Analysis of first passage times with risk management applications

2007-2008年的金融危机(也称为大衰退)对保险和金融领域的风险管理实践产生了广泛的影响。在某些情况下，设计和实施良好的风险管理做法的重要性得到了痛苦的证明，并被证明是保险公司能否渡过最后一段极端金融不稳定时期的决定性因素。自那以后，保险公司和其他重要的金融参与者增加了其风险管理活动，特别是确定了新的和正在出现的威胁的特征，对这些威胁进行了量化评估，并开发了尖端技术，通过使用最新的金融工具、现代保险单设计以及其他手段来缓解潜在风险。此外，自那以来，保险业已投入巨资发展更完善和综合的风险管理架构，以便更有效地评估承保人的偿债能力风险。我提出的研究计划预计将在这一直接研究领域做出重大贡献。一般保险风险模型的发展和随后的分析是我研究的一个中心主题。

The financial crisis of 2007-2008 (also known as the Great Recession) has had extensive impact on the practice of risk management in insurance and finance. The importance of designing and implementing good risk management practices was painfully demonstrated in some cases and shown to be a determining factor in an insurer's ability to weather the last period of extreme financial instability. Insurers and other important financial players have since increased their risk management activities by most notably characterizing new and emerging threats, quantitatively assessing these threats, and developing cutting-edge techniques to mitigate potential risks via the use of the most up-to-date financial instruments, modern design of insurance policies, as well as other means. Also, the insurance industry has since heavily invested on the development of a more sophisticated and integrated risk management framework to better assess an insurer's solvency risk. My proposed research program is expected to make significant contributions in this immediate field of research. The development and the subsequent analysis of general insurance risk models are a central theme of my research.