Sponsor: Society of Actuaries Centers of Actuarial Excellence Research Grant
In actuarial science, it is well known that independent assumptions in most of the models are very restrictive and somewhat unrealistic. As the rapid growth of insurance and investment products introduces a great deal of complexity to the valuation of financial firms, careful and thorough assessment of dependent risks is crucial to the development of sophisticated tools for dynamic financial analysis. Although the incorporation of correlation among risks makes various actuarial and financial problems difficult to deal with, the analysis of general dependence structure is still possible with the advancement of mathematical and statistical tools.
Due to the importance of the topic of study, insightful research in this direction has been carried out in recent years. Many significant issues still remain to be studied since the analysis of dependent risks is profound and challenging. In this project, insurance risk models with dependent risks, which generalize many existing and classical models, will be proposed and analyzed. Important applications in many different areas in insurance and finance will be investigated such as equity linked insurance products, quantitative risk management, optimal reinsurance strategies, tail value-at-risk and ruin analysis. Our research will provide new insights so as to contribute to our mission on actuarial science research and education.