Analysis of first passage times with risk management applications

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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.