险管理实践产生了广泛的影响。在某些情况下，设计和实施良好的风险管理实践的重要性得到了痛苦的证明，并证明是保险公司在极端金融不稳定的最后一个时期度过的能力的决定因素。自那以后，保险公司和其他重要的金融参与者通过最著名的特征和新兴威胁来提高其风险管理活动，定量评估这些威胁，并通过使用最新的金融工具，现代的保险单设计，以及其他方式来开发尖端技术，以减轻潜在风险。此外，自那以后，保险业投入了大量投资，用于开发更复杂和综合的风险管理框架，以更好地评估保险公司的偿付能力风险。我提出的研究计划有望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核心主题。 更具体地说，我提出的研究涉及对保险公司现金流动动态的分析，特别关注对财务压力时期的风险。我的研究计划的核心是压力期，从资本不足发作（废墟）或资本水平的极端负面冲击开始（缩减）。在科学界的最新趋势的基础上，将引入具有其他依赖路径特征的风险措施，并进一步分析以帮助早期发现潜在风险。我的研究将导致数学理论和相关技术的显着进步，以研究风险过程。应用概率（例如排队理论和流体流理论）中相关的学科也将受益于此类进步。这将巩固这些研究学科之间知识的传递。我提出的研究的另一个主要目标是开发风险模型，随后将允许定量测量适当的风险管理实践的收益。预计分析和概率技术均应用于进行参考的分析。