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63 résultats pour « Quantification des risques »

Ruin Problems in a Discrete Risk Model in a Markovian Environment

19 janv. 2022 Autre, probability, matrixanalyticmethod, insurancemodel, markovianenvironment, ruin, Quantification des risques

"In a 2019 paper, Yang, Zhang and Lan studied a risk model in which claim occurrence and amount are both governed by an underlying Markovian environment process. We find that the derivations of Yang et al are erroneous; subsequently, we analyzed the model correctly using the matrix analytic method."

Pareto‑optimal Reinsurance Under Individual Risk Constraints

31 déc. 2021 Autre, reinsurance, var, paretooptimality, riskmmeasures, riskconstraints, Quantification des risques

"This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their expected utilities of end-of-period wealth. In addition, we assume that the insurer and reinsurer wish to control their solvency risks, which are defined through distortion risk measures of their end-of-period risk exposures."

A Bayesian‑Loss Function Model for Assessing Marine Liability Regime for Ship‑Source Spills

27 déc. 2021 Autre, insurance, bayesian, oilspill, shipping, lossfunction, marineinsurance, arctic, Quantification des risques

"The model is a comprehensive template for assessing loss and subsequently the insurance for activities in the Arctic and sub-Arctic regions. Governmental and non-government organisations alike will benefit from the tool by using it as a loss estimation mechanism for liability for ship-source oil spills."

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