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2 résultats pour « mathematicalmodeling »

Some Optimisation Problems in Insurance with a Terminal Distribution Constraint

13 juin 2022 Autre, insurance, probability, reinsurance, mathematicalmodeling, optimisation

"... we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time T follows a normal distribution with a given mean and a given variance."

Δ−CoES

7 juin 2022 Autre, riskmanagement, regulation, banks, systemicrisk, mathematicalmodeling, gsibs

"For regulators, risk managers and market participants these properties are interesting from an economic standpoint when they require the increased sensitivity and heterogeneity of the Δ-CoES to set short-term capital requirements/risk limits, find problematic financial linkages, problematic financial institutions or have some kind of early warning system for the emergence of systemic risk."

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