Grant: Discovery Grants Program - Individual
University of Western Ontario
$11,000.00
Mortality risk: modelling, evaluation and risk management
FY 2021-22
Summary
Markovian modulated process; Mortality-linked derivatives; Mortality/longevity risk; Phase-type distribution; quantitative methods for insurance derivatives; risk analysis of pension funds; risk transfer and risk managenment; Stochastic mortality models
Program
Discovery Grants Program - Individual
Recipient
Location
Ontario, Canada
Recipient Type
Academia
Type
Grant
Source
NSERC's Awards Data
As published
Application id
RGPIN-2014-04682
Name nom
Liu, Xiaoming
Department département
Statistical and Actuarial Sciences - Statistical and Actuarial Sciences
Organization id
36
Institution établissement
University of Western Ontario
Province en
Ontario
Province fr
Ontario
Country en
CANADA
Country fr
CANADA
Fiscal year exercice financier
2021
Competition year année de concours
2014
Award amount
11000
Program id
RGPIN
Program name en
Discovery Grants Program - Individual
Program name fr
Programme de subventions à la découverte - individuelles
Group en
Discovery grants programs
Group fr
Programmes de subventions à la découverte
Committee code
1508
Committee name en
Mathematics and Statistics
Committee name fr
Mathématiques et statistique
Area of application code
405
Area of application group en
Environment
Area of application group fr
Environnement
Area of application en
Modelling and mathematical simulation of natural processes
Area of application fr
Modélisation et simulation mathématique des processus naturels
Research subject code
3007
Research subject group en
Statistics and probability
Research subject group fr
Statistique et probabilité
Research subject en
Stochastic processes
Research subject fr
Processus stochastiques
Installment
inst:8
Partie
1
Nb partie
8
Application title
Mortality risk: modelling, evaluation and risk management
Keyword
NSERC
Application summary
Markovian modulated process; Mortality-linked derivatives; Mortality/longevity risk; Phase-type distribution; quantitative methods for insurance derivatives; risk analysis of pension funds; risk transfer and risk managenment; Stochastic mortality models
