Add to ORKGRisk 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
Catastrophic risks are often characterized by a low probability and a high severity. Taking these sp...
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-lia...
The paper deals with some aspects of modelling catastrophic risk and with its application to non- -...
Risk processes with rare dependent claims are studied. Problems of estimation of the small probabili...
Catastrophes produce rare and highly correlated insurance claims, which depend on the amount of cove...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
The increasing number of natural catastrophes leads to severe losses for production, in infrastructu...
When analyzing catastrophic risk, traditional measures for evaluating risk, such as the probable max...
This paper investigates goal-reaching problems regarding optimal investment and proportional reinsur...
Catastrophic risks are often characterised by a low probability , a high severity and a large number...
The paper is devoted to finding the present value of catastrophe bonds using a combination of Monte ...
A major problem for insuring catastrophic risk is that, as a disaster causes damages to many insured...
In the insurance market, the insurers who provide catastrophe insurance face with the risk of rare, ...
The paper considers models and approaches to the analysis and decision making under catastrophic ris...
Catastrophic risks are often characterized by a low probability and a high severity. Taking these sp...
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-lia...
The paper deals with some aspects of modelling catastrophic risk and with its application to non- -...
Risk processes with rare dependent claims are studied. Problems of estimation of the small probabili...
Catastrophes produce rare and highly correlated insurance claims, which depend on the amount of cove...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
Catastrophes produce losses highly correlated in space and time, which break the law of large number...
The increasing number of natural catastrophes leads to severe losses for production, in infrastructu...
When analyzing catastrophic risk, traditional measures for evaluating risk, such as the probable max...
This paper investigates goal-reaching problems regarding optimal investment and proportional reinsur...
Catastrophic risks are often characterised by a low probability , a high severity and a large number...
The paper is devoted to finding the present value of catastrophe bonds using a combination of Monte ...
A major problem for insuring catastrophic risk is that, as a disaster causes damages to many insured...
In the insurance market, the insurers who provide catastrophe insurance face with the risk of rare, ...
The paper considers models and approaches to the analysis and decision making under catastrophic ris...
Catastrophic risks are often characterized by a low probability and a high severity. Taking these sp...
The main objective of this thesis is to build a multi-stage stochastic pro- gram within an asset-lia...
The paper deals with some aspects of modelling catastrophic risk and with its application to non- -...