Risk Prioritization in Actuarial Risk Management

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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.