Journal of the Korean Society for Industrial and Applied Mathematics

  • 제16권2호
  • /
  • Pages.137-149
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  • 2012
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  • 1226-9433(pISSN)
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  • 1229-0645(eISSN)
한국산업응용수학회 (Korean Society for Industrial and Applied Mathematics)
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An efficient algorithm to measure the insurance risk of casuality insurance company using VaR methodology

  • 투고 : 2011.11.08
  • 심사 : 2012.05.30
  • 발행 : 2012.06.25
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초록

We propose an efficient method to measure the insurance risk of causality insurance companies by using the CreditRisk+ methodology. This method is superior to previous methods in several aspects. Its computation speed is very fast and the input data form is simple. It is able to aggregate both credit risk and insurance risk, so the insurance company can manage the risk in combined manner. In this paper, we propose a mathematical method to obtain the aggregate loss distribution of portfolios having correlation among products or business lines as a general case, and then suggest its implementation algorithm. Finally we apply this method to the real data from Korea Insurance Development Institute (KIDI) and discuss its availability to real applications.

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참고문헌

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  3. Credit Suisse Financial Products, "CreditRisk+: A Credit Risk Management Framework", London, 1997
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