Problems on Insurance of Catastrophic Risks

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.

[1]  M J Zheleznyak,et al.  Mathematical modeling of radionuclide dispersion in the Pripyat-Dnieper aquatic system after the Chernobyl accident. , 1992, The Science of the total environment.

[2]  Yuri Ermoliev,et al.  Optimization of catastrophic risk portfolios , 1999 .

[3]  Robert U. Ayres,et al.  Complexity, Reliability, and Design: Manufacturing Implications , 1988 .

[5]  J. M. Stone,et al.  A Theory of Capacity and the Insurance of Catastrophe Risks (Part II) , 1973 .

[6]  V. M. Yanenko,et al.  A conceptual framework for managing the risk of ecological, technogenic, and sociogenic disasters , 1997 .

[7]  J Figueira,et al.  Stochastic Programming , 1998, J. Oper. Res. Soc..

[8]  B. V. Digas,et al.  Generators of Seismic Events and Losses: Scenario-based Insurance Optimization , 1998 .

[9]  Tatiana Ermolieva,et al.  The Design of Optimal Insurance Decisions in the Presence of Catastrophic Risks , 1997 .

[10]  Yuri Ermoliev,et al.  Spatial Stochastic Model for Optimization Capacity of Insurance Networks Under Dependent Catastrophic Risks: Numerical Experiments , 1997 .

[11]  J. David Cummins,et al.  Can insurers pay for the "big one"? Measuring the capacity of the insurance market to respond to catastrophic losses , 2002 .

[12]  Valeriy G. Gitis,et al.  Catastrophe chains: Hazard assessment , 1994 .

[13]  Y. Ermoliev,et al.  The Minimization of Semicontinuous Functions: Mollifier Subgradients , 1995 .

[14]  Kenneth J. Arrow,et al.  The theory of risk-bearing: Small and great risks , 1996 .

[15]  Estimation of probability of cutoff of renewal process during a fixed time by statistical simulation , 1983 .

[16]  Practical Risk Theory for Actuaries , 1993 .

[18]  V. Norkin,et al.  Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization , 1998 .

[19]  Stavros A. Zenios,et al.  Designing Portfolios of Financial Products via Integrated Simulation and Optimization Models , 1999, Oper. Res..

[20]  Yuri Ermoliev,et al.  Numerical techniques for stochastic optimization , 1988 .

[21]  Yuri M. Ermoliev,et al.  A system approach to management of catastrophic risks , 2000, Eur. J. Oper. Res..

[22]  Refining the exponential asymptotic expansion for the distribution function of a sum of a random number of nonnegative random variables , 1997 .

[23]  Yuri Ermoliev,et al.  Insurability of catastrophic risks: the stochastic optimization model , 2000 .

[24]  A. Nakonechnyi.  Optimization of risk processes , 1996 .

[25]  Harvey E. Lapan,et al.  The Mathematical Theory of Insurance. , 1975 .

[26]  Myron S. Scholes.  Global financial markets, derivative securities, and systemic risks , 1996 .

[27]  Herbert Solomon,et al.  Monte Carlo simulation of the renewal function , 1981 .

[28]  PAUL EMBRECHTS,et al.  Modelling of extremal events in insurance and finance , 1994, Math. Methods Oper. Res..

[29]  Haresh C. Shah,et al.  A rational approach to pricing of catastrophe insurance , 1996 .