Research Project 1

RP1. A unified risk minimization framework (Hassan Jawaid)

Leading Partner: Aarhus School of Business. Supervisor: Prof. Peter Jørgensen

Companies offering variable annuities are exposed to financial risks, i.e., equity performance, volatility risk, interest rate risk, and credit risks, in  addition to insurance risk (mortality, longevity, and surrender). The ESR in this RP aims to integrate insurance models with financial models for overall risk management with variable annuities. In addition, the RP works on both local and total risk minimization strategies. Furthermore, an integrated approach is of crucial importance in ALM calculations.This RP depends partly on the RPs on calibration (6), the RPs on volatility risk (7, 8), efficient numerical methods in financial modelling (RP 9, 10), and HPC (RP 11, 12, 13) and yields practical outcomes that can be directly applied to variable variables in the insurance business. The results are expected to be published in applied journals in insurance and risk management.

Results

Deliverables

DELIVERABLE 1.3 on project 1 (H. Jawaid, AU): "Report on Validation and Comparison of Developed and Implemented Risk Minimization Framework" [download]

Presentations

  • Jawaid, H. "Impact of Target Volatility Strategies on Variable Annuities, FRG Meeting, Aarhus University, Denmark, 3th November 2015.
  • Jawaid, H. "GLWB Valuation and Risk Management", Napier 400, Edinburgh, UK, April 4th 2014.
  • Jawaid, H. "Valuation of Variable Annuities with Guaranteed Lifetime Withdrawal Benefits", Brown Bag Seminar at Aarhus University, Aarhus, Denmark, April 1st 2014.
  • Jawaid, H. "Variable Annuities and Risk Management", Summer School: Numerical and quantitative methods in finance, Maastricht, Netherlands, 27 August 2013.

Final conference