Lead by Mélina Mailhot, Department of Mathematics and Statistics, Concordia University; and Silvana Pesenti, Department of Statistical Sciences, University of Toronto.
Every year, Canada and the entire world face natural disasters such as winter storms, floods, and wildfires which occur with rising probabilities and magnitudes. Predicting the occurrence and severities of natural catastrophes is statistically a difficult task, however indispensable for insurance companies underwriting natural catastrophes.
Insurance companies face the challenge of setting insurance premiums long before claims realise. Adequate premiums require sophisticated statistical models that incorporate all peculiarities of the covered risks. Recent years have seen tremendous improvements in statistical modelling for insurance risk management, both theoretical and computational. These advances may not all be reflected in the solvency capital requirement – the capital insurance companies are required to hold by regulation.
This project aims to advance the theory and application of risk assessment to insurable natural disasters. A particular focus lies in
- Understanding suitable risk measures for assessing risk inherent in natural catastrophes
- Stress testing the resilience of the Canadian insurance market to natural disasters
- Providing an alternate potential approach for calculating solvency capital requirements for insurable natural catastrophes.
The successful implementation of these research objectives will, in collaboration with the Office of the Superintendent of Financial Institutions Canada, the Autorité des marchés financiers, and the Canadian Institute of Actuaries, provide a better understanding of the risks inherent in natural catastrophes.
Call for Letters of Intent
Researchers can now apply to the next round of CRTs. LOIs are due May 7, 2021. We encourage researchers from any field to apply, no matter what stage you are at in your career. Collaborating with a statistics researcher is key.
Mélina Mailhot, Department of Mathematics and Statistics, Concordia University.
Silvana Pesenti, Department of Statistical Sciences, University of Toronto.
Marius Hofert, Department of Statistics and Actuarial Science, University of Waterloo.
Shlomit Jacobson, PhD. Program Manager, Research, CIA.
Claude La Rochelle, Actuarial Standard Analyist, AMF.
Andrei Serykh, Modeling Specialist, Property, Casualty, and Mortgage Insurance, OSFI.