Optimization of catastrophic risk processes

Ermoliev, Y.M., Ermolieva, T.Y., MacDonald, G.J., & Norkin, V.I. (2001). Optimization of catastrophic risk processes. Cybernetics and Systems Analysis 37 (2) 220-234. 10.1023/A:1016798903215.

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Risk processes with rare dependent claims are studied. Problems of estimation of the small probability of bankruptcy and selection of an optimal portfolio of insurance contracts are considered. The Monte Carlo method and stochastic optimization technique are applied for their solution.

Item Type: Article
Uncontrolled Keywords: insurance, catastrophic risk, Monte Carlo method, stochastic optimization technique
Research Programs: Risk, Modeling and Society (RMS)
Bibliographic Reference: Cybernetics and Systems Analysis; 2:90-110 [2001]
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:13
Last Modified: 26 Sep 2016 12:30
URI: http://pure.iiasa.ac.at/6317

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