Risk management of a p/c insurance company scenario generation, simulation and optimization

被引：1

作者：

Mulvey, JM ^{[1
]}

Erkan, HG ^{[1
]}

机构：

[1] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA

来源：

PROCEEDINGS OF THE 2003 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 | 2003年

关键词：

D O I：

10.1109/WSC.2003.1261445

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

A large conglomerate such as a property/casualty insurance firm in this case, can be divided along business boundaries. This division might be along commercial lines, homeowner lines and perhaps across countries. An insurance firm's capital can be interpreted as a buffer that protects the company from insolvency and its inability to pay policyholder losses. Rare events have been simulated over the two divisions of an insurance firm. Different risk measures like conditional value at risk (CVaR) have been implemented into the optimization model. Decomposition methods will be applied in the context of decentralized decision making of a multi-divisional firm.

引用

页码：364 / 371

页数：8

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