[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.12941/jksiam.2012.16.2.137

An efficient algorithm to measure the insurance risk of casuality insurance company using VaR methodology

Ban, Joon-Hwa (Fnpricing Inc.)
Hwang, Hyun-Cheol (Gargoyle Group)
Ki, Ho-Sam (Kis Pricing Inc.)

Publication Information

Journal of the Korean Society for Industrial and Applied Mathematics / v.16, no.2, 2012 , pp. 137-149 More about this Journal

Abstract

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.

Keywords

Insurance risk; VaR methodology; credit risk;

Citations & Related Records

Reference

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