Measuring, modelling, and managing insurance risks

测量、建模和管理保险风险

• 批准号: RGPIN-2016-03975
• 负责人: Cai, Jun
• 金额: $ 1.6万
• 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: 2020
• 资助国家: 加拿大
• 起止时间: 2020-01-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=708894
• 关键词: Measuring; modelling; managing; insurance; risks

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.

自2007-08年全球金融危机以来，与危机前相比，金融机构和保险公司面临的风险越来越多、更复杂。因此，现代风险管理迫切需要新的风险度量、模型和管理工具。量化风险管理(QRM)的一个重要方面是如何度量、建模和管理风险。研究表明，风险度量在保险和金融的量化风险管理中发挥着关键作用。QRM的许多工具和技术都是基于风险度量的。在本研究方案中，我们从风险管理的角度提出了新的和实用的单变量和多变量风险度量方法，并开发了统一的方法来衡量保险公司的偿付能力风险。本研究开发的新的风险度量方法不仅将为保险公司对保险产品定价提供有效的解决方案，也将为监管机构确定合理的偿付能力资本要求提供有效的解决方案。此外，我们引入了新的模型来分析保险公司在精算决策下的成本和/或损失，并在建模保险风险时考虑了更现实的特征。此外，为了管理保险风险，我们通过开发可行的最优配置方法和最优再保险方案，为保险公司提供了先进的风险管理工具。最后，该研究计划将为高素质人才(HQP)培训提供许多具有挑战性和重要的研究问题。