Applications of Stochastic Optimization in Finance and Insurance

随机优化在金融和保险中的应用

• 批准号: RGPIN-2017-04220
• 负责人: Saunders, David
• 金额: $ 1.75万
• 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: 2017
• 资助国家: 加拿大
• 起止时间: 2017-01-01 至 2018-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=635680
• 关键词: Applications; Stochastic; Optimization; Finance; Insurance

The principal theme of the research program outlined in this proposal is the application of mathematical methods from probability and optimization to problems of decision making under uncertainty in insurance and finance. The program is designed to have development flow in both directions, as applications of mathematical techniques make contributions to real-world problems faced in industry, and novel industrial challenges provoke mathematical questions that may lead to new theoretical developments. Three main topics dominate the research program. These are: i) hybrid pension structures and their valuation, hedging and management, ii) the structure of fee agreements for asset management and the incentives that they create, and iii) the development of the mathematics of stress testing in financial institutions.

该建议中概述的研究计划的主要主题是将概率和优化的数学方法应用于保险和金融不确定性下的决策问题。该计划旨在在两个方向上进行开发，因为数学技术的应用为工业中面临的现实问题做出了贡献，而新的工业挑战引发了可能导致新的理论发展的数学问题。三个主要课题主导了研究计划。这些措施包括：i）混合养老金结构及其估值、对冲和管理，ii）资产管理费用协议的结构及其产生的激励，以及iii）金融机构压力测试数学的发展。