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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| Datum: | 2006 |
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| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2006
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4467 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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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Digital Library of Periodicals of National Academy of Sciences of Ukraine| Zusammenfassung: | 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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| ISSN: | 0321-3900 |