Quantitative Risk Management under Model Uncertainty: Reinsurance, Capital Allocation, and Systemic Risk

模型不确定性下的定量风险管理：再保险、资本配置和系统性风险

• 批准号: RGPIN-2022-03354
• 负责人: Cai, Jun
• 金额: $ 2.26万
• 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: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=765748
• 关键词: Quantitative; Risk; Management; under; Model

Insurance companies and financial institutions are facing increasing and more complex risks because of the rising number of extreme events, such as the global financial crisis of 2007-08, the global COVID-19 pandemic, and wild forest fires. New risk models and risk management methods are pressingly needed for modern quantitative risk management (QRM) in insurance and finance. A crucial aspect in QRM is how to measure, model and manage risks to be faced by insurance companies and financial institutions.  Existing tools and techniques of QRM are based largely on the assumption that the complete distributional information of risks is known. However, in most practical situations, only the partial distributional information of risks is available. Sometimes only means and variances of risks are available, while other times only the marginal distributions of risks are known but the dependence structure of risks is unknown, or the distribution parameters of risks are uncertain. All such situations or uncertainties are referred to as model uncertainty, which is an important issue in QRM.  In this proposed research, I will focus on how to model and manage risks of insurance and finance under model uncertainty.   The long-term objective of my research program is to provide novel models and practical solutions for QRM in insurance and finance under model uncertainty and enable decision-makers of QRM to have a better understanding of the risks resulting from model uncertainty. The short-term objectives of my research program are as follows: (A) Develop innovative models and methods for optimal reinsurance under distributional uncertainty; (B) Provide optimal reinsurance solutions for insurance portfolios under dependence uncertainty; (C) Develop one-step schemes for determining capital requirements for risk portfolios; and (D) Manage systemic risks of insurance and finance portfolios by optimal capital allocation schemes. The innovation of the proposed research lies in addressing the critical issue of model uncertainty in QRM for insurance and finance, providing novel optimal reinsurance models and practical solutions for insurance companies to deal with model uncertainty, and managing systemic risks in insurance and finance by optimal capital allocation schemes. The one-step schemes for determining capital requirements developed in this research will help the regulators to stipulate more reasonable capital requirements for insurance companies and financial institutions. The questions addressed in this research program are important and timely. Students involved in this research program will learn how to propose and model QRM problems from a practical perspective, how to solve problems by developing new skills and employing the cutting-edge technologies. Through the training in this program,  students will gain knowledge and skills of QRM to enable them to successfully find jobs in academia or insurance and finance industries.

由于极端事件的数量增加，例如2007 - 08年的全球金融危机，全球COVID-19-19大流行和野生森林大火，保险公司和金融机构正面临越来越复杂的风险。现代定量风险管理（QRM）在保险和金融中需要新的风险模型和风险管理方法。 QRM的一个关键方面是如何衡量，建模和管理保险公司和金融机构面临的风险。 QRM的现有工具和技术在很大程度上基于以下假设，即知道风险的完整分布信息。但是，在大多数实际情况下，只有风险的部分分布信息。有时，只有均值和差异可用，而其他时间仅知道风险的边际分布，但风险的依赖性结构未知，或者风险的分布参数所有此类情况或不确定性都称为模型不确定性，这是QRM中的重要问题。在这项拟议的研究中，我将重点关注如何在模型不确定性下建模和管理保险和金融风险。我的研究计划的长期目标是在模型不确定性下为QRM提供新颖的模型和实用解决方案，并使QRM的决策者能够更好地了解模型不确定性所带来的风险。我的研究计划的短期目标如下：（a）开发创新的模型和方法，以在分配不确定性下进行最佳再保险； （b）在依赖不确定性下为保险投资组合提供最佳的再保险解决方案； （c）制定一步方案来确定风险投资组合的资本要求； （d）通过最佳资本分配计划来管理保险和金融投资组合的系统性风险。拟议的研究的创新在于解决QRM中保险和金融的模型不确定性的关键问题，为保险公司提供新颖的最佳再保险模型和实用解决方案，以应对模型不确定性，并通过最佳资本分配方案处理保险和财务的系统性风险。确定本研究中提出的资本要求的一步计划将有助于监管机构对保险公司和金融机构的更合理的资本要求。本研究计划中解决的问题很重要，及时。参与该研究计划的学生将学习如何从实际角度提出和建模QRM问题，如何通过发展新技能和采用尖端技术来解决问题。通过该计划的培训，学生将获得QRM的知识和技能，使他们能够成功找到学术界或保险和金融行业的工作。