Risk aggregation beyond the normal limits

Risk aggregation is omnipresent in insurance applications. A recent example, borrowed from the modern regulatory accords, is the determination of the aggregate economic capital and its consequent allocation to risk drivers. A more traditional illustration of the importance of risk aggregation in insurance is the celebrated collective risk theory that dates back to the early years of the 20th century. This project will assist Sun Life Financial to build and implement an efficient quantitative framework to approximate the aggregate risk of its portfolio. Among the implications are a better quantitative and qualitative understanding of company's risk, liability and capital profile, and, more generally, an improved risk management decision making process.

Lingzhi Chen
Zhe Li
Faculty Supervisor: 
Edward Furman
Ricardas Zitikis
Project Year: