Measures and Models for Dependent Actuarial Risks

我建议的研究领域是精算学中的风险管理。投资组合管理的一大缺陷是对风险缓解的系统性考虑。由于监管或会计规则的原因，投资组合的所有风险都不能总是完全聚合。此外，即使它们可以做到这一点，为了进行风险比较，或者为了更准确和保守的风险保护，可能也最好是单独或以同类小组的形式考虑它们。在我的五年研究计划中，我将不会通过多元框架来研究这个问题。后者最近被引入精算和科学领域，用于风险衡量。它在加拿大和大多数发达国家的学者和从业者中越来越受欢迎。

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.