英文标题：
《Modeling catastrophic deaths using EVT with a microsimulation approach
to reinsurance pricing》
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作者：
Matias Leppisaari
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最新提交年份：
2013
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英文摘要：
Recently, a marked Poisson process (MPP) model for life catastrophe risk was proposed in [6]. We provide a justification and further support for the model by considering more general Poisson point processes in the context of extreme value theory (EVT), and basing the choice of model on statistical tests and model comparisons. A case study examining accidental deaths in the Finnish population is provided. We further extend the applicability of the catastrophe risk model by considering small and big accidents separately; the resulting combined MPP model can flexibly capture the whole range of accidental death counts. Using the proposed model, we present a simulation framework for pricing (life) catastrophe reinsurance, based on modeling the underlying policies at individual contract level. The accidents are first simulated at population level, and their effect on a specific insurance company is then determined by explicitly simulating the resulting insured deaths. The proposed microsimulation approach can potentially lead to more accurate results than the traditional methods, and to a better view of risk, as it can make use of all the information available to the re/insurer and can explicitly accommodate even complex re/insurance terms and product features. As an example we price several excess reinsurance contracts. The proposed simulation model is also suitable for solvency assessment.
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中文摘要：
最近，在[6]中提出了一个生命巨灾风险的标记泊松过程（MPP）模型。通过在极值理论（EVT）的背景下考虑更一般的泊松点过程，并基于统计检验和模型比较来选择模型，我们为模型提供了理由和进一步的支持。本文还提供了一个调查芬兰人口意外死亡的案例研究。通过分别考虑小事故和大事故，进一步扩展了巨灾风险模型的适用性；由此产生的组合MPP模型可以灵活地捕捉意外死亡计数的整个范围。利用所提出的模型，我们提出了一个模拟框架的定价（人寿）巨灾再保险，基于建模的基本政策，在个人合同的水平。这些事故首先是在人口水平上模拟的，然后通过明确模拟由此产生的保险死亡来确定它们对特定保险公司的影响。与传统方法相比，拟议的微观模拟方法可能会产生更准确的结果，并更好地了解风险，因为它可以利用再保险公司/保险公司可获得的所有信息，并且可以明确地适应甚至复杂的再保险/保险条款和产品特征。例如，我们为几个超额再保险合同定价。该仿真模型也适用于偿付能力评估。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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