Discovery Projects - Grant ID: DP0345036

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP0345036

Funding Status
Closed

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Funded Activity Summary

Pricing, Solvency and Capital Management in Insurance: New Perspectives from the Integration of Actuarial and Financial Economic Theory. This project will investigate the optimal level of capital, pricing and solvency for an insurance company in an equilibrium framework. It will include research on the impact of extreme events and dependence of risks on fair pricing and efficient use of capital. Billions of dollars of capital are under management in insurance companies in Australia alone. The convergence of insurance and financial markets and the recently highlighted importance of events such as the World Trade Centre Disaster on September 11, requires that these issues be addressed in an integrated research program combining actuarial and financial economic theory. New insights and understandings of optimal levels and types of capital and impacts on pricing will result. This is critical to the successful management and regulation of insurance and other financial service organisations.

Funded Activity Details

Start Date: 30-04-2003

End Date: 31-12-2006

Funding Scheme: Discovery Projects

Funding Amount: $165,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis And Modelling | Finance | Insurance Studies | Banking, Finance and Investment

ANZSRC Socio-Economic Objective (SEO)

Finance and investment services | Insurance services |

Other Keywords

Banking, Finance and Investment | Finance | Finance and investment services | Insurance Studies | Insurance services | Stochastic Analysis And Modelling

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