Insurance risk analysis with dependence and reinsurance
依赖和再保险的保险风险分析
基本信息
- 批准号:250031-2011
- 负责人:
- 金额:$ 1.17万
- 依托单位:
- 依托单位国家:加拿大
- 项目类别:Discovery Grants Program - Individual
- 财政年份:2015
- 资助国家:加拿大
- 起止时间:2015-01-01 至 2016-12-31
- 项目状态:已结题
- 来源:
- 关键词:
项目摘要
Classical risk theory usually studies a reserve process for a company or a line of business. However, a company could run several lines of business or have several subcompanies. The reserve processes of these lines of business form a multivariate dependent risk process. Even for different companies, the reserve processes could be correlated due to some common economic and financial factors. Furthermore, when an insurance company has a reinsurance treaty with a reinsurance company, the reserve risk processes of the two companies are correlated as well. Thus, dependence naturally appears in a multivariate reserve risk process and in the study of reinsurance.
In this project, we will focus on two-dimensional reserve risk processes. For each line of business in a two-dimensional reserve risk model, we define default time as the first time when the reserve of the line falls below a certain level. We will study the probabilities of different types of defaults. We will also study the expected total discounted expenses related to claims of each line of business up to default times. Such expected total discounted expenses can be used to study many default-related quantities and to determine the capital requirements for each line of business. We assume that a reinsurance strategy is applied to one line of business. We will study the optimal reinsurance strategies for dependent lines of business under different optimization criteria. Further, we will consider economic and financial factors, such as interest rates and dividends, in two-dimensional reserve risk processes and discuss the influence of economic and financial factors on default probabilities. The project will provide new stochastic models for insurance risk analysis with dependence and reinsurance, and reveal the impact of dependence, reinsurance, and some economic and financial factors on default times and default probabilities. The anticipated results will be useful not only in insurance risk analysis but also in credit risk analysis and other fields of applied probability.
经典风险理论通常研究一家公司或某一行业的准备金过程。然而,一家公司可以经营几个业务线,也可以有几个子公司。这些业务的储备过程形成了一个多变量的相关风险过程。即使对于不同的公司,由于一些共同的经济和金融因素,储备过程也可能是相关的。此外,当一家保险公司与一家再保险公司签订再保险协议时,两家公司的准备金风险过程也是相关的。因此,相关性自然而然地出现在多变量准备金风险过程和再保险研究中。
在这个项目中,我们将重点研究二维准备金风险过程。对于二维准备金风险模型中的每一项业务,我们将违约时间定义为该业务的准备金首次跌破某一水平的时间。我们将研究不同类型违约的概率。我们还将研究与每项业务的索赔相关的预期总贴现费用,直至违约次数。这种预期的总贴现费用可以用来研究许多与违约相关的数量,并确定每一项业务的资本要求。我们假设再保险策略适用于一项业务。我们将研究不同优化准则下相关业务的最优再保险策略。进一步,我们将考虑二维准备金风险过程中的经济和金融因素,如利率和股息,并讨论经济和金融因素对违约概率的影响。该项目将为具有相关性和再保险的保险风险分析提供新的随机模型,并揭示相关性、再保险以及一些经济和金融因素对违约次数和违约概率的影响。预期结果不仅可用于保险风险分析,还可用于信用风险分析等应用概率领域。
项目成果
期刊论文数量(0)
专著数量(0)
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会议论文数量(0)
专利数量(0)
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Cai, Jun其他文献
Temperature Programmed Desorption - An Application to Kinetic Studies of CO Desorption at Electrochemical Interfaces
程序升温解吸 - 在电化学界面 CO 解吸动力学研究中的应用
- DOI:
10.1021/jp908481y - 发表时间:
2009-10 - 期刊:
- 影响因子:3.7
- 作者:
Cai, Jun;Chen, Yan-Xia;Tao, Qian;Liu, Shao-Xiong;Chen, Dong;Tang, Zhi-Qiang;Zou, Shou-Zhong;Geng, Bin;Zhang, Pu - 通讯作者:
Zhang, Pu
Modeling of Potential Oscillation during Galvanostatic Electrooxidation of Formic Acid at Platinum Electrode
铂电极上甲酸恒电流电氧化过程中电势振荡的建模
- DOI:
10.1021/jp500285j - 发表时间:
2014-03 - 期刊:
- 影响因子:3.7
- 作者:
He, Zheng-Da;Jiang, Dao Chuan;Cai, Jun;Chen, Yan-Xia - 通讯作者:
Chen, Yan-Xia
A dilute-and-shoot liquid chromatography-tandem mass spectrometry method for urinary 18-hydroxycortisol quantification and its application in establishing reference intervals.
- DOI:
10.1002/jcla.24580 - 发表时间:
2022-08 - 期刊:
- 影响因子:2.7
- 作者:
Zhao, Beibei;Bian, Jin;Rao, Menghua;She, Xuhui;Lou, Ying;Cai, Jun;Ma, Wenjun - 通讯作者:
Ma, Wenjun
Equilibrium reinsurance-investment strategies with partial information and common shock dependence
具有部分信息和共同冲击依赖性的均衡再保险投资策略。
- DOI:
10.1007/s10479-021-04317-4 - 发表时间:
2021-10-18 - 期刊:
- 影响因子:4.8
- 作者:
Bi, Junna;Cai, Jun;Zeng, Yan - 通讯作者:
Zeng, Yan
NiCoO2@CeO2 Nanoboxes for Ultrasensitive Electrochemical Immunosensing Based on the Oxygen Evolution Reaction in a Neutral Medium: Application for Interleukin-6 Detection
- DOI:
10.1021/acs.analchem.0c04217 - 发表时间:
2020-12-15 - 期刊:
- 影响因子:7.4
- 作者:
Cao, Lin;Cai, Jun;Xie, Qingji - 通讯作者:
Xie, Qingji
Cai, Jun的其他文献
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{{ truncateString('Cai, Jun', 18)}}的其他基金
A New Paradigm of Radio Resource Management for Future Wireless Communication Networks Integrating Crowd Intelligence
集成群体智能的未来无线通信网络无线资源管理新范式
- 批准号:
RGPIN-2018-06022 - 财政年份:2022
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
Quantitative Risk Management under Model Uncertainty: Reinsurance, Capital Allocation, and Systemic Risk
模型不确定性下的定量风险管理:再保险、资本配置和系统性风险
- 批准号:
RGPIN-2022-03354 - 财政年份:2022
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
Measuring, modelling, and managing insurance risks
测量、建模和管理保险风险
- 批准号:
RGPIN-2016-03975 - 财政年份:2021
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
A New Paradigm of Radio Resource Management for Future Wireless Communication Networks Integrating Crowd Intelligence
集成群体智能的未来无线通信网络无线资源管理新范式
- 批准号:
RGPIN-2018-06022 - 财政年份:2021
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
Measuring, modelling, and managing insurance risks
测量、建模和管理保险风险
- 批准号:
RGPIN-2016-03975 - 财政年份:2020
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
A New Paradigm of Radio Resource Management for Future Wireless Communication Networks Integrating Crowd Intelligence
集成群体智能的未来无线通信网络无线资源管理新范式
- 批准号:
RGPIN-2018-06022 - 财政年份:2020
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
Development of a Portable, Continuous, and Real-time Muscle Metabolism Monitoring System Based On Near-Infrared Spectroscopy Analysis and Mobile Edge Computing
基于近红外光谱分析和移动边缘计算的便携式、连续、实时肌肉代谢监测系统的开发
- 批准号:
522719-2017 - 财政年份:2020
- 资助金额:
$ 1.17万 - 项目类别:
Collaborative Research and Development Grants
Development of a Portable, Continuous, and Real-time Muscle Metabolism Monitoring System Based On Near-Infrared Spectroscopy Analysis and Mobile Edge Computing
基于近红外光谱分析和移动边缘计算的便携式、连续、实时肌肉代谢监测系统的开发
- 批准号:
522719-2017 - 财政年份:2019
- 资助金额:
$ 1.17万 - 项目类别:
Collaborative Research and Development Grants
Measuring, modelling, and managing insurance risks
测量、建模和管理保险风险
- 批准号:
RGPIN-2016-03975 - 财政年份:2019
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
A New Paradigm of Radio Resource Management for Future Wireless Communication Networks Integrating Crowd Intelligence
集成群体智能的未来无线通信网络无线资源管理新范式
- 批准号:
RGPIN-2018-06022 - 财政年份:2019
- 资助金额:
$ 1.17万 - 项目类别:
Discovery Grants Program - Individual
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