Optimal reinsurance designs and related problems

最优再保险设计及相关问题

• 批准号: 399399-2011
• 负责人: Weng, Chengguo
• 金额: $ 1.24万
• 依托单位: University of Waterloo
• 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: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=573082
• 关键词: Optimal; reinsurance; designs; related; problems

My research interests lie in developing effective quantitative tools to evaluate and manage risks in problems related to insurance and finance. The primary objective of this research proposal is to develop theoretically sound and yet practical solutions in the quest for optimal reinsurance. My previous research program has obtained a series of interesting results by focusing on risk measure minimization reinsurance models, and by exploiting two important risk measures known as Value-at-Risk and Conditional Tail Expectation. This area of research is inspired by the prominent use of these two risk measures in risk management by banks and insurance companies, and by their important role in solvency regulation as adopted by various authorities. One of the long-lasting challenges with optimal reinsurance designs is the mathematical difficulty of solving the corresponding optimization problems. To circumvent this difficulty, I developed a new empirically-based approach for analyzing optimal reinsurance. This approach formulates the reinsurance models directly based on empirical data, and it allows us to address the optimal reinsurance designs for a wide class of models. While fruitful research results have been achieved, there are still many important directions worth further exploration. Broadly, they can be categorized into three groups: (1) exploration of the statistical properties of the empirical approach; (2) application of the empirically-based approach to more reinsurance models; (3) generalizing the results achieved to other optimality criteria and other reinsurance premium principles. I also plan to conduct research on the topics of partial hedging and robust portfolio selection in finance, as they are closely related to the topic of optimal reinsurance designs. I strongly believe that the research I am proposing will be of significant interest to both academicians and practitioners.

我的研究兴趣在于开发有效的定量工具来评估和管理与保险和金融相关的问题中的风险。本研究建议的主要目标是在寻求最佳再保险的过程中，开发理论上合理但实际的解决方案。 我以前的研究计划已经获得了一系列有趣的结果，通过专注于风险度量最小化再保险模型，并利用两个重要的风险度量称为风险价值和条件尾部期望。这一研究领域的灵感来自于银行和保险公司在风险管理中对这两种风险度量的突出使用，以及它们在各当局采用的偿付能力监管中的重要作用。 最优再保险设计的长期挑战之一是解决相应优化问题的数学困难。为了规避这个困难，我开发了一个新的基于风险的方法来分析最优再保险。这种方法直接基于经验数据来建立再保险模型，它使我们能够解决广泛的模型的最优再保险设计。 在取得丰硕研究成果的同时，仍有许多重要方向值得进一步探索。概括地说，它们可以分为三类：（1）探索实证方法的统计特性;（2）将基于再保险的方法应用于更多的再保险模型;（3）将所获得的结果推广到其他最优性标准和其他再保险保费原则。我还计划对金融中的部分对冲和稳健投资组合选择的主题进行研究，因为它们与最佳再保险设计的主题密切相关。我坚信，我所提出的研究将对学者和从业者都有重大意义。