Project CEMAPRE internal
| Title | Insurance and reinsurance: constraints, smart reinsurance, emerging risks and extremes |
| Participants | Lídia André, Manuel Guerra, Alexandra Moura (Principal Investigator), Carlos Oliveira, Onofre Simões |
| Summary | The project continues the 2025 project with the title "Optimal reinsurance: constraints, smart reinsurance and emerging risks", focusing focuses on the optimal reinsurance problem together with new approaches and ideas for further studying risk modelling and its implications in insurance and reinsurance design. Besides the impact of dependences and constraints in the optimal reinsurance contract, and apart from considering, we will also analyse time dependences, including the study of "smart reinsurance" where the reinsurance contract can be adjusted in time, before the end of the contract period, and also considering a Bayesian approach to Cox and Hawkes Processes, which are suited for contagious risks. The optimal surplus reinsurance problem will also be revisited and investigated, using simulation based on real data. The analysis of Climate risks including data analysis of real and simulated data, as well as the study of extremes, will also be carried out. |