Decision making problems in Actuarial Science

精算学中的决策问题

• 批准号: RGPIN-2019-06561
• 负责人: Ren, Jiandong
• 金额: $ 1.17万
• 依托单位: University of Western Ontario
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2021
• 资助国家: 加拿大
• 起止时间: 2021-01-01 至 2022-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=738972
• 关键词: Decision; making; problems; Actuarial; Science

In 2017, global insured losses from catastrophe (CAT) events were USD 144 billion (swiss Re), the highest-ever recorded in a single year. In Canada, the figure was about $1.33 billion (CatIQ). These losses cause serious capital shortage or even solvency problems for insurance companies. Therefore, it is extremely important for insurance companies to hedge these risks. Without proper hedging arrangements, insurance companies may become insolvent, the public exposed risks may not have their claims paid, or the government agencies may need to bail out one or more insurers at the ultimate expenses of the tax payers. The goal of this research program is to study the optimal approach to integrate the available hedging mechanisms to build an effective catastrophe risk management system that considers the interests of all stakeholders, including insureds, insurance companies, reinsurance companies, investors, and the government. Insurers' two commonly used mechanisms to hedge CAT risks are (1) purchasing conventional reinsurance coverages from reinsurers, where the indemnity is a function of the primary insurer's covered losses; and (2) purchasing catastrophe loss index securities from the financial market, where the indemnity is a function of certain CAT loss index, such as industry-wide losses. The question to ask is how to make best uses of such mechanisms. The optimal reinsurance problem is an old one. There are deep results in the literature about what kind of reinsurance coverages insurance companies should purchase and how much it should spend on such coverages. Famous economists such as K. Borch and K. J. Arrow argued that to minimize an insurer's risks, measured by variance, or to maximize its expected utility, the optimal reinsurance policy should have a stop-loss form, where the portion of losses above certain threshold is paid by the reinsurance company. The research area is still very active, with current focus on the format of optimal reinsurance when risks are measured by more modern solvency related risk measures such as Value at Risk (VaR) and Tail Value at Risk (TVaR). There are much fewer results on optimal contracts for CAT loss index-based securities in the literature. However, active researches are being performed around the world. A key insight is that researchers have been studying the optimal reinsurance contracts or index-based securities separately. It is likely much more effective to integrate these  different hedging mechanisms to build a risk management system. Thus, studying the optimal approach to do so is the goal of this research program. To reach the goal, we will combine classical decision-making theory with advanced engineering models of natural hazards, such as earthquakes, in Canada. This combination was made possible by our close collaborations with Western's Civil Engineering team. We believe that this research program will contribute to building an effective Canadian CAT risk management system.

2017年，全球巨灾（CAT）事件的保险损失为1440亿美元（瑞士再保险），是有史以来最高的一年。在加拿大，这一数字约为13.3亿美元（CatIQ）。这些损失给保险公司造成了严重的资本短缺甚至偿付能力问题。因此，保险公司对冲这些风险极为重要。如果没有适当的对冲安排，保险公司可能会破产，公众暴露的风险可能无法支付他们的索赔，或者政府机构可能需要救助一个或多个保险公司，最终费用由纳税人承担。本研究课题的目的是研究整合现有避险机制的最佳方法，以建立一个有效的巨灾风险管理系统，考虑所有利益相关者的利益，包括被保险人，保险公司，再保险公司，投资者和政府。 保险公司对冲巨灾风险的两种常用机制是：（1）从再保险公司购买传统的再保险承保范围，其中赔偿是主保险公司承保损失的函数;以及（2）从金融市场购买巨灾损失指数证券，其中赔偿是某些巨灾损失指数的函数，例如全行业损失。要问的问题是如何最好地利用这些机制。 最优再保险问题是一个古老的问题。关于保险公司应该购买什么样的再保险以及应该在这些保险上花费多少，文献中有很深的结论。著名经济学家K. Borch和K. J. Arrow认为，为了最小化保险公司的风险（用方差衡量），或者最大化其预期效用，最优再保险政策应该有一个止损形式，其中超过一定阈值的损失部分由再保险公司支付。该研究领域仍然非常活跃，目前的重点是最佳再保险的形式时，风险是衡量更现代的偿付能力相关的风险措施，如风险价值（VaR）和风险的尾部价值（TVaR）。在文献中，关于基于CAT损失指数的证券的最优合约的结果要少得多。然而，世界各地正在进行积极的研究。 一个关键的见解是，研究人员一直在研究最佳再保险合同或指数为基础的证券分开。整合这些不同的对冲机制来建立一个风险管理系统可能会更有效。因此，研究这样做的最佳方法是本研究计划的目标。 为了达到这个目标，我们将结合联合收割机经典的决策理论与先进的工程模型的自然灾害，如地震，在加拿大。这种结合是通过我们与西方的土木工程团队的密切合作而实现的。我们相信，这项研究计划将有助于建立一个有效的加拿大CAT风险管理系统。