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Problems on Insurance of Catastrophic Risks

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Cybernetics and Systems Analysis Aims and scope

Abstract

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.

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Authors and Affiliations

  1. International Institute of Applied Systems Analysis, Laxenburg, Austria

    Yu. M. Ermol'yev & G. McDonald

  2. Cybernetics Institute, National Academy of Sciences of Ukraine, Kiev, Ukraine

    T. Yu. Ermol'yeva & V. I. Norkin

Authors
  1. Yu. M. Ermol'yev
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  2. T. Yu. Ermol'yeva
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  3. G. McDonald
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  4. V. I. Norkin
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Ermol'yev, Y.M., Ermol'yeva, T.Y., McDonald, G. et al. Problems on Insurance of Catastrophic Risks. Cybernetics and Systems Analysis 37, 220–234 (2001). https://doi.org/10.1023/A:1016798903215

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