Stochastic processes in finance and insurance

金融和保险中的随机过程

• 批准号: 371404-2009
• 负责人: Renaud, JeanFrançois
• 金额: $ 1.31万
• 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: 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=483545
• 关键词: Stochastic; processes; finance; insurance

Risk management requires that an insurance company consider the possibility of experiencing adverse claims while satisfying its shareholders with, for instance, dividend payments. For a financial institution, accurate pricing of financial instruments is crucial for its own risk management. In both cases, an appropriate quantification of the risks necessitates the use of complex mathematical tools and models. The proposed research aims at analyzing such mathematical models.

风险管理要求保险公司在满足股东要求的同时，考虑到遭遇不利索赔的可能性，例如股息支付。对于金融机构而言，金融工具的准确定价对于自身的风险管理至关重要。在这两种情况下，对风险的适当量化都需要使用复杂的数学工具和模型。本研究的目的是分析这些数学模型。