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Risk management of a P/C insurance company scenario generation, simulation and optimization

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2 Author(s)
J. M. Mulvey ; Dept. of Operations Res. & Financial Eng., Princeton Univ., NJ, USA ; H. G. Erkan

A large conglomerate such as a property/casualty insurance firm in this case, can be divided along business boundaries. This division might be along commercial lines, homeowner lines and perhaps across countries. An insurance firm's capital can be interpreted as a buffer that protects the company from insolvency and its inability to pay policyholder losses. Rare events have been simulated over the two divisions of an insurance firm. Different risk measures like conditional value at risk (CVaR) have been implemented into the optimization model. Decomposition methods will be applied in the context of decentralized decision making of a multi-divisional firm.

Published in:

Simulation Conference, 2003. Proceedings of the 2003 Winter  (Volume:1 )

Date of Conference:

7-10 Dec. 2003