Quantitative management of risks

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Measuring, understanding, and managing risks are challenges in insurance, finance, economics, life sciences. New regulatory guidelines such as Solvency II for insurance are currently implemented in many parts of the world. Recently, E. Furman and R. Zitikis introduced so-called weighted premium calculation principles and risk capital allocation rules, which have been recognized as the best research contribution published in the journal of "Insurance: Mathematics and Economics" in 2008. Much work remains to be done, including further advancement of theoretical research (e.g., group life insurance, etc.), practical implementation, and case studies. In particular, we shall investigate properties of risk and capital allocation functionals under various practically sound scenarios, their practical suitability, and statistical inference. Furthermore, the aforementioned problems of insurance are intertwined with several areas of econometrics and finance (e.g, portfolio management, CAPM, etc), reliability theory (complex structures and their failure times), and gerontology. The research crucially depends on advanced mathematical, probabilistic and statistical tools of analysis, which I have been mastering for at least twenty-five years while in academia. Therefore, I feel most confident in a successful and fruitful completion of the proposed research program, including supervision and training of numerous M.Sc. and Ph.D. students, as well as post-doctoral fellows. My seventy publications over the past six years in the above noted areas should serve as a proof of my seriousness and determination.