Quantitative Analysis of Systemic Risk in Insurance

保险系统性风险的定量分析

• 批准号: DP220100090
• 负责人: Prof Qihe Tang
• 金额: $ 27.65万
• 依托单位: The University of New South Wales
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2022
• 资助国家: 澳大利亚
• 起止时间: 2022-01-01 至 2024-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP220100090
• 关键词: Quantitative; Analysis; Systemic; Risk; Insurance

This project aims to achieve a contemporary and comprehensive quantitative analysis of systemic risk in insurance. The significance lies in narrowing the gap between the studies of systemic risk in banking and insurance. Expected outcomes include the construction of insurance/reinsurance networks to formalise systemic risk, the analysis of the role of network integration, and the development of pricing frameworks to entail a systemic risk premium. The project will benefit insurers and regulators by providing a forward-looking approach to monitoring and assessing insurance risk during a systemic crisis. These important original contributions to insurance risk management will help establish Australia’s global leadership in systemic risk.

本项目旨在实现对保险系统风险的当代和全面定量分析。其意义在于缩小银行系统风险研究与保险系统风险研究之间的差距。预期的结果包括构建保险/再保险网络，使系统风险正式化，分析网络整合的作用，以及制定定价框架，以承担系统风险溢价。该项目将为系统性危机期间的保险风险监测和评估提供前瞻性方法，从而使保险公司和监管机构受益。这些对保险风险管理的重要原创贡献将有助于确立澳大利亚在系统性风险方面的全球领导地位。