Quantitative Risk Management and Computational Finance

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The modern financial industry - comprising the banking, investment and insurance sectors - relies heavily on modern, computer-based risk analysis and management. As the array of financial products grows in sophistication and complexity, accurate and reliable risk management has become both more complex and more essential. The recent financial crisis dramatically highlighted the importance of risk management. Reliable risk mitigating and risk managing of the enterprise become a critical issue for the viability of a financial institution. It is this important area where Prof. Tan will have a significant contribution. Prof. Tan's research will focus on four key areas. The first objective of Prof. Tan's research program is devoted to developing robust and theoretical sound model that manage the risks of an insurance company optimally via reinsurance. The second objective is to provide effective partial hedging strategy for hedging complicated financial and insurance products. Over the last 100 years, life expectancies have increased at the rate of approximately 2.5 years per decade. The enormous improvement in life expectancy is certainly one of the greatest achievements of modern civilization, but unanticipated mortality improvements can pose huge problems to individuals, pension sponsors, corporations and governments. Therefore, the third objective of Prof. Tan's research program focuses on innovative method of pricing mortality-linked securities and the analyzes pension underfunding risk and total pension cost. Prof. Tan recognizes that many of the problems encountered in practice are often not tractable. Hence the last objective of Prof. Tan's research program focuses on the state-of-the-art simulation algorithm for complex applications. The enhanced simulation technique has the potential of translating into a significant savings, both in time and in computing effort. This greatly complements the analytical results established in the earlier parts of the research program.