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: 2020
• 资助国家: 加拿大
• 起止时间: 2020-01-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=708570
• 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. Models are often used to project financial and economic variables. For example, actuaries need to simulate returns on financial assets to illustrate, price and manage risks in the context of life insurance and pension plans. To generate realistic projections, the model must be calibrated to a data set. However, the choice of the model and data set can significantly influence the financial projection. To reduce the risk of using an inappropriate model, the output of several models can be compared. The second objective of my research program is to develop a simulation framework that is less dependent on the choice of a specific model or data set. This framework allows us to take model uncertainty into account when projecting financial scenarios. The financial and economic world crisis of the late 2000s revealed that risk management practices must be improved. For example, insurance companies suffered large losses on their variable annuities business. Variable annuities are investment vehicles offered by insurance companies which combine a life insurance policy with financial guarantees. These guarantees expose the insurer to market risks which cannot be diversified, but only mitigated through a risk management strategy. This strategy is generally established based on a theoretical model, and is expected to reduce the risk of loss for the insurance company. Since the risk management strategy is based on model assumptions, its effectiveness in the real world will be determined by how well it can perform when these assumptions are violated. The third objective of my research program is to develop risk management strategies for variable annuities that can mitigate market risks effectively in the presence of model uncertainty.

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。 模型通常用于投射财务和经济变量。例如，精算师需要模拟金融资产的回报，以说明，价格和管理人寿保险和养老金计划的风险。为了生成现实的预测，必须将模型校准为数据集。但是，模型和数据集的选择可以显着影响财务预测。为了降低使用不适当模型的风险，可以比较多种模型的输出。我的研究计划的第二个目标是开发一个模拟框架，该框架较少依赖于特定模型或数据集的选择。该框架使我们可以在预测财务方案时考虑模型不确定性。 2000年代后期的金融和经济世界危机表明，必须改善风险管理实践。例如，保险公司在其可变年金业务上遭受了巨大损失。可变年金是保险公司提供的投资工具，将人寿保险与财务保证相结合。这些保证使保险公司面临无法多元化的市场风险，但只能通过风险管理策略来减轻。通常基于理论模型制定该策略，并有望降低保险公司损失的风险。由于风险管理策略基于模型假设，因此其在现实世界中的有效性将取决于违反这些假设时其在表现方面的表现。我的研究计划的第三个目标是为可变年金制定风险管理策略，这些策略可以在模型不确定性的存在下有效地减轻市场风险。