Measures and Models for Dependent Actuarial Risks

相关精算风险的衡量标准和模型

• 批准号: RGPIN-2015-05447
• 负责人: Mailhot, Mélina
• 金额: $ 1.17万
• 依托单位: Concordia University
• 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=590435
• 关键词: Measures; Models; Dependent; Actuarial; Risks

My proposed research lies in the area of risk management in actuarial science. A major drawback of portfolio management is the systematic consideration of risk mitigation. All risks of a portfolio cannot always be aggregated, because of regulation or accounting rules. Moreover, even if they can be, it might be desirable to consider them individually or in homogeneous groups, for risk comparison, or for more accurate and conservative protections. In my five-year research program, I will investigate this issue through a multivariate framework. The latter has recently been introduced in the actuarial science field for risk measurement. It is gaining popularity, both with academics and practitioners in Canada, and across most developed countries.

我的研究方向是精算学中的风险管理。投资组合管理的一个主要缺点是对风险缓解的系统考虑。由于监管或会计规则的原因，投资组合的所有风险并不总是可以汇总的。此外，即使它们可能是，为了进行风险比较，或者为了更准确和保守的保护，可能需要单独考虑它们或将它们放在同类组中。在我的五年研究计划中，我将通过多变量框架来研究这个问题。后者最近被引入精算学领域，用于风险计量。它越来越受欢迎，无论是在加拿大的学者和从业人员，并在大多数发达国家。