Statistical analysis of dependence effects on insurance portfolios (TWI.6314)

Project nummer: twi6314

Omschrijving van het onderzoek

The total claim amount S in an insurance polio over a given period is obviously a highly interesting quantity. Especially the risk of this S becoming uncharacteristically large is something that should be controlled. Hence measures like value at risk, stop-loss premium, etc. are frequent objects of study. Typically in such analyses, it is assumed that the individual claims in the portfolio are independent, which is clearly not really the case. Even worse, it can be shown that weak forms of dependence already produce huge increases in the various tail risk measures. The project aims at studying this problem and suggesting adequate solutions. The basic idea is to find, even under dependence, transparent and accurate approximations for the rather tricky distribution of S. On the basis of such approximations, clear insights can be gained on how dependencies affect the risk behavior. Moreover, a quantitative appraisal of the effects involved can be given as well.

Gebruikers

Five companies are involved in this project.

Projectleider

Prof.dr. W. Albers

Universiteit Twente
Elektrotechniek Wiskunde en Informatica
Statistiek en Kansrekening

Postbus 217
7500 AE Enschede

Status van het project

Gestart	: 01-09-2004
Einddatum	: 01-09-2007

Trefwoorden

Asymptotic techniques, Risk analysis, Sensitivity analysis, Stop-loss premium.

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