Problems of catastrophic risks insurance

Ermoliev Y, Ermolieva T, MacDonald GJ, & Norkin VI (2001). Problems of catastrophic risks insurance. Kibernetika I Systemny Analiz: 99-110.

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Abstract

Risk process with rare dependent catastrophic claims are studied. Problems of estimation of small probability of ruin and selection of optimal portfolio of insurance contracts are considered. Monte Carlo method and stochastic optimization technique are applied for their solution.

Item Type: Article
Research Programs: Risk, Modeling and Society (RMS)
Bibliographic Reference: Kibernetika i sistemnyi analiz; 2:99-110 [2001]
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Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:12
Last Modified: 23 Aug 2016 08:53
URI: http://pure.iiasa.ac.at/6264

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