Risk Prioritization in Actuarial Risk Management

精算风险管理中的风险优先级

• 批准号: RGPIN-2016-04001
• 负责人: Weng, Chengguo
• 金额: $ 1.31万
• 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=635993
• 关键词: Risk; Prioritization; Actuarial; Management

The objective of my research is to develop scientifically sound quantitative tools for complex applications in the fields of insurance and risk management. My proposed research is to develop and investigate innovative risk prioritization strategies for actuarial risk management, through four broad research programs: (i) Optimal reinsurance models; (ii) Optimal hedging with basis risk; (iii) Index tracking; and (iv) Portfolio insurance. Through rigorous mathematical tools and sound optimization frameworks, my proposed research programs advance the science on risk management. The research is timely and is also of significant interest to insurance companies and other financial institutions by providing optimal strategy and guidance in the science of risk management.

我的研究目标是为保险和风险管理领域的复杂应用开发科学合理的定量工具。我建议的研究是通过四个广泛的研究项目，开发和调查精算风险管理的创新风险优先级策略：(i)最优再保险模型；（ii）最优基差风险对冲；指数跟踪；（iv）投资组合保险。通过严谨的数学工具和完善的优化框架，我提出的研究项目推动了风险管理科学的发展。该研究及时且对保险公司和其他金融机构具有重要意义，为风险管理科学提供了最佳策略和指导。