Innovation methods, algorithms, and software for analysis of reinsurance contracts
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...
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| Дата: | 2006 |
|---|---|
| Автори: | , , , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2006
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4467 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
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irk-123456789-44672009-11-12T12:00:28Z Innovation methods, algorithms, and software for analysis of reinsurance contracts Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. 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. 2006 Article 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. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4467 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
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. |
| format |
Article |
| author |
Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. |
| spellingShingle |
Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| author_facet |
Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. |
| author_sort |
Silvestrov, D. |
| title |
Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| title_short |
Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| title_full |
Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| title_fullStr |
Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| title_full_unstemmed |
Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| title_sort |
innovation methods, algorithms, and software for analysis of reinsurance contracts |
| publisher |
Інститут математики НАН України |
| publishDate |
2006 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4467 |
| citation_txt |
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. |
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| first_indexed |
2023-03-24T08:30:17Z |
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2023-03-24T08:30:17Z |
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