Stochastic risk management for actuarial science

自2007年开始的金融危机以来，金融服务提供商的偿付能力已成为一个紧迫的调查领域。与其他地区相比，加拿大保险业受到的损害要小得多。一个重要原因是10年前开始的更加随机的风险管理。尽管如此，市场压力往往会导致产品和偿付能力面临挑战，直到风险敞口已经很大时才会意识到这些挑战。为银行业开发的科学风险管理技术并不总是容易转移到寿险业更长、更不确定的产品带来的额外挑战上，特别是在这些产品结合了市场和保险风险的情况下。一个经典的例子是包含保险和投资部分的人寿保险合同，其中嵌入了财务担保。这项研究的一个主要目标是开发尖端的、实用的和可实施的现代保险产品的风险管理技术，包括股权挂钩人寿保险和可变万能人寿保险。随着风险管理技术的发展，产品的设计也将发生变化；长期保险产品的设计和管理的集成是一个特别关注的焦点。正如保险产品的消费者欣赏与财务担保相关的安全一样，工人们在他们的养老金安排中寻求财务安全。转向固定缴费计划的举措被危机暴露为一个有缺陷的解决方案，因为退休人员发现，随着市场和利率同时下降，他们的福利明显低于预期。一个有吸引力的选择是将一些相对较低的担保水平与固定缴款模式相结合。在拟议的研究计划中，我们将继续开发基于这种混合模式的养老金设计模型。我们将探讨与其他养老金改革方案相比的利弊。

Since the financial crisis that began in 2007, the solvency of financial service providers has become an urgent area of investigation. The Canadian insurance industry came through rather less damaged than elsewhere. One important reason was the move towards more stochastic risk management initiated a decade ago. Still, market pressures have often resulted in products and solvency challenges that are not recognised until the risk exposure is already substantial. Scientific risk management techniques developed for banking do not always transfer easily to the additional challenges created by the longer, more uncertain products of the life insurance industry, especially where these products combine market and insurance risks. A classic example is a life insurance contract with insurance and investment components, with embedded financial guarantees. A major objective of this research is to develop risk management techniques that are leading edge, practical and implementable for modern insurance products, including equity-linked life insurance, and variable universal life insurance. As risk management techniques evolve, the design of products will also change; the integration of design and management of long term insurance products is a particular focus. Just as consumers of insurance products appreciate the security associated with financial guarantees, workers seek financial security in their pension arrangements. The move toward defined contribution plans has been exposed as a flawed solution by the crisis, as retirees found their benefits significantly lower than predicted as markets and interest rates fell simultaneously. An attractive option is to combine some relatively low guarantee level with the defined contribution model. In the proposed research program we will continue to develop a model pension design based on this hybrid. We will explore the advantages and disadvantages compared with other proposals for pension reform.