| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1080/02331930008844480 |
| Insurability of catastrophic risks: The stochastic optimization model. | |
| Ermoliev YM; Ermolieva TY; MacDonald GJ; Norkin VI | |
| 发表日期 | 2000 |
| 出处 | Optimization 47 (3): 251-265 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | Catastrophes produce losses highly correlated in space and time, which break the law of large numbers. We derive the insurability of dependent catastrophic risks by calculating conditions that would aid insurers in deliberate selection of their portfolios. This paper outlines the general structure of a basic stochastic optimization model. Connections between the probability of ruin and nonsmooth risk functions, as well as adaptive Monte Carlo optimization procedures and path dependent laws of large numbers, are discussed |
| 主题 | Risk, Modeling, Policy (RMP) ; Social Security Reform (SSR) |
| 关键词 | Stochastic Optimization, Catastrophic Risk, Portfolio Selection, Ruin Probability, Nonsmooth Risk Functions, Adaptive Monte Carlo Optimization, Path-Dependent Laws Of Large Numbers, |
| URL | http://pure.iiasa.ac.at/id/eprint/6038/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/127960 |
| 推荐引用方式 GB/T 7714 | Ermoliev YM,Ermolieva TY,MacDonald GJ,et al. Insurability of catastrophic risks: The stochastic optimization model.. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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