Wiley StatsRef: Statistics Reference Online · 2014 · 12 citations · 8 references
BusinessFinanceInsuranceRisk AnalysisStochastic ModelingStochastic ProcessesInsurance CompaniesInsurance RiskRisk AggregationRisk ModelingSimulation MethodsSimulation ModelingInsurance Loss ModelingInsurance Risk ModelingInterest Rate Model SimulationRisk ProcessesSimulation-based Claims ModelingSimulation-based Loss AnalysisSimulation-based Risk Aggregation
Abstract The simulation of risk processes is a standard procedure for insurance companies. The generation of aggregate claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step‐up bonds, where the interest rate is bound to random changes of the companies' ratings.
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Loss Models: From Data to Decisions
James D. Broffitt, Stuart A. Klugman, Harry H. Panjer et al. · Journal of the American Statistical Association · 1999 · 1.3K citations
Terry King, R. D'Agostino, Michael A. Stephens · Technometrics · 1987 · 1.3K citations
Ruin estimates under interest force
Bjørn Sundt, Jozef L. Teugels · Insurance Mathematics and Economics · 1995 · 190 citations
Classical risk theory in an economic environment
Freddy Delbaen, J. Haezendonck · Insurance Mathematics and Economics · 1987 · 116 citations
Business, Economics, Risk Management +14