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Monte Carlo Study of Reinsurance Contracts
Mälardalen University, School of Education, Culture and Communication. (Stochastic processes, Statistics, and Financial Engineering (finansmatematik))
2013 (English)Licentiate thesis, monograph (Other academic)
Abstract [en]

This thesis is based on three articles concerning to experimental softwarefor evaluation of reinsurance contracts. In paper A we describe and usethe reinsurance analyser (ReAn), an open-source software for analysis ofreinsurance contacts. Moreover, we discuss experimental results, especiallythe risk comparison of excess-of-loss and largest claims reinsurance treaties.In paper B we expand the software including a new excess-of-loss treaty withupper limit. We perform experimental studies comparing extreme value andexcess-of-loss reinsurance treaties. In paper C, we perform a more in depthpresentation of the software. We introduce new treaties as combinations ofstandard treaties. Experimental comparisons are made between these treatiesand other extreme value treaties.

Place, publisher, year, edition, pages
Västerås: Mälardalens högskola , 2013.
Mälardalen University Press Licentiate Theses, ISSN 1651-9256 ; 165
National Category
Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
URN: urn:nbn:se:mdh:diva-18374ISBN: 978-91-7485-104-5OAI: diva2:611256
2013-04-12, Delta, Västerås, 13:15 (English)
Available from: 2013-03-15 Created: 2013-03-15 Last updated: 2013-05-15Bibliographically approved

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Schyberg, Oskar
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