The simulation of risk processes is a standard procedure for insurance companies. The generation of simulated (aggregated) claims is vital for the calculation of the amount of loss that may occur. Simulation of risk processes also appears naturally in rating triggered step-up bonds, where the interest rate is bound to random changes of the companies? ratings. --

Burnecki, Krzysztof

Härdle, Wolfgang Karl

Weron, Rafał

English

Research Papers in Economics

A generalization of the collective theory of risk in regard to ﬂuctuating basic probabilities, Skand. Aktuar Tidskr.,

A Guide to Simulation,

Aspects of Risk Theory,

Goodness-of-Fit Techniques,

Insurance Services Oﬃce Inc.

m b r e c h t s

Pricing of zero-coupon and coupon CAT bonds,

Property insurance loss distributions,

Simulation and Chaotic Behavior of α-Stable Stochastic Processes,

Simulation, 3rd ed.,

Some aspects of insurance mathematic,

XploRe web site: www.xplore-stat.de.

Simulation of risk processes

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Simulation of risk processes

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Research Papers in Economics