Stochastic risk management for actuarial science

精算科学的随机风险管理

• 批准号: 203271-2011
• 负责人: Hardy, Mary
• 金额: $ 1.17万
• 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=635760
• 关键词: Stochastic; risk; management; actuarial; science

Since the financial crisis that began in 2007, the solvency of financial service providers has become an urgent area of investigation. The Canadian insurance industry came through rather less damaged than elsewhere. One important reason was the move towards more stochastic risk management initiated a decade ago. Still, market pressures have often resulted in products and solvency challenges that are not recognised until the risk exposure is already substantial. Scientific risk management techniques developed for banking do not always transfer easily to the additional challenges created by the longer, more uncertain products of the life insurance industry, especially where these products combine market and insurance risks. A classic example is a life insurance contract with insurance and investment components, with embedded financial guarantees. A major objective of this research is to develop risk management techniques that are leading edge, practical and implementable for modern insurance products, including equity-linked life insurance, and variable universal life insurance. As risk management techniques evolve, the design of products will also change; the integration of design and management of long term insurance products is a particular focus. Just as consumers of insurance products appreciate the security associated with financial guarantees, workers seek financial security in their pension arrangements. The move toward defined contribution plans has been exposed as a flawed solution by the crisis, as retirees found their benefits significantly lower than predicted as markets and interest rates fell simultaneously. An attractive option is to combine some relatively low guarantee level with the defined contribution model. In the proposed research program we will continue to develop a model pension design based on this hybrid. We will explore the advantages and disadvantages compared with other proposals for pension reform.

自2007年开始的金融危机以来，金融服务提供商的偿付能力已成为一个紧迫的调查领域。加拿大保险业受到的损害比其他地方要小。一个重要的原因是十年前开始的更加随机的风险管理。尽管如此，市场压力往往导致产品和偿付能力的挑战，直到风险敞口已经很大时才被认识到。为银行业开发的科学风险管理技术并不总是容易转移到人寿保险业更长、更不确定的产品所带来的额外挑战，特别是在这些产品联合收割机结合了市场风险和保险风险的情况下。一个典型的例子是人寿保险合同，其中包括保险和投资部分，并附有财务担保。本研究的一个主要目标是开发风险管理技术，是先进的，实用的和可实施的现代保险产品，包括股票挂钩人寿保险，变额万能人寿保险。随着风险管理技术的发展，产品的设计也将发生变化，长期保险产品的设计和管理的整合是一个特别的焦点。正如保险产品的消费者欣赏与财务担保相关的安全性一样，工人们也在他们的养老金安排中寻求财务安全。危机暴露了向固定缴款计划转变是一个有缺陷的解决方案，因为退休人员发现，随着市场和利率同时下降，他们的福利大大低于预期。一个有吸引力的选择是将一些相对较低的保证水平与固定缴款模式相结合。在拟议的研究计划中，我们将继续开发基于这种混合的养老金设计模型。我们将探讨与其他养老金改革方案相比的利弊。