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A Quantum-Type Approach to Non-Life Insurance Risk Modelling

Claude Lefèvre (), Stéphane Loisel (), Muhsin Tamturk () and Sergey Utev ()
Additional contact information
Claude Lefèvre: Département de Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, B-1050 Bruxelles, Belgique
Muhsin Tamturk: Department of Mathematics, University of Leicester, University Road, Leicester LE1 7RH, UK
Sergey Utev: Department of Mathematics, University of Leicester, University Road, Leicester LE1 7RH, UK

Risks, 2018, vol. 6, issue 3, 1-17

Abstract: A quantum mechanics approach is proposed to model non-life insurance risks and to compute the future reserve amounts and the ruin probabilities. The claim data, historical or simulated, are treated as coming from quantum observables and analyzed with traditional machine learning tools. They can then be used to forecast the evolution of the reserves of an insurance company. The following methodology relies on the Dirac matrix formalism and the Feynman path-integral method.

Keywords: non-life insurance; reserve process; ruin probability; quantum mechanics; Hamiltonian; path-integral; econophysics; learning techniques; data analysis (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2018
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Working Paper: A Quantum-Type Approach to Non-Life Insurance Risk Modelling (2018)
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