Quantitative Risk Management under Model Uncertainty: Reinsurance, Capital Allocation, and Systemic Risk

模型不确定性下的定量风险管理：再保险、资本配置和系统性风险

• 批准号: RGPIN-2022-03354
• 负责人: Cai, Jun
• 金额: $ 2.26万
• 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: 2022
• 资助国家: 加拿大
• 起止时间: 2022-01-01 至 2023-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=765748
• 关键词: Quantitative; Risk; Management; under; Model

Insurance companies and financial institutions are facing increasing and more complex risks because of the rising number of extreme events, such as the global financial crisis of 2007-08, the global COVID-19 pandemic, and wild forest fires. New risk models and risk management methods are pressingly needed for modern quantitative risk management (QRM) in insurance and finance. A crucial aspect in QRM is how to measure, model and manage risks to be faced by insurance companies and financial institutions.  Existing tools and techniques of QRM are based largely on the assumption that the complete distributional information of risks is known. However, in most practical situations, only the partial distributional information of risks is available. Sometimes only means and variances of risks are available, while other times only the marginal distributions of risks are known but the dependence structure of risks is unknown, or the distribution parameters of risks are uncertain. All such situations or uncertainties are referred to as model uncertainty, which is an important issue in QRM.  In this proposed research, I will focus on how to model and manage risks of insurance and finance under model uncertainty.   The long-term objective of my research program is to provide novel models and practical solutions for QRM in insurance and finance under model uncertainty and enable decision-makers of QRM to have a better understanding of the risks resulting from model uncertainty. The short-term objectives of my research program are as follows: (A) Develop innovative models and methods for optimal reinsurance under distributional uncertainty; (B) Provide optimal reinsurance solutions for insurance portfolios under dependence uncertainty; (C) Develop one-step schemes for determining capital requirements for risk portfolios; and (D) Manage systemic risks of insurance and finance portfolios by optimal capital allocation schemes. The innovation of the proposed research lies in addressing the critical issue of model uncertainty in QRM for insurance and finance, providing novel optimal reinsurance models and practical solutions for insurance companies to deal with model uncertainty, and managing systemic risks in insurance and finance by optimal capital allocation schemes. The one-step schemes for determining capital requirements developed in this research will help the regulators to stipulate more reasonable capital requirements for insurance companies and financial institutions. The questions addressed in this research program are important and timely. Students involved in this research program will learn how to propose and model QRM problems from a practical perspective, how to solve problems by developing new skills and employing the cutting-edge technologies. Through the training in this program,  students will gain knowledge and skills of QRM to enable them to successfully find jobs in academia or insurance and finance industries.

由于极端事件数量不断增加，例如2007-08年的全球金融危机、全球COVID-19大流行和森林火灾，保险公司和金融机构面临着越来越多、更加复杂的风险。保险和金融领域的现代定量风险管理（QRM）迫切需要新的风险模型和风险管理方法。 QRM 的一个重要方面是如何衡量、建模和管理保险公司和金融机构面临的风险。  现有的 QRM 工具和技术很大程度上基于已知风险的完整分布信息的假设。然而，在大多数实际情况下，只能获得风险的部分分布信息。有时只知道风险的均值和方差，有时只知道风险的边际分布，但风险的依赖结构未知，或者风险的分布参数不确定。所有此类情况或不确定性都称为模型不确定性，这是 QRM 中的一个重要问题。  在这项拟议的研究中，我将重点关注如何在模型不确定性下对保险和金融风险进行建模和管理。   我的研究项目的长期目标是为模型不确定性下的保险和金融QRM提供新颖的模型和实用的解决方案，使QRM的决策者更好地理解模型不确定性带来的风险。我的研究计划的短期目标如下： (A) 开发分配不确定性下最优再保险的创新模型和方法； (B) 为依赖不确定性下的保险组合提供最优再保险解决方案； (C) 制定确定风险投资组合资本要求的一步式计划； (D) 通过最优资本配置方案管理保险和金融组合的系统性风险。本研究的创新点在于解决保险金融QRM模型不确定性的关键问题，为保险公司应对模型不确定性提供新颖的最优再保险模型和实用解决方案，并通过最优资本配置方案管理保险金融系统性风险。本研究制定的一步式确定资本要求的方案将有助于监管机构为保险公司和金融机构制定更加合理的资本要求。本研究计划解决的问题非常重要且及时。 参与该研究项目的学生将学习如何从实践角度提出和建模 QRM 问题，如何通过发展新技能和采用尖端技术来解决问题。通过该计划的培训，学生将获得 QRM 的知识和技能，使他们能够在学术界或保险和金融行业成功找到工作。