Measuring, modelling, and managing insurance risks

测量、建模和管理保险风险

基本信息

批准号：
RGPIN-2016-03975
负责人：
Cai, Jun
金额：
$ 1.6万
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：
2018
资助国家：
加拿大
起止时间：
2018-01-01 至 2019-12-31
项目状态：
已结题

来源：
https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=646671
关键词：
Measuring modelling managing insurance risks

项目摘要

Since the global financial crisis of 2007-08, financial institutions and insurance companies have been facing increasing and more complex risks if compared to the time before the crisis. Therefore, new risk measures, models, and management tools are pressingly needed for modern risk management. A crucial aspect in quantitative risk management (QRM) is how to measure, model, and manage risks. As research has shown, risk measures play a key role in QRM for insurance and finance. Many tools and techniques of QRM are based on risk measures. In this research program, we propose new and practical univariate and multivariate risk measures from the perspectives of risk management and develop unified methods to measure the solvency risks of insurance companies. The new risk measures developed from this study will provide effective solutions not only for insurance companies to price insurance products but also for regulators to determine reasonable solvency capital requirements. In addition, we introduce novel models for analyzing the costs and/or losses of insurance companies under actuarial decisions and take into consideration more realistic features in modelling insurance risks. Moreover, to manage insurance risks, we provide advanced tools of risk management for insurance companies by developing feasible optimal allocation methods and optimal reinsurance schemes. Finally, the research program will offer many challenging and important research problems for the purpose of highly qualified personnel (HQP) training. **

自2007 - 08年的全球金融危机以来，与危机之前的时间相比，金融机构和保险公司的风险一直在增加和更复杂的风险。因此，现代风险管理需要新的风险措施，模型和管理工具。定量风险管理（QRM）的关键方面是如何衡量，建模和管理风险。正如研究所表明的那样，风险措施在QRM中起着关键作用。 QRM的许多工具和技术都是基于风险措施。在该研究计划中，我们从风险管理的角度提出了新的和实用的单变量和多元风险措施，并开发了统一的方法来衡量保险公司的偿付能力风险。这项研究开发的新风险措施将不仅为保险公司定价保险产品，而且还为监管机构确定合理的偿付能力资本需求提供有效的解决方案。此外，我们还介绍了新型模型，以分析精算决策下的保险公司成本和/或损失，并在建模保险风险时考虑更现实的特征。此外，为了管理保险风险，我们通过开发可行的最佳分配方法和最佳再保险计划为保险公司提供高级风险管理工具。最后，研究计划将出于高素质人员（HQP）培训的目的提供许多具有挑战性和重要的研究问题。 **