Applications of Stochastic Optimization in Finance and Insurance

这项建议中概述的研究计划的主要主题是将概率和最优化的数学方法应用于保险和金融中不确定的决策问题。该项目旨在双向发展，因为数学技术的应用有助于解决工业中面临的现实世界问题，而新的工业挑战引发的数学问题可能会导致新的理论发展。这项研究计划主要涉及三个主题。它们是：i)混合型养老金结构及其估值、对冲和管理；ii)资产管理收费协议的结构及其创造的激励；iii)金融机构压力测试数学的发展。

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.