Spatial Stochastic Model for Optimization Capacity of Insurance Networks Under Dependent Catastrophic Risks: Numerical Experiments

T.Y. Ermolieva, Y.M. Ermoliev and V.I. Norkin

Working Papers from International Institute for Applied Systems Analysis

Abstract: The paper proposes for the general framework for the optimization capacity of an insurance industry in responding to catastrophic risks. Explicit geographical representation allows for sufficient differentiation of property values and insurance coverages in different parts of the region and for realistic modeling of catastrophes in space and time. Numerical experiments demonstrate the possibility of stochastic optimization techniques for optimal diversification of catastrophic exposure. This is important for increasing the stability of insurers, their profits and for the financial protection of the population.

Date: 1997-06
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