Analysis of an insurer surplus process and its associated ruin related quantities

保险公司盈余过程及其相关破产相关量的分析

• 批准号: 341316-2007
• 负责人: Landriault, David
• 金额: $ 1.02万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2007
• 资助国家: 加拿大
• 起止时间: 2007-01-01 至 2008-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=364013
• 关键词: Analysis; insurer; surplus; process; its

Quantification risk management is a key component of a financial toolkit developed to assist insurance companies in their aim to maintain a sound financial situation. An appropriate quantification of the risks associated with a particular block of insurance business necessitates the use of complex mathematical models that incorporate a multitude of factors that may influence (in a direct or indirect way) the claim experience of an insurance company.Over the last decade, the development of mathematical tools and the advances in computational capacity have permitted the quantitative analysis of more complex mathematical models, leading to a set of more realistic processes that are available to the insurance community to better understand the risks related to their business. Among the quantitative risk measures available, there are different quantities related to the event of ruin where ruin is defined to occur if and when the insurer has insufficient capital to meet its financial obligations. Indeed, the time at which ruin may be expected to occur, the amount of funds that may be expected to be available at the time of ruin, as well as the expected shortfall when and if ruin occurs are only few examples.My proposed research consists in examining these complex mathematical models in light of the aforementioned quantities of interest for the insurers. The mathematical concepts required to perform this analysis alluded to above are numerous and are expected to increase in number and in complexity in the future.

量化风险管理是开发金融工具包的关键组成部分，旨在帮助保险公司保持合理的财务状况。适当量化与特定保险业务相关的风险的适当量化需要使用复杂的数学模型，这些模型包含了多种因素，这些因素可能会影响保险公司的索赔经验（以直接或间接的方式）。在过去的十年中，数学工具的发展和计算能力的进步使得与更复杂的数学模型相关的量化量，以实现更加复杂的量化，以实现更多的数学分析，并实现了实际的数学模型，并实现了现实的量化。他们的业务。在可用的定量风险措施中，有不同的数量与废墟事件有关，如果保险人没有足够的资本来履行其财务义务，则将毁灭定义为毁灭。的确，预计会发生毁灭的时间，预计在毁灭时可能可用的资金数量以及预期的短缺的时间以及何时以及是否发生毁灭的时间仅是很少的例子。我提出的研究在于，根据上述量的保险公司，检查了这些复杂的数学模型。执行上述分析所需的数学概念数量众多，并且预计将来会增加数量和复杂性。