Insurance loss distributions and surplus analysis

保险损失分布和盈余分析

• 批准号: 36515-2011
• 负责人: Willmot, Gordon
• 金额: $ 2.04万
• 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: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=568742
• 关键词: Insurance; loss; distributions; surplus; analysis

The obligation of insurers to society requires that they employ sound financial risk management techniques to ensure that they are financially able to meet their obligations. In particular, sophisticated mathematical modelling techniques and tools are needed in order to adequately describe the many and varied insurance and financial products that are sold to the public at large. The risk management issues to be dealt with in the proposed research are twofold. First, probabilistic models and techniques for the analysis of the total claims experience on a portfolio of business over a fixed, predetermined time period will be considered. Specific models which have recently been found to demonstrate great promise insofar as their ability to describe in a satisfactory manner the insurance product of interest, as well as their ability to lend themselves to tractable quantitative analysis, will be studied in further detail. Such analysis is needed and is relevant for those insurance products whose obligations extend for relatively short periods of time. Second, the analysis of the surplus of the insurer which is allocated to a block of insurance business extending for longer periods will be considered. Such analysis is needed to ensure the continuing ongoing solvency of the insurer insofar as the ability to meet the obligations on such a portfolio of business is concerned. In particular, the proposed research has as its goal a systematic study of the factors and quantities affecting the development of such a surplus over time.

保险公司对社会的义务要求他们采用合理的财务风险管理技术来确保他们在财务上能够履行其义务。特别是，为了充分描述出售给公众的许多保险和金融产品，需要精致的数学建模技术和工具。 在拟议的研究中要解决的风险管理问题是双重的。首先，将考虑在固定的预定时间段内分析业务组合总索赔经验的概率模型和技术。最近发现的特定模型在以令人满意的方式描述了感兴趣的保险产品以及他们将自己借给可进行的定量分析的能力的能力，将进一步研究。需要这种分析，并且与那些义务相对较短的保险产品相关。 其次，将考虑分配给延长较长时间的保险业务的保险公司盈余的分析。需要这样的分析以确保在涉及履行这种业务组合的义务的能力的情况下，保险公司的持续偿付能力持续。尤其是，拟议的研究将其目标是对影响这种盈余随时间发展的因素和数量的系统研究。