Innovation methods, algorithms, and software for analysis of reinsurance contracts

Домашня сторінка
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Фізико-технічні та математичні науки
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Відділення математики
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Theory of Stochastic Processes
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Theory of Stochastic Processes, 2006 (Volume 12 (28))
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Theory of Stochastic Processes, 2006, № 3-4
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dc.contributor.author	Silvestrov, D.
dc.contributor.author	Teugels, J.
dc.contributor.author	Masol, V.
dc.contributor.author	Malyarenko, A.
dc.date.accessioned	2009-11-11T15:28:32Z
dc.date.available	2009-11-11T15:28:32Z
dc.date.issued	2006
dc.identifier.citation	Innovation methods, algorithms, and software for analysis of reinsurance contracts / D. Silvestrov, J. Teugels, V. Masol, A. Malyarenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 203–238. — Бібліогр.: 23 назв.— англ.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4467
dc.description.abstract	A Monte Carlo based approach to evaluate and/or compare the riskiness of reinsurance treaties for both the ceding and the reinsurance companies is introduced. An experimental program system Reinsurance Analyser based on the indicated approach is presented. The program allows analyzing applications of a large set of reinsurance contracts under a variety of claim ﬂow models. The effect of applications is compared by risk measures, provided that the parameters of the contracts are balanced by an average reinsurer’s load quantity.	en_US
dc.description.sponsorship	This work is partly supported by the Perturbed Risk Processes, Extremal Processes and Reinsurance Contracts Project ﬁnanced by the Royal Swedish Academy of Sciences.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Innovation methods, algorithms, and software for analysis of reinsurance contracts	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US