Related projects
Discover more projects across a range of sectors and discipline — from AI to cleantech to social innovation.
Traditional insurance models build on the assumption of independence of risks. One of the main causes of the recent financial crisis, this assumption has facilitated the quantification of risks for decades, but it has often lead to risks’ under-estimation and as a result under-pricing. Importantly, one of the prime pillars of the novel concept of Enterprise Risk Management is the requirement that insurance companies have a clear understanding of risks’ interconnections within the risk portfolios. However, modeling dependence is not an easy call. In fact, there is only one way to formulate independence, whereas the shapes of probabilistic dependence are infinite. In this project, we aim at developing tractable technically and interpretable practically probabilistic models of dependence that describe the adverse effects of multiple risk drivers on the risk portfolio of a generic insurer. The outcomes will be applied to the Own Risk and Solvency Assessment of Sun Life Financial.
Edward Furman
Jianxi Su
Sun Life Financial
Mathematics
York University
Elevate
Discover more projects across a range of sectors and discipline — from AI to cleantech to social innovation.
Find the perfect opportunity to put your academic skills and knowledge into practice!
Find ProjectsThe strong support from governments across Canada, international partners, universities, colleges, companies, and community organizations has enabled Mitacs to focus on the core idea that talent and partnerships power innovation — and innovation creates a better future.