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The main objective of this thesis is to measure and manage risk in the insurance and banking industry on a portfolio level. For this purpose, new multivariate risk models are proposed and studied, and capital reserves are introduced as a measure of risk. A main contribution of this thesis lies in the use of ruin theory in both the insurance and banking context. Default risk in the banking industry shows a strong resemblance to the risk of insolvency in the insurance industry and as a result ruin theory, traditionally used to model insolvency of insurers, can also be used to model default risk. The first part of this thesis, Chapters 2-5, focuses on ruin theory models in a multivariate setting for the purpose of portfolio risk modeling. The proposed multivariate models incorporate dependence through common environmental risk factors as often used in default risk modeling. Quantities such as the ruin probability, i.e. the probability of insolvency, and capital reserves are of interest. Chapters 2, 3 and 4 propose multivariate ruin models with increasingly complex dependence structures, i.e. environmental risk factors. Chapter 5 introduces a novel approach to risk allocation in a multivariate ruin model. Finally, Chapters 6-7 bridge the gap between ruin theory and portfolio credit risk modeling in the banking industry. |
