publication . Part of book or chapter of book . Preprint . Research . 2004

Simulation of Risk Processes

Krzysztof Burnecki; Wolfgang Härdle; Rafał Weron;
Open Access
  • Published: 01 Jan 2004
  • Publisher: John Wiley & Sons, Ltd
Abstract
This paper is intended as a guide to simulation of risk processes. A typical model for insurance risk, the so-called collective risk model, treats the aggregate loss as having a compound distribution with two main components: one characterizing the arrival of claims and another describing the severity (or size) of loss resulting from the occurrence of a claim. The collective risk model is often used in health insurance and in general insurance, whenever the main risk components are the number of insurance claims and the amount of the claims. It can also be used for modeling other non-insurance product risks, such as credit and operational risk. In this paper we ...
Subjects
Medical Subject Headings: health care economics and organizations
free text keywords: Risk process; Claim arrival process; Homogeneous Poisson process (HPP); Non-homogeneous Poisson process (NHPP); Mixed Poisson process; Cox process; Renewal process., ddc:330, Goodwill, Auto insurance risk selection, Key person insurance, General insurance, Operational risk, Simulation modeling, Risk pool, Renewal theory, Actuarial science, Business, jel:C63, jel:C24, jel:G32, jel:C15
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