HFT auf Facebook      HFT auf Twitter   HFT auf Youtube   HFT und Snapchat

Incorporating parameter risk into calculations of risk capital for insurance portfolios <<

Akronym Parameterrisiko
Funding Deutscher Verein für Versicherungswissenschaft e.V. (DvfVW)
Request for Proposal Antrags-Forschungsprojekte, Modul 1
Supporting Organisation Deutscher Verein für Versicherungswissenschaft e.V. (DvfVW)
HFT project director Prof. Dr. Annegret Weng
Project Staff David Blanco de Tena-Dávila
Duration 15.01.2015 - 30.06.2016
Project description This research project focuses on the incorporation of parameter risk into calculations of risk capital at insurance companies. It is assumed that the risk to be quantified can be given as random variable X (which belongs to a known distribution family, e.g. normal distribution), but that the parameter (vector) (e.g. expected value and standard deviation) can only be estimated on the basis of historical data. The quantile that is of interest when calculating risk capital can also only be estimated. The project will therefore focus on the identification of cases in which this leads to the systematic underestimation of risk capital. It will also include the development of risk capital calculation methods which ensure that parameter risk is properly taken into account. This will involve the consideration of constant variables, discrete random variables and more complex distributions (e.g. the aggregate loss distribution of the collective model). The project results will be assessed in terms of their practical relevance and presented accordingly.