Project CEMAPRE internal
| Title | Ruin, cyber risk, pricing, pension and other problems in risk modelling, for application in insurance, pensions and finance. Continuation. |
| Participants | Renata Alcoforado, Alana Azevedo de Macedo, Agnieszka Bergel, Alfredo Egídio dos Reis (Principal Investigator), Abraham Hernández-Pacheco, Alexandra Moura, Eugenio V. Rodriguez-Martinez |
| Summary | This is a continuation of our 2024 project, for application in insurance, pensions and finance. We keep some of the open problems. We consider the Carmér-Lundberg risk model for insurance application. 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. We will be finishing the problem of calculating ruin probabilities in the context of the Winner's Curse We will complete now 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 continue the Project Application, Call: HORIZON-MSCA-SE-2024, “ARLES, Aging Risks and their Long-term impact on the Economy and Society: Chronological versus Biological Age“. The project was approved but not funded by EU and we resubmit. |
| URL | https://www.iseg.ulisboa.pt/faculty/alfredo-egidio-dos-reis |