Analysis of the insurer's surplus and related quantities

保险公司盈余及相关数量分析

基本信息

批准号：
36515-2006
负责人：
Willmot, Gordon
金额：
$ 2.19万
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：
2008
资助国家：
加拿大
起止时间：
2008-01-01 至 2009-12-31
项目状态：
已结题

来源：
https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=390151
关键词：
Analysis insurer surplus related quantities

项目摘要

Sound financial risk management requires that the insurer examine the possibility of adverse claims experience on a given block of insurance business. The nature of such examination necessitates the use of detailed mathematical models to provide a view of the potential claims experience of this business. In particular, techniques from applied probability may be applied to quantify the possibility that 'ruin' occurs, i.e. that the insurer has insufficient capital to meet these claim liabilities at any juncture. Furthermore, this approach may also be used to provide insight into the nature of the events leading up to ruin. Mathematical advances in the last decade have allowed for a systematic quantitative analysis of the time at which ruin may be expected to occur, the funds which are available to the insurer for claims payments when this happens, the nature of the claims which cause this to happen, and the resultant shortfall faced by the insurer. Moreover, powerful computational resources are now available which permit the use of more realistic mathematical models which are of necessity more complex than those previously considered. The purpose of the proposed research is to examine such complex models with a view to the examination of the analysis of the insurer's funds leading up to ruin and the nature of such ruin itself. Such analysis now appears to be possible in light of the wide variety of mathematical tools which are now available.

合理的财务风险管理要求保险公司在给定的保险业业务中检查不良索赔经验的可能性。这种考试的性质需要使用详细的数学模型，以提供该业务潜在索赔经验的视图。特别是，可以使用应用概率的技术来量化“毁灭”发生的可能性，即保险公司在任何交界处的资本不足以满足这些索赔负债。此外，这种方法也可以用来洞悉导致破坏事件的事件的性质。在过去十年中，数学进步允许对可能发生毁灭的时间进行系统的定量分析，保险人可在发生这种情况时可用于索赔的资金，导致这种情况发生的索赔的性质以及保险人所面临的不足。此外，现在可以使用强大的计算资源，可以使用比以前考虑的更复杂的更现实的数学模型。拟议的研究的目的是检查这种复杂的模型，以研究对保险公司的资金进行分析，导致毁灭性的资金和这种毁灭本身的性质。现在，鉴于现在可用的多种数学工具，这种分析似乎是可能的。