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Insurance Portfolio Containing a Catastrophe Bond and an External Help with Imprecise Level—A Numerical Analysis

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Advances in Fuzzy Logic and Technology 2017 (EUSFLAT 2017, IWIFSGN 2017)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 643))

Abstract

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.

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Authors and Affiliations

  1. Systems Research Institute, Polish Academy of Sciences, ul. Newelska 6, 01-447, Warszawa, Poland

    Maciej Romaniuk

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  1. Maciej Romaniuk
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Correspondence to Maciej Romaniuk .

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Editors and Affiliations

  1. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Janusz Kacprzyk

  2. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Eulalia Szmidt

  3. Systems Research Institute, Polish Academy of Sciences, Warsaw, Poland

    Slawomir Zadrożny

  4. Institute of Biophysics and Biomedical Engineering, Department of Bioinformatics and Mathematical Modelling, Bulgarian Academy of Sciences, Sofia, Bulgaria

    Krassimir T. Atanassov

  5. WIT - Warsaw School of Information Technology, Warsaw, Poland

    Maciej Krawczak

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Romaniuk, M. (2018). Insurance Portfolio Containing a Catastrophe Bond and an External Help with Imprecise Level—A Numerical Analysis. In: Kacprzyk, J., Szmidt, E., Zadrożny, S., Atanassov, K., Krawczak, M. (eds) Advances in Fuzzy Logic and Technology 2017. EUSFLAT IWIFSGN 2017 2017. Advances in Intelligent Systems and Computing, vol 643. Springer, Cham. https://doi.org/10.1007/978-3-319-66827-7_23

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  • DOI: https://doi.org/10.1007/978-3-319-66827-7_23

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-66826-0

  • Online ISBN: 978-3-319-66827-7

  • eBook Packages: EngineeringEngineering (R0)

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