Insurance loss distributions and surplus analysis

保险损失分布和盈余分析

• 批准号: 36515-2011
• 负责人: Willmot, Gordon
• 金额: $ 2.04万
• 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: 2015
• 资助国家: 加拿大
• 起止时间: 2015-01-01 至 2016-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=568742
• 关键词: Insurance; loss; distributions; surplus; analysis

The obligation of insurers to society requires that they employ sound financial risk management techniques to ensure that they are financially able to meet their obligations. In particular, sophisticated mathematical modelling techniques and tools are needed in order to adequately describe the many and varied insurance and financial products that are sold to the public at large. The risk management issues to be dealt with in the proposed research are twofold. First, probabilistic models and techniques for the analysis of the total claims experience on a portfolio of business over a fixed, predetermined time period will be considered. Specific models which have recently been found to demonstrate great promise insofar as their ability to describe in a satisfactory manner the insurance product of interest, as well as their ability to lend themselves to tractable quantitative analysis, will be studied in further detail. Such analysis is needed and is relevant for those insurance products whose obligations extend for relatively short periods of time. Second, the analysis of the surplus of the insurer which is allocated to a block of insurance business extending for longer periods will be considered. Such analysis is needed to ensure the continuing ongoing solvency of the insurer insofar as the ability to meet the obligations on such a portfolio of business is concerned. In particular, the proposed research has as its goal a systematic study of the factors and quantities affecting the development of such a surplus over time.

保险人对社会的义务要求他们采用健全的金融风险管理技术，以确保他们在财务上有能力履行其义务。特别是，需要复杂的数学建模技术和工具，以充分描述向公众出售的多种多样的保险和金融产品。 在拟议的研究中要处理的风险管理问题是双重的。首先，将考虑用于分析在固定的、预定的时间段内业务组合的总索赔经验的概率模型和技术。我们将进一步详细研究最近发现的一些具体模型，这些模型在以令人满意的方式描述感兴趣的保险产品的能力以及进行易于处理的定量分析的能力方面表现出很大的希望。这种分析是必要的，对于那些责任期限相对较短的保险产品也是相关的。 第二，我们会考虑保险公司分配予一项较长期保险业务的盈余分析。这种分析是必要的，以确保保险公司在履行这种业务组合义务的能力方面具有持续的偿付能力。特别是，拟议的研究的目标是系统地研究影响这种盈余随着时间的推移而发展的因素和数量。