Quantitative management of risks

风险量化管理

• 批准号: 227093-2010
• 负责人: Zitikis, Ricardas
• 金额: $ 1.09万
• 依托单位: University of Western Ontario
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2014
• 资助国家: 加拿大
• 起止时间: 2014-01-01 至 2015-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=546695
• 关键词: Quantitative; management; risks

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.

衡量、理解和管理风险是保险、金融、经济和生命科学领域的挑战。新的监管准则，如保险的偿付能力II，目前在世界许多地方实施。最近，E. Furman和R. Zitikis提出的所谓加权保费计算原理和风险资本分配规则被认为是2008年《保险：数学与经济学》杂志上发表的最佳研究贡献。还有很多工作要做，包括进一步推进理论研究（如团体人寿保险等）、实际实施和案例研究。特别是，我们将研究风险和资本配置函数在各种实际可行的情况下的性质，它们的实际适用性和统计推断。此外，上述保险问题与计量经济学和金融学（例如，投资组合管理，CAPM等），可靠性理论（复杂结构及其失效时间）和老年学的几个领域交织在一起。这项研究至关重要地依赖于先进的数学、概率和统计分析工具，我在学术界已经掌握了至少25年的这些工具。因此，我非常有信心能够成功和富有成效地完成所提议的研究项目，包括指导和培训众多的硕士和博士学生，以及博士后。在过去的六年里，我在上述领域发表了七十篇论文，足以证明我的认真和决心。