Problems of catastrophic risks insurance
Authors: Ermoliev Y, Ermolieva T, MacDonald GJ, Norkin VI
Publication Year: 2001
Reference: Kibernetika i sistemnyi analiz, 2:99-110 [2001]
[in Russian] English translation in Cybernetics and Systems Analysis
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.
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