Construction of Multistage Scenario Tree for Insurance Activity

Chapter
Part of the Studies in Computational Intelligence book series (SCI, volume 681)

Abstract

In the paper a stochastic asset model can be used for long term financial planning and observations in insurance. The scenario model is developed for the case when the large number of scenarios is generated and represents the uncertainty of stochastic parameters. The paper presents the construction the multistage scenario tree using the clustering-based approach. It is implemented on sampled data of nominal interest rate according to accepted stochastic model.

Keywords

Scenario generation Stochastic model Uncertainty Scenarios Multistage scenario tree Cluster analysis 

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Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  1. 1.Department of MathematicsTechnical UniversityVarnaBulgaria

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