Page 583 - 8th European Congress of Mathematics ∙ 20-26 June 2021 ∙ Portorož, Slovenia ∙ Book of Abstracts
P. 583
MATHEMATICAL CHALLENGES IN INSURANCE (MS-41)
The modelling starts from an appropriate identification and representation of the main risks
affecting the assets and liabilities. These risk factors need to be described by means of stan-
dalone theoretical or empirical distributions, and the dependency structure that delineates their
mutual interactions has then to be established and modelled, typically by using a Copula ap-
proach. Finally, the functional relationship between the risk factors and the movement of the
values of assets and liabilities detained by the company needs is determined in order to derive
the correspondent distribution of the potential losses of the Own Fund.
The model heavily relies on numerical procedures, like Monte Carlo simulations, that have
been implemented at many levels to address the lack of closed-form solutions for most of the
quantities that need to be evaluated. The techniques applied to overcome the computational
challenges underlying these numerical methods will be described, focusing on the procedures
adopted to ensure their computational efficiency, numerical stability and robust convergence.
581
The modelling starts from an appropriate identification and representation of the main risks
affecting the assets and liabilities. These risk factors need to be described by means of stan-
dalone theoretical or empirical distributions, and the dependency structure that delineates their
mutual interactions has then to be established and modelled, typically by using a Copula ap-
proach. Finally, the functional relationship between the risk factors and the movement of the
values of assets and liabilities detained by the company needs is determined in order to derive
the correspondent distribution of the potential losses of the Own Fund.
The model heavily relies on numerical procedures, like Monte Carlo simulations, that have
been implemented at many levels to address the lack of closed-form solutions for most of the
quantities that need to be evaluated. The techniques applied to overcome the computational
challenges underlying these numerical methods will be described, focusing on the procedures
adopted to ensure their computational efficiency, numerical stability and robust convergence.
581
