Título: Measurement and transfer of catastrophic risks : a simulation analysis / Enrique de Alba, Jesús Zúñiga and Marco A. Ramírez Corzo
Autor: Alba, Enrique de
Notas: 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.
Outras classificações: 2
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