Project CEMAPRE internal
| Title | Ruin, dividend, cyber risk and ALM problems in the primal and dual risk models, for application in actuarial science, pensions and finance. Continuation. |
| Participants | Renata 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 |
| Summary | This 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. |