Project CEMAPRE internal
| Title | Ruin, cyber risk, pricing, pension and ALM problems in risk modelling, for application in insurance, pensions and finance. Continuation. |
| Participants | Renata Alcoforado, Alana Azevedo de Macedo, Agnieszka Bergel, Rui Cardoso, Mercè Clarammunt, Alfredo Egídio dos Reis (Principal Investigator), Abraham Hernández-Pacheco, Maité Marmol, Alexandra Moura, Joana Rocha, Eugenio Rodriguez-Martinez |
| Summary | "This is a continuation of our 2023 project, for application in insurance, pensions and finance. We keep the open problems and 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 introduce dependence, claim size and counts dependence. 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 continue working 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 add the problem of calculating ruin probabilities in the context of the Winner's Curse We will complete the topic on cyber risk pricing. 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. To the former project we add the Project Application, Call: HORIZON-MSCA-SE-2023, “ARLES, Aging Risks and their Long-term impact on the Economy and Society: Chronological versus Biological Age“." |