New approaches in risk measurement within advanced risk models in actuarial science

精算科学高级风险模型中风险测量的新方法

• 批准号: RGPIN-2014-06079
• 负责人: Trufin, Julien
• 金额: $ 1.17万
• 依托单位: Université Laval
• 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=567580
• 关键词: New; approaches; risk; measurement; within

My research program aims to investigate new approaches in risk measurement within advanced risk models in actuarial science. I will (1) propose and study non-classical ruin models which address specific situations in line with the actual management of insurance companies and (2) contribute to the study of the deep connections between ruin theory and the axiomatic framework of risk measures. The majority of existing results in ruin theory require independent increments for the process describing the aggregate claim amounts of an insurance company. There are a variety of situations where this independence assumption appears unrealistic. This is the case in presence of business cycles or delay in claim settlement. I will relax some classical assumptions within ruin models in order to account for such situations of practical relevance. On a short-term basis, I will work on ruin models dealing with underwriting cycles in the context of a large insurance company influencing the market on the one hand, and delay in claim settlement and stochastic investment on the other hand. The study of such models will enable to improve the understanding of the risks faced by an insurer and as such will contribute to a more efficient risk management of insurance companies. The concept of risk measures has become very popular in insurance, especially with the introduction of the Solvency II regulation. The Value-at-Risk risk measure has emerged as the key instrument to compute the solvency capital requirement over a one-year horizon. Although Solvency II is an improvement compared to the old insurance practices, it does not consider possible adverse situations in between or beyond the one-year horizon. The ruin theory precisely accounts for the insured risk during the whole life-time of the business or until any given time-horizons. This is why the practitioners often look at risks in the ruin context when building internal models. Risk measures derived from ruin theory will then provide more robust risk indicators. By establishing the properties (or list of axioms) of such risk measures, my research program will then provide tools to enable a better assessment of the riskiness of certain financial positions in the insurance context.

我的研究计划旨在研究在精算科学的高级风险模型中进行风险测量的新方法。我将(1)提出并研究符合保险公司实际管理具体情况的非经典破产模型，(2)有助于研究破产理论与风险度量公理框架之间的深层联系。现有的破产理论中的大多数结果都要求描述保险公司总索赔金额的过程是独立增量的。在许多情况下，这种独立假设似乎不切实际。在出现商业周期或索赔结算延迟的情况下就是这种情况。我将放宽破产模型中的一些经典假设，以解释这些具有实际意义的情况。在短期基础上，我将研究破产模型，一方面在大型保险公司影响市场的情况下处理承保周期，另一方面在索赔解决和随机投资方面延迟。对这些模型的研究将有助于更好地了解保险公司面临的风险，从而有助于更有效地管理保险公司的风险。风险衡量的概念在保险业中变得非常流行，特别是随着偿付能力II规定的引入。风险价值风险度量已成为计算一年内偿付能力资本需求的关键工具。尽管偿付能力II与旧的保险做法相比有所改进，但它没有考虑一年期限内或一年后可能出现的不利情况。破产理论准确地考虑了在企业的整个生命周期或任何给定的时间范围内的保险风险。这就是为什么实践者在构建内部模型时经常考虑破产环境中的风险。从破产理论衍生的风险衡量标准将提供更稳健的风险指标。通过建立此类风险度量的性质(或公理列表)，我的研究计划将提供工具，以便能够更好地评估保险背景下某些金融头寸的风险。