Research projects

Project CEMAPRE internal

TitleRuin, dividend, cyber risk and ALM problems in the primal and dual risk models, for application in actuarial science, pensions and finance. Continuation.
ParticipantsRenata Alcoforado, Alana Azevedo de Macedo, Alana K Azevedo de Macedo, Agnieszka Bergel, Rui M.R. Cardoso, Mercè Clarammunt, Alfredo Egídio dos Reis (Principal Investigator), Abraham Hernández-Pacheco, Maitè Marmol, Mónica Martinho, Alexandra Moura, Joana Rocha, Eugenio V. Rodriguez-Martinez
SummaryThis is a continuation of the Ruin and Dividends Project approved for 2020. For details see that
project. We continue with the open problems and add a new ones. From that project, we completed what
was planned for Tasks 1, 2 and 6 and continue with tasks 4 and 5 to conclude them.

We keep considering the Carmér-Lundberg risk model for insurance application, or Primal Model, and
the Dual Risk Model with applications to Finance.
We recover the topic the planned "Gerber-Shiu (2005) transform” adaptation to the dual model,
working a penalty function under randomised observations but extending to random observations
following a more general renewal process.
Also, we will be working on a solution for a defective renewal equation for the survival probability
worked by Bergel (2013, Section 5.4.4) in for the renewal Phase-type(n) primal risk model.
On different scope we retrieved the problem in our ‘Ruin theory to Credit Risk 2020” project
application to the probability of default in credit risk, particularly basing the calculation of one
year ruin probabilities, estimating annual interest rates that take into account with default.
We will be working also in extending our work in cyber risk behaviour and measuring, developing
insurance premium estimate calculation.
Ruin probability approach for optimisation of pension fund investments as well as claim dependence
will be under our study, as well as strategic asset allocation in ALM (Asset and Liability
Management ) application to the insurance sector.