Risk analysis and computational finance

现代金融业——包括银行、投资和保险部门——严重依赖现代的、基于计算机的风险分析和管理。随着金融产品种类和复杂性的增加，准确可靠的风险管理变得更加复杂和必要。近年来，安然、巴林银行、长期资本、英国公平人寿的迅速倒闭，以及最近的次贷危机等几起悲剧性的失败，导致数百万投资者损失惨重，并充分证明了风险管理不当的后果。企业可靠的风险缓解和风险管理成为金融机构生存的关键问题。谭教授将在这一重要领域做出重大贡献。谭教授的研究将集中在三个关键领域。谭教授研究项目的第一个目标是致力于开发稳健的理论模型，以最佳地利用再保险来管理保险公司的风险。谭教授的第二个研究目标是通过分析盈余的演变及其在保费、理赔和利息之间的相互作用来分析和评估保险业务的风险。谭教授结合了许多经验观察到的索赔经验特征，如相关性和大额索赔的可能性、利息因素和延迟因素，得出了一些关于保险业务盈余降至零以下可能性的理论结果。这提供了关于保险业务可行性的重要信息，如果这种可能性很大，则需要采取适当的风险缓解措施。虽然前两个目标主要侧重于理论分析，但谭教授也认识到，在实践中遇到的许多问题往往是难以处理的。因此，谭教授研究项目的最后一个目标是关注复杂模型的最先进的数值解决方案。增强的模拟技术有潜力转化为时间和计算工作的显著节省。这大大补充了前两个目标所确立的分析结果。

The modern financial industry-comprising the banking, investment and insurance sectors - relies heavily on modern, computer-based risk analysis and management. As the array of financial products grows in variety and complexity, accurate and reliable risk management has become both more complex and more essential. Several tragic failures in recent years-such as the rapid demise of Enron, Barings Bank, Long Term Capital, Equitable Life in UK, and more recently the subprime crisis - have caused millions of investors to lose their money, and have provided ample evidence of the consequences of inappropriate risk management. Reliable risk mitigating and risk managing of the enterprise become a critical issue for the viability of a financial institution. It is this important area where Prof. Tan will have a significant contribution. Prof. Tan's research will focus on three key areas. The first objective of Prof. Tan's research program is devoted to developing robust and theoretical sound model for optimally using reinsurance to manage the risks of an insurance company. The second objective of Prof. Tan's research program is to analyze and assess the riskiness of an insurance business by analyzing the evolution of the surplus and its interplay between the premium, claims and interest. By incorporating many empirically observed characteristics of the claim experience, such as correlation and the possibility of large claims, the interest factor and delayed factor, Prof. Tan derives some theoretical results on the likelihood that an insurance business's surplus will ever fall below zero. This provides important information on the viability of insurance business and calls for appropriate risk mitigation measures if this probability is large. While the first two objectives focus mostly on the theoretical analysis, Prof. Tan also recognizes that many of the problems encountered in practice are often not tractable. Hence the last objective of Prof. Tan's research program focuses on the state-of-the-art numerical solution for complex models. The enhanced simulation technique has the potential of translating into a significant savings, both in time and in computing effort. This greatly complements the analytical results established in the first two objectives.