[Cite as http://purl.org/au-research/grants/arc/DP160103489]
Prof Spiridon Penev
Prof Dr Pavel Shevchenko
Brief description Frontiers in inference about risk. The project aims to develop new methods for robust risk evaluation and minimisation under various constraints and scenarios. Risk evaluation, estimation and prediction using past data is a central activity in diverse areas such as finance, insurance, superannuation and environmental regulation. The project aims to propose and solve innovatively robust risk optimisation problems under constraints, taking into account the time dynamics. Applications include risk management around natural catastrophes and long-term asset investment of pension funds. The solutions and outcomes are expected to deliver optimal resource allocation proposals and better management of risk exposure in practice.
Funding Amount $343,700
Funding Scheme Discovery Projects
View this grant in the ARC Data Portal