STOCHASTIC SUCCESSIVE APPROXIMATION METHOD FOR ASSESSING THE INSOLVENCY RISK OF AN INSURANCE COMPANY

被引：2

作者：

Norkin, B. V. ^{[1
]}

机构：

[1] Natl Acad Sci Ukraine, VM Glushkov Cybernet Inst, Kiev, Ukraine

来源：

CYBERNETICS AND SYSTEMS ANALYSIS | 2008年 / 44卷 / 06期

关键词：

risk process; ruin probability; terminating renewal process; integral renewal equation; method of successive approximations; Monte-Carlo method;

D O I：

10.1007/s10559-008-9065-1

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

A stochastic successive approximation method is analyzed with a view to solving risk assessment problems that are reduced to a renewal integral equation and, in particular, to assessing the insolvency risk of an insurance company. Integrals in the equation are evaluated approximately, for example, by the Monte Carlo method. Iterations of the method are proved to converge uniformly with probability one. Theoretical results are illustrated by numeral computations.

引用

页码：892 / 905

页数：14

共 20 条

[1] THE METHOD OF SUCCESSIVE APPROXIMATION APPLIED TO FIND THE NONBANKRUPTCY PROBABILITY FOR AN INSURANCE COMPANY WITH RANDOM PREMIUMS
Norin, B. V.
CYBERNETICS AND SYSTEMS ANALYSIS, 2006, 42 (01) : 98 - 110
[2] STOCHASTIC MODEL OF INSURANCE COMPANY
Prazak, Pavel
HRADEC ECONOMIC DAYS, VOL 6, ISSUE 1, 2016, 6 : 842 - 848
[3] Ruin Probabilities for an Insurance Company Based on Some Stochastic Risk Models
Tovstik, T. M.
VESTNIK ST PETERSBURG UNIVERSITY-MATHEMATICS, 2014, 47 (01) : 20 - 27
[4] SOME APPROXIMATIONS USED IN THE RISK PROCESS OF INSURANCE COMPANY
Mircea, Iulian
Covrig, Mihaela
Cechin-Crista, Dan
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2009, 43 (02) : 129 - 141
[5] Research on Estimation and Stochastic Simulation of Ruin Probability of Insurance Company
Zhang, Juan
2018 4TH INTERNATIONAL CONFERENCE ON SOCIAL SCIENCES, MODERN MANAGEMENT AND ECONOMICS (SSMME 2018), 2018, : 24 - 28
[6] Risk process estimation techniques used in the optimisation of financial resources of an insurance company
Mircea, Iulian
Serban, Radu
Covrig, Mihaela
INTERNATIONAL JOURNAL OF COMPUTATIONAL ECONOMICS AND ECONOMETRICS, 2009, 1 (02) : 225 - 237
[7] Estimating Ruin Probability in an Insurance Risk Model with Stochastic Premium Income Based on the CFS Method
Huang, Yujuan
Li, Jing
Liu, Hengyu
Yu, Wenguang
MATHEMATICS, 2021, 9 (09)
[8] Method of Successive Approximations for Solving Integral Equations of the Theory of Risk Processes
B. V. Norkin
Cybernetics and Systems Analysis, 2004, 40 (4) : 517 - 526
[9] A MODIFIED METHOD OF SUCCESSIVE APPROXIMATIONS FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEMS
Ji, Shaolin
Xu, Rundong
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2022, 60 (05) : 2759 - 2786
[10] The method of successive approximations for calculating the probability of bankruptcy of a risk process in a Markovian environment
B. V. Norkin
Cybernetics and Systems Analysis, 2004, 40 (6) : 917 - 927

← 1 2 →