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Measurement and transfer of catastrophic risks : a simulation analysis
Recurso electrónico / electronic resource
MAP20110055202
Alba, Enrique de ‌
Measurement and transfer of catastrophic risks : a simulation analysis / Enrique de Alba, Jesús Zúñiga and Marco A. Ramírez Corzo
Sumario: When analyzing catastrophic risk, traditional measures for evaluating risk, such as the probalbe maximum loss (PML), value at risk (VaR), tail-VaR, and others, can become practically impossible to obtain analytically in certain types of insurance, such as earthquake, and certain types of reinsurance arrangements, specially non-proportional with reinstatements. Given the available information, it can ve very difficult for an insurer to measure its risk exposure
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/11/2010 Tomo 40 Número 2 - 2010
1. Transferencia de riesgos ‌. 2. Riesgos extraordinarios ‌. 3. Matemática del seguro ‌. 4. Cálculo actuarial ‌. 5. Siniestro máximo probable ‌. I. Zúñiga, Jesús ‌. II. Ramírez Corzo, Marco A. ‌.