Research projects

Project CEMAPRE internal

TitleRuin, cyber risk, pricing, pension and ALM problems in risk modelling, for application in insurance, pensions and finance.
ParticipantsRenata Alcoforado, Alana Azevedo de Macedo, Agnieszka Bergel, Rui Cardoso, Mercè Clarammunt, Alfredo Egídio dos Reis (Principal Investigator), Abraham Hernández-Pacheco, Maité Marmol, Alexandra Moura, Zbigniew Palmowski, Joana Rocha, Eugenio Rodriguez-Martinez
SummaryThis is a continuation of our Ruin, cyber risk, pension and ALM problems in risk modelling, for
application in insurance, pensions and finance project of 2022. There are still some open problems
and we add some more.
We consider the Carmér-Lundberg risk model for insurance application, or Primal Model, and the
corresponding Dual Risk Model with applications to Finance.
We continue the planned topic "Gerber-Shiu (2005) transform” adaptation to the dual model, with
a penalty function under randomised observations.
Also, we will be working on a solution for a defective renewal equation for the survival
worked by Bergel (2013, Section 5.4.4) in for the renewal Phase-type(n) primal risk model.
On different scope we work 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
year ruin probabilities, estimating annual interest rates that take into account with default.
We add the problem of calculating ruin probabilities in the context of the Winner's Curse
On cyber risk we focus now on the problem of pricing, premium 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 and pension sector.
We extend our study to risk and ruin models allowing dependence.