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

• Datum: 2006
• Hauptverfasser: Silvestrov, D., Teugels, J., Masol, V., Malyarenko, A.
• Format: Artikel
• Sprache: English
• Veröffentlicht: Інститут математики НАН України 2006
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4467
• 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.

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...