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
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| Datum: | 2006 |
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| Format: | Artikel |
| Sprache: | Englisch |
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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| _version_ | 1862600746015391744 |
|---|---|
| author | Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. |
| author_facet | Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-11-28T00:32:19Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4467 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-28T00:32:19Z |
| publishDate | 2006 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. 2009-11-11T15:28:32Z 2009-11-11T15:28:32Z 2006 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 https://nasplib.isofts.kiev.ua/handle/123456789/4467 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. This work is partly supported by the Perturbed Risk Processes, Extremal Processes
 and Reinsurance Contracts Project financed by the Royal Swedish Academy of Sciences. en Інститут математики НАН України Innovation methods, algorithms, and software for analysis of reinsurance contracts Article published earlier |
| spellingShingle | Innovation methods, algorithms, and software for analysis of reinsurance contracts Silvestrov, D. Teugels, J. Masol, V. Malyarenko, A. |
| title | 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_short | Innovation methods, algorithms, and software for analysis of reinsurance contracts |
| title_sort | innovation methods, algorithms, and software for analysis of reinsurance contracts |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4467 |
| work_keys_str_mv | AT silvestrovd innovationmethodsalgorithmsandsoftwareforanalysisofreinsurancecontracts AT teugelsj innovationmethodsalgorithmsandsoftwareforanalysisofreinsurancecontracts AT masolv innovationmethodsalgorithmsandsoftwareforanalysisofreinsurancecontracts AT malyarenkoa innovationmethodsalgorithmsandsoftwareforanalysisofreinsurancecontracts |