Solvency and Ruin
Ruin theory is devoted to the quantification and assessment of the likelihood of insolvency for insurance business. A typical approach for ruin analysis is to investigate a stochastic model representing an insurer’s asset and liability structure and to calculate various measures of ruin, which occurs when the insurer’s assets fail to keep up with its liabilities.
Risk aggregation and capital allocation are of paramount importance in the business world, as they play critical roles in pricing, risk management, project financing, performance management, regulatory supervision, etc. We study and propose innovative risk aggregation and capital allocation methods for a variety of areas of practice, including property and casualty, life and annuities, etc.