Measuring, modelling, and managing insurance risks

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Since the global financial crisis of 2007-08, financial institutions and insurance companies have been facing increasing and more complex risks if compared to the time before the crisis. Therefore, new risk measures, models, and management tools are pressingly needed for modern risk management. A crucial aspect in quantitative risk management (QRM) is how to measure, model, and manage risks. As research has shown, risk measures play a key role in QRM for insurance and finance. Many tools and techniques of QRM are based on risk measures. In this research program, we propose new and practical univariate and multivariate risk measures from the perspectives of risk management and develop unified methods to measure the solvency risks of insurance companies. The new risk measures developed from this study will provide effective solutions not only for insurance companies to price insurance products but also for regulators to determine reasonable solvency capital requirements. In addition, we introduce novel models for analyzing the costs and/or losses of insurance companies under actuarial decisions and take into consideration more realistic features in modelling insurance risks. Moreover, to manage insurance risks, we provide advanced tools of risk management for insurance companies by developing feasible optimal allocation methods and optimal reinsurance schemes. Finally, the research program will offer many challenging and important research problems for the purpose of highly qualified personnel (HQP) training. **