On the Design of Catastrophic Risk Portfolios

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/4491 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/4491 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/4491 archive 351 disk0/00/00/55/93 2016-01-15 02:10:17 2021-08-27 17:16:27 2016-01-15 02:10:17 monograph show 2 Ermoliev Y.M. 1445 Ermolieva T.Y. 7638 MacDonald G.J. 1669 Norkin V.I. AL1055 On the Design of Catastrophic Risk Portfolios pub iis_mod iis_rsk prog_rmp Catastrophes produce rare and highly correlated insurance claims, which depend on the amount of coverage at different locations. A joint probability distribution of these claims is analytically intractable. The most promising approach for estimating total claims for a particular combination of decision variables involves geographically explicit simulations of catastrophes. The straightforward use of catastrophe models runs quickly into infinite "if--then" evaluations. The aim of this paper is to develop a framework allowing for the use of Monte Carlo simulation of catastrophes to aid decision making on designing optimal catastrophic risk portfolios. A dynamic optimization model is discussed. Connections between ruin probability and nonsmooth, in particular concave, risk functions are established. Nonsmooth adaptive Monte Carlo optimization is proposed. 1998-08 published IR-98-056 IR-98-056 338 83 1423 2245 public interim_report IIASA, Laxenburg, Austria 16 FALSE info:eu-repo/semantics/book