Management of financial and actuarial risks: modeling, regulation, incentives and market effects.

The primary goal of this one-year project is to start investigating in depth a number of key aspects of the risk management process of financial institutions and to develop quantitative as well as qualitative tools that may be used for the management of the underlying financial and actuarial risks. The proposed project builds further on the results of the previous GOA/2002/01 and GOA/2007/01 projects. It is intended as a start up of a new GOA proposal, which will actively expand its scope beyond actuarial sciences. The new GOA proposal aims at an interdisciplinary approach and involves actuarial science, finance, accountancy, statistics and probability theory. Current European solvency regulations such as Basel II(III) and Solvency II have allowed financial institutions to develop their own tailor-made internal models for risk management. The results of this research project will provide necessary tools for this difficult task. In addition the project aims at providing scientifically sound tools for the regulatory authorities and supervisors to evaluate the company-specific internal models.

Keywords:Actuarial science, Modeling, Accounting, Regulation, Incentives, Finance, Market effects, Internal model

Disciplines:Applied economics, Economic history, Macroeconomics and monetary economics, Microeconomics, Tourism