Innovation methods, algorithms, and software for analysis of reinsurance contracts

Домашня сторінка
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Фізико-технічні та математичні науки
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Відділення математики
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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2006 (Volume 12 (28))
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Theory of Stochastic Processes, 2006, № 3-4
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Innovation methods, algorithms, and software for analysis of reinsurance contracts

Silvestrov, D. ; Teugels, J. ; Masol, V. ; Malyarenko, A.

URI: http://dspace.nbuv.gov.ua/handle/123456789/4467

Посилання: Innovation methods, algorithms, and software for analysis of reinsurance contracts / D. Silvestrov, J. Teugels, V. Masol, A. Malyarenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 203–238. — Бібліогр.: 23 назв.— англ.

Підтримка: This work is partly supported by the Perturbed Risk Processes, Extremal Processes and Reinsurance Contracts Project ﬁnanced by the Royal Swedish Academy of Sciences.

Дата: 2006

Завантажень: 551

Innovation methods, algorithms, and software for analysis of reinsurance contracts

Анотація:

A Monte Carlo based approach to evaluate and/or compare the riskiness of reinsurance treaties for both the ceding and the reinsurance companies is introduced. An experimental program system Reinsurance Analyser based on the indicated approach is presented. The program allows analyzing applications of a large set of reinsurance contracts under a variety of claim ﬂow models. The effect of applications is compared by risk measures, provided that the parameters of the contracts are balanced by an average reinsurer’s load quantity.

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