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Grant Award View - GA69073-V1
Shock model-based framework for modelling correlated large losses
GA ID:
GA69073-V1
Agency:
Australian Research Council
Approval Date:
6-Jan-2020
Variation Publish Date:
11-May-2021
Variation Date:
11-May-2021
Category:
Humanities, Arts and Social Sciences (HASS) Research
Grant Term:
15-Jun-2020 to 30-Jun-2023
Value (AUD):
$334,000.00
(GST inclusive where applicable)
Varies:
GA69073
- Shock model-based framework for modelling correlated large losses
One-off/Ad hoc:
No
Aggregate Grant Award:
No
PBS Program Name:
ARC 19/20 Discovery
Grant Program:
Discovery Projects
Grant Activity:
Shock model-based framework for modelling correlated large losses
Purpose:
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.
GO ID:
GO Title:
Discovery Projects for funding commencing in 2020
Internal Reference ID:
DP20 Round 1
Selection Process:
Targeted or Restricted Competitive
Confidentiality - Contract:
No
Confidentiality - Outputs:
No
Grant Recipient Details
Recipient Name:
The University of New South Wales
Recipient ABN:
57 195 873 179
Grant Recipient Location
Suburb:
KENSINGTON
Town/City:
KENSINGTON
Postcode:
2033
State/Territory:
NSW
Country:
AUSTRALIA
Grant Delivery Location
State/Territory:
NSW
Postcode:
2033
Country:
AUSTRALIA