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Joseph (Hyun-Tae) Kim

Joseph Kim

Assistant Professor

Department of Statistics and Actuarial Science
University of Waterloo
Waterloo, Ontario
CANADA N2L 3G1

(519) 888-4567, ext. 35539
FAX: (519) 746-1875

Email:
Office: M3 3126

Research and Scholarly Activity

Professor Kim's research centres on the determination and allocation of the risk capital of multi-line insurers. Since the value of the risk measure is driven by extreme events, which are rare in nature, its efficient estimation requires an accurate modelling in the tail of the loss distribution, often with the assistance of a parametric assumption.

Professor Kim is particularly interested in developing efficient tools to estimate tail risk measures with no reference to the underlying distribution. Recently he used the exact bootstrap as a nonparametric method of smoothing to investigate the bias issue of empirical risk measure estimates; this research produced a useful guideline for practitioners in applying the bootstrap technique in capital determination.

Another topic of interest to Professor Kim is the allocation problem of risk capital. After the capital amount for the whole company is set, a multi-line insurer needs to split the capital into each business line to assess its performance, against either another line or another company. This allocation problem has both mathematical and economic aspects, each of which is interesting in its own right. One of Professor Kim's ongoing research topics involves a critique of one of the widely accepted allocation principles and a proposal of a new allocation method that can be integrated into the corporate risk management process.

Recent Publications

  • Kim, J. H. T. and Hardy, M. R. (2007). Quantifying and correcting the bias in estimated risk measures. ASTIN Bulletin, 37(2), 365–386.Technical Reports and Other Publications
  • Kim, J. H. T. and Hardy, M. R. (2007a). A capital allocation based on solvency exchange option. Technical report, IIPR, Univeristy of Waterloo.
  • Kim, J. H. T. and Hardy, M. R. (2007b). Estimating the variance of bootstrapped risk measures. Technical report, IIPR, University of Waterloo.

Biography

During his doctoral studies, Professor Kim was awarded an NSERC PGS-D2 scholarship, and a PhD grant from the Society of Actuaries and the Casualty Actuarial Society. Prior to his PhD studies, he worked for Manulife Financial as an actuarial associate in the Individual Life Centre and the Group Benefit division. He is a fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA)."



Last Modified:  Monday 25 July 2011
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