Pricing, Solvency and Capital Management in Insurance: New Perspectives from the Integration of Actuarial and Financial Economic Theory

本研究将探讨保险公司在均衡架构下的最适资本、定价与偿付能力。它将包括研究极端事件的影响以及风险对公平定价和有效利用资本的依赖性。仅在澳大利亚，保险公司就管理着数十亿美元的资本。保险和金融市场的融合，以及最近突出的事件，如9月11日世界贸易中心灾难的重要性，要求这些问题在一个综合的研究计划相结合的精算和金融经济理论来解决。对资本的最佳水平和类型以及对定价的影响将产生新的见解和理解。这对保险和其他金融服务机构的成功管理和监管至关重要。

This project will investigate the optimal level of capital, pricing and solvency for an insurance company in an equilibrium framework. It will include research on the impact of extreme events and dependence of risks on fair pricing and efficient use of capital. Billions of dollars of capital are under management in insurance companies in Australia alone. The convergence of insurance and financial markets and the recently highlighted importance of events such as the World Trade Centre Disaster on September 11, requires that these issues be addressed in an integrated research program combining actuarial and financial economic theory. New insights and understandings of optimal levels and types of capital and impacts on pricing will result. This is critical to the successful management and regulation of insurance and other financial service organisations.