Measuring und managing long term risks

This proposal is the Austrian part of the European Collaborative Research Project "Integrated Risk Management in financial and socio-economic problems." Partners of this project are: University la Sapienza, Rome, ITA; University of Warwick, UK; University of Karlsruhe, GER; University of Rotterdam, NED; University of Cyprus; CYP. The goal of the proposed research is to study methods how to measure and manage long term risks as the risks faced by life insurers or pension funds. The increased interest in non-govemmental instruments for retirement provision comes along with a widespread sceptizism of the reliability of such instruments. Regulators have been established to monitor and superwise the operation of financial intermediaries in order to protect the public against financial shocks. The principal research questions are about properties of long term risk measures, their statistical estimation and their use in portfolio optimization and asset-liability management. The impact of regulative rules to the operation of pension funds and life insurers will also be investigated.