Stochastic risk management for actuarial science

精算科学的随机风险管理

• 批准号: 203271-2011
• 负责人: Hardy, Mary
• 金额: $ 1.17万
• 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: 2011
• 资助国家: 加拿大
• 起止时间: 2011-01-01 至 2012-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=477040
• 关键词: Stochastic; risk; management; actuarial; science

Since the financial crisis that began in 2007, the solvency of financial service providers has become an urgent area of investigation. The Canadian insurance industry came through rather less damaged than elsewhere. One important reason was the move towards more stochastic risk management initiated a decade ago. Still, market pressures have often resulted in products and solvency challenges that are not recognised until the risk exposure is already substantial. Scientific risk management techniques developed for banking do not always transfer easily to the additional challenges created by the longer, more uncertain products of the life insurance industry, especially where these products combine market and insurance risks. A classic example is a life insurance contract with insurance and investment components, with embedded financial guarantees.

自2007年开始的金融危机以来，金融服务提供商的偿付能力已成为一个紧迫的调查领域。加拿大保险业受到的损害比其他地方要小。一个重要的原因是十年前开始的更加随机的风险管理。 尽管如此，市场压力往往导致产品和偿付能力的挑战，直到风险敞口已经很大时才被认识到。为银行业开发的科学风险管理技术并不总是容易转移到人寿保险业更长、更不确定的产品所带来的额外挑战，特别是在这些产品联合收割机结合了市场风险和保险风险的情况下。一个典型的例子是人寿保险合同，其中包括保险和投资部分，并附有财务担保。