Discovery Projects - Grant ID: DP200100615

Funding Activity

Website
http://dataportal.arc.gov.au/NCGP/Web/Grant/Grant/DP200100615

Funding Status
Active

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Funded Activity Summary

Shock model-based framework for modelling correlated large losses. This project aims to develop aggregate risk models by utilizing shock models in reliability theory. It intends to provide a new alternative approach which is more realistic and also mathematically tractable in order to estimate various types of quantities in (re)insurance and operational risk management. The expected outcome includes enhanced capacity by advanced analytical tools to assess correlated and large risks, thus assisting in the management of key risks and improving the effectiveness of risk management. This should benefit the stability of the financial and regulatory systems where large and dependent risks are concerned.

Funded Activity Details

Start Date: 15-06-2020

End Date: 30-06-2025

Funding Scheme: Discovery Projects

Funding Amount: $334,000.00

Funder: Australian Research Council

Research Topics

ANZSRC Field of Research (FoR)

Stochastic Analysis and Modelling | Investment and Risk Management | Banking, Finance and Investment | Insurance Studies

ANZSRC Socio-Economic Objective (SEO)

Finance Services | Superannuation and Insurance Services |

Other Keywords

Banking, Finance and Investment | Finance Services | Insurance Studies | Investment and Risk Management | Stochastic Analysis and Modelling | Superannuation and Insurance Services

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