English, Article, Journal or magazine article edition: On the Design of Catastrophic Risk Portfolios. Y.M. Ermoliev; T.Y. Ermolieva; G.J. MacDonald; ...

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Bookmark: http://trove.nla.gov.au/version/138028
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On the Design of Catastrophic Risk Portfolios.
Author
  • Y.M. Ermoliev
  • T.Y. Ermolieva
  • G.J. MacDonald
  • V.I. Norkin
Physical Description
  • preprint
Notes
  • Catastrophes produce rare and highly correlated insurance claims, which depend on the amount of coverage at different locations. A joint probability distribution of these claims is analytically intractable. The most promising approach for estimating total claims for a particular combination of decision variables involves geographically explicit simulations of catastrophes. The straightforward use of catastrophe models runs quickly into infinite "if - then" evaluations. The aim of this paper is to develop a framework allowing for the use of Monte Carlo simulation of catastrophes to aid decision making on designing optimal catastrophic risk portfolios. A dynamic optimization model is discussed. Connections between ruin probability and nonsmooth, in particular concave, risk functions are established. Nonsmooth adaptive Monte Carlo optimization is proposed.
  • RePEc:wop:iasawp:ir98056
Language
  • English
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