Risk Prioritization in Actuarial 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。******第一个研究计划的主要目标是发展理论上有趣和实际有用的最优再保险模型，并推导其解析解。本研究将对最优再保险的科学研究起到重要的推动作用，加深我们对将再保险作为一种有效的风险管理工具的认识。第二个研究项目的主要目标是在理论上合理的框架下，开发最优解决方案，以全面解决和量化基础风险，特别是关注动态设置，这大大增加了问题的复杂性。第三个研究项目旨在开发新的、计算效率高的索引跟踪程序。该研究不仅对投资组合和基金经理，而且对精算师降低基差风险具有重要意义。最后一个研究计划的主要目标是设计具有担保特征的新的主动资产管理策略，并通过考虑各种实际重要因素来量化其绩效。所建立的结果不仅有助于CPPI基金的提供者对缺口风险进行有效的评估，也有助于投资者加深对其风险与回报权衡的理解。所有这四个拟议的研究项目都将涉及培养硕士、博士和博士后水平的高素质人才。

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. ******The key objective of the first research program is to develop theoretically interesting and practically useful optimal reinsurance models and derive their analytical solutions. The research is anticipated to significantly advance the scientific research on optimal reinsurance and deepen our understanding of using reinsurance as an effective risk management tool. The primary goal of the second research program is to develop optimal solutions to comprehensively addressing and quantifying the basis risk in a theoretically sound framework, especially focusing on a dynamic setting, which significantly increases the complexity of the problem. The third research program aims to develop novel and computationally efficient procedures for index tracking. The research is not only of paramount importance to the portfolio and fund managers but also actuaries in minimizing basis risk. The primary objective of the last research program is to devise new active asset management strategies with guarantee features and quantify their performance by taking into account a variety of pragmatically important factors. The established results are significantly helpful not only for the provider of a CPPI fund to conduct an effective evaluation on the gap risk, but also for the investors to deepen their understanding on their risk and reward tradeoffs. All the four proposed research programs will involve training of highly qualified personnel at the master's, PhD, as well as postdoctoral levels.