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Innovation methods, algorithms, and software for analysis of reinsurance contracts
Mälardalen University, Department of Mathematics and Physics. (Analytical Finance)ORCID iD: 0000-0002-2626-5598
Catholic University of Leuven, Belgium.
Mälardalen University, Department of Mathematics and Physics. (Analytical Finance)
Mälardalen University, Department of Mathematics and Physics. (Analytical Finance)ORCID iD: 0000-0002-0139-0747
2006 (English)In: Theory of Stochastic Processes, ISSN 0095-7380, Theory of Stochastic Processes, ISSN 0095-7380, Vol. 12(28), no 3-4, p. 203-238Article in journal (Refereed) Published
Abstract [en]

 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 ana-lyzing applications of a large set of reinsurance contracts under a variety of claim flow models. The effect of applications is compared by risk mea-sures, provided that the parameters of the contracts are balanced by an average reinsurer's load quantity.

Place, publisher, year, edition, pages
2006. Vol. 12(28), no 3-4, p. 203-238
Keywords [en]
reinsurance, program system, comarison of contracts, Monte Carlo method
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-2939OAI: oai:DiVA.org:mdh-2939DiVA, id: diva2:115602
Available from: 2008-02-29 Created: 2008-02-29 Last updated: 2017-12-14Bibliographically approved

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http://www.researchgate.net/publication/228986965_Innovation_methods_algorithms_and_software_for_analysis_of_reinsurance_contracts

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Silvestrov, DmitriiMalyarenko, Anatoliy

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