Insurance Portfolio Containing a Catastrophe Bond and an External Help with Imprecise Level—A Numerical Analysis
In this paper, an integrated insurer’s portfolio, which consists of a few layers of insurance and financial instruments, is numerically analysed. A future behaviour of such a portfolio is related to stochastic processes (like a random interest rate yield and uncertain catastrophic losses), therefore the Monte Carlo (MC) approach is applied. A special attention is paid to a problem of a share of catastrophe bonds in such a portfolio and to an analysis of an influence of an additional layer—an external (e.g. governmental) help. Some important measures of an insurer’s risk (like a probability of his bankruptcy) are then numerically analysed. In considered examples, apart from strictly crisp sets of parameters, also fuzzy numbers are used to model an imprecise information concerning the possible external help.
KeywordsRisk process Insurance portfolio Catastrophe bond Monte Carlo simulations Probability of ruin Governmental help Fuzzy numbers
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