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

John Michael Mulvey, Hafize G. Erkan

Research output: Contribution to journalConference article

2 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)364-371
Number of pages8
JournalWinter Simulation Conference Proceedings
Volume1
StatePublished - Dec 1 2003
EventProceedings of the 2003 Winter Simulation Conference: Driving Innovation - New Orleans, LA, United States
Duration: Dec 7 2003Dec 10 2003

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Safety, Risk, Reliability and Quality
  • Chemical Health and Safety
  • Applied Mathematics

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