Insurance risk analysis with dependence and reinsurance

依赖和再保险的保险风险分析

• 批准号: 250031-2011
• 负责人: Cai, Jun
• 金额: $ 1.17万
• 依托单位: University of Waterloo
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2014
• 资助国家: 加拿大
• 起止时间: 2014-01-01 至 2015-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=547486
• 关键词: Insurance; risk; analysis; dependence; reinsurance

Classical risk theory usually studies a reserve process for a company or a line of business. However, a company could run several lines of business or have several subcompanies. The reserve processes of these lines of business form a multivariate dependent risk process. Even for different companies, the reserve processes could be correlated due to some common economic and financial factors. Furthermore, when an insurance company has a reinsurance treaty with a reinsurance company, the reserve risk processes of the two companies are correlated as well. Thus, dependence naturally appears in a multivariate reserve risk process and in the study of reinsurance.

经典风险理论通常研究公司或业务线的准备金流程。然而，一家公司可以经营多个业务线或拥有多个子公司。这些业务线的储备流程形成了一个多元相关风险流程。即使对于不同的公司，由于一些共同的经济和金融因素，储备流程也可能是相关的。此外，当保险公司与再保险公司签订再保险条约时，两家公司的准备金风险流程也具有相关性。因此，依赖性自然地出现在多元准备金风险过程和再保险研究中。