Period 2010-2015 – Management of Modelling in Insurance
Since its launch in October 2010, the academic research activity of the chair members focused on the following topics.
- The explicit calculation of ruin probability when the claims amount and/or the inter-arrival of claims are dependent
- The evaluation and quantification of the risk of misestimation and the bias present when aggregation risks
- Statistical estimation of risk indicators in the presence of several risk factors (multidimensional problems), and applications in risk theory, the ERM (“Enterprise Risk Management”) and in the context of Solvency 2
- The modeling of rare or extreme events and its applications in risk theory
- The calculation of the risk margin for non-life insurance risks in the context of Solvency 2
- The modeling of biometric risks and catastrophic events
- The management of correlated risks, particularly for credit, counterparty and liquidity risks
- Accounting issues in insurance related to the implementation of Solvency 2
The academic research during the period 2010-2015, focused on three main themes:
- New developments of risk theory : taking account of dependencies, explicit calculations of ruin probabilities, multivariate risk indicators, rare or extreme events, economic risk analysis. Contributions from the chair to this theme.
- Management of economic capital of insurance companies : Solvency 2 related adjustment, economic scenarios generator, model risk, risk aggregation, capital allocation, risk margin, ERM. Contributions from the chair to this theme.
- Default risks, liquidity, biometric risks : correlated default risk, counterparty risk, own credit, impact of new regulations on the cost and resources sustainability, modeling of longevity and mortality risks. Contributions from the chair to this theme.