Mathematical and statistical assessment of the solvency of financial institutions

金融机构偿付能力的数学和统计评估

• 批准号: RGPIN-2016-05002
• 负责人: Boudreault, Mathieu
• 金额: $ 1.09万
• 依托单位: Université du Québec à 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=709477
• 关键词: Mathematical; statistical; assessment; solvency; financial

Insurance companies, (investment) banks, pension plans and governments are exposed to several risks that can threaten their ability to protect the savings of millions of Canadians. Therefore, this research program is intended to assess the solvency of financial institutions in three different areas where they could fail. First, we will look at how life insurance companies manage exposure to equity and interest rate risks in a popular line of business known as segregated funds (variable annuities). Using mathematical models that simulate realistic scenarios, the intent is to measure how common risk management strategies typically work and how we can improve risk management whenever modelling assumptions do not match reality. We would like to raise awareness among actuarial researchers on the mathematical aspects of managing these products. We also seek to provide general guidance to insurers and regulators as to how risk management can be improved to ensure that the savings of retirees are better protected. Second, corporate bonds are very commonly used by banks, insurers and pension plans to manage their liabilities. But the lessons we learned from 20082009 is that even investment-grade bonds can be hit hard by credit risk. Therefore, we seek to improve the assessment of credit risk in these bonds. We propose statistical methods to accurately estimate the creditworthiness of corporations using prices of credit derivatives that are highly liquid and traded by experts (e.g. credit default swaps). We would like finance researchers and risk managers to use this approach as a complement to popular ratings-based methods. Given that trillions of dollars are traded in corporate bonds, the potential impact can be enormous, especially for Canadian insurers and pension plans. Few people know that hurricanes have made landfall in Canada more than 25 times since 1950. They provoked storm surges, heavy rainfall and floods causing hundreds of millions of dollars in damage. Very recent climatology research has shown that hurricanes tend to migrate towards the poles (north or south), indicating that in a not-so-distant future, the risk posed by these storms is likely to increase over Eastern Canada. We will design and analyze actuarial and statistical models of hurricane risk in light of the connections between the frequency and intensity of these events. The impacts of this dependence relationship in catastrophe risk modelling and management have been rarely investigated, and this should help reduce the societal impacts of future hurricanes over the country. In the past, the latter three risks have had an important impact on banks, insurers, governments, pension plans, etc. Therefore, this research program is meant to develop tools to assess and manage these risks with an eye to increasing the solvency of financial institutions and in turn, protect the savings of the public.

保险公司（投资）银行，退休金计划和政府面临的几种风险可能威胁到他们保护数百万加拿大人节省的能力。因此，该研究计划旨在评估他们可能失败的三个不同领域的金融机构的偿付能力。 首先，我们将研究人寿保险公司如何在流行的一系列被称为隔离资金（可变年金）的业务范围内管理股权和利率风险。使用数学模型来模拟现实的场景，目的是衡量普通风险管理策略通常如何工作，以及每当建模假设不符合现实时，我们如何改善风险管理。我们想提高精算研究人员对管理这些产品的数学方面的认识。我们还寻求向保险公司和监管机构提供有关如何改善风险管理的一般指导，以确保退休人员的节省得到更好的保护。 其次，银行，保险公司和养老金计划通常使用公司债券来管理其负债。但是，我们从20082009中学到的教训是，即使是投资级债券也可能会因信用风险而受到重大打击。因此，我们试图改善这些债券信用风险的评估。我们建议使用高度流动和由专家交易的信用衍生品（例如，信用违约掉期）准确地估算公司信誉的统计方法。我们希望财务研究人员和风险经理使用这种方法作为基于流行评级的方法的补充。鉴于将数万亿美元以公司债券交易，因此潜在的影响可能是巨大的，尤其是对于加拿大保险公司和养老金计划。 很少有人知道自1950年以来，飓风已经在加拿大登陆了25次以上。他们激起了风暴潮，大雨和洪水，造成了数亿美元的损失。最近的气候研究表明，飓风倾向于向两极（北方或南部）迁移，表明在不太遥远的将来，这些风暴带来的风险可能会增加加拿大东部的风险。根据这些事件的频率和强度之间的联系，我们将设计和分析飓风风险的精算和统计模型。这种依赖关系在灾难风险建模和管理中的影响很少得到研究，这应该有助于减少未来飓风对全国的社会影响。 过去，后三个风险对银行，保险公司，政府，养老金计划等产生了重要影响。因此，该研究计划旨在开发用于评估和管理这些风险的工具，以期提高金融机构的偿付能力，从而保护公众的节省。