Projects

Cyber Risk Assessment

New cyber risk assessment models based on cybersecurity analysis of vulnerability and threat.

Decentralized Insurance and Risk Sharing

Peer-to-peer risk sharing and other decentralized designs.

Infectious Disease Risk Modeling and Planning

Proof-of-concept modeling of infectious disease insurance; pandemic contingency planning and response strategies

Financial Market and Derivatives

Winning and losing streaks in financial markets; conditional Asian options

Risk Aggregation and Capital Allocation

The new approach extends the current practice of allocating diversification benefits and provides consistency between risk aggregation and capital allocation.

Equity-Linked Insurance

Modeling, pricing, valuation and risk management of equity-linked insurance

Nested Stochastic Modeling

Research studies on computational methodologies to accelerate run time and improve model efficiency for nested Monte Carlo simulations

Pension-Related Public Policy Analysis

Quantitative assessment of pension-related public policies and feasibility study of market solutions

Ruin and Solvency

Ruin probability of insurance companies with given asset and liabilitiy structure