SCENARIO ANALYSIS FOR A MULTI-PERIOD DIFFUSION MODEL OF RISK

被引：6
|
作者：
Malinovskii, Vsevolod K. [1 ,2 ]
机构：
[1] Finance Acad, Moscow 125468, Russia
[2] VA Steklov Math Inst, Moscow 119991, Russia
来源：
ASTIN BULLETIN | 2009年 / 39卷 / 02期
关键词：
Multi-period insurance process; Diffusion annual mechanisms; Volatile scenario; Solvency; Equity; Adaptive control strategies;
D O I：
10.2143/AST.39.2.2044652
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper extends and develops the results of a previous paper Malinovskii (2007). Dealing with a simplistic diffusion multi-year model of insurance operations, this paper illustrates the adaptive control approach when the object of control is the balance of solvency and equity. Compared to the previous paper, a new element is the "scenario of nature", or the incomplete knowledge of future risk, which is quite often the case in insurance. It introduces a new and inevitable randomness in the model and leads to a qualitative difference in its behavior.
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页码：649 / 676
页数：28
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