Dependence in actuarial science: multivariate models, risk assessment and claim reserving

精算科学中的依赖性：多元模型、风险评估和索赔准备金

• 批准号: RGPIN-2017-04273
• 负责人: Cossette, Hélène
• 金额: $ 2.81万
• 依托单位: Université Laval
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2018
• 资助国家: 加拿大
• 起止时间: 2018-01-01 至 2019-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=648121
• 关键词: Dependence; actuarial; science; multivariate; models

The construction of actuarial models allowing dependence relationships has progressed since its beginning in the 1990's and their application in different contexts has demonstrated their usefulness. Nonetheless, problems in industry remain unsolved and more suitable dependence structures as well as numerical tools to evaluate quantities of interest are needed. Risk models based on dependence structures are still at the center of ongoing research in different areas such as risk theory and loss reserving. Further developments are still required to provide more flexible and suitable dependence frameworks with the necessary efficient numerical methods to adequately quantify risks in such contexts.***My research program over the next few years consists in developing in risk theory and loss reserving settings new multivariate frameworks with numerical tools to evaluate risks exactly or numerically within such frameworks. These innovations will be better suited for modern tasks of actuaries. In the short term, I will propose new approaches to construct bivariate and multivariate models for risk portfolios and examine risk aggregation and capital allocation under them. To this aim, I will propose in the context of large portfolios efficient numerical and sampling methods to compute risk measures for functions of dependent losses. These constructions and tools will be used to propose multiperiod risk models models under dependence assumptions and for several lines of business. Such dynamic risk models allow evaluating the risks associated to a portfolio over time. Multivariate constructions will be proposed and studied for loss reserving to appraise adequately the risks associated to the activities of insurance companies as a whole and not solely for each risk class. Reserves consist of a major element in financial statements of a financial institution and setting an appropriate reserve level for future claims payment is one of the main tasks of property/casualty actuaries.***In the long term, the questions addressed in my research program will enable actuaries to have a better understanding of the risks they undertake and the needed amount of capital to secure their operations. This program innovates with research and training propositions that are at the core of the activities of an insurance company which impact their position in the industry and financial strength. *****

允许依赖关系的精算模型的构建自20世纪90年代以来得到了很大的发展，并在不同背景下的应用证明了它们的有效性。尽管如此，工业中的问题仍然没有得到解决，需要更合适的依赖结构和数字工具来评估感兴趣的数量。基于相关性结构的风险模型仍然是风险理论和损失准备金等领域正在进行的研究的中心。还需要进一步的发展，以提供更灵活和更合适的依赖框架，提供必要的有效数字方法，以便在这种情况下充分量化风险。*我在未来几年的研究计划包括在风险理论和损失准备金环境中开发新的具有数字工具的多元框架，以准确或数字地评估此类框架内的风险。这些创新将更适合精算师的现代任务。在短期内，我将提出新的方法来构建风险投资组合的双变量和多变量模型，并研究它们下的风险聚集和资本配置。为此，我将在大型投资组合的背景下，提出有效的数字和抽样方法来计算相依损失函数的风险度量。这些结构和工具将被用来提出多期风险模型、相依性假设下的模型和几个业务领域的模型。这种动态风险模型允许评估随时间推移与投资组合相关的风险。将提出和研究损失准备金的多元结构，以充分评估与整个保险公司活动有关的风险，而不是仅针对每个风险类别。准备金是金融机构财务报表中的一个主要因素，为未来的理赔设定适当的准备金水平是财产/意外伤害精算师的主要任务之一。*从长远来看，我的研究计划中提出的问题将使精算师更好地了解他们承担的风险和确保其运营所需的资本量。这一计划创新了研究和培训主张，这些主张是保险公司活动的核心，影响着他们在行业中的地位和财务实力。*****