| 来源类型 | Monograph (IIASA Interim Report) |
| 规范类型 | 报告 |
| Guaranteed Optimization in Insurance of Catastrophic Risks. | |
| Digas BV; Ermoliev YM; Kryazhimskiy AV | |
| 发表日期 | 1998 |
| 出版者 | IIASA, Laxenburg, Austria: IR-98-082 |
| 出版年 | 1998 |
| 语种 | 英语 |
| 摘要 | The proposed approach to the insurance of regionally distributed property against risk catastrophes is based on finding statistically robust coverages of the insurance companies. Such coverages guarantee that all companies survive no matter what scenario of the catastrophe from a given scenarios takes place. We describe a sequential algorithm that computed the minimum of the companies' premiums and finds optimal coverages. A step of the algorithm is interpreted as searching a minimum-premium coverage that eliminates a current aggregate risk. The latter aggregates the risks of all companies with respect to all admissible catastrophe scenarios in a "fair" manner: the higher is the individual risk, the greater is its contribution to the aggregate risk. To justify the convergence of the algorithm we suggest a new global optimization procedure for a class of nonconvex minimization problems. |
| 主题 | Dynamic Systems (DYN) |
| URL | http://pure.iiasa.ac.at/id/eprint/5569/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/124785 |
| 推荐引用方式 GB/T 7714 | Digas BV,Ermoliev YM,Kryazhimskiy AV. Guaranteed Optimization in Insurance of Catastrophic Risks.. 1998. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| IR-98-082.pdf（160KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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