Mathematical modelling of risk reduction in reinsurance

[摘要] The paper presents a mathematical model of efficient portfolio formation in the reinsurance markets. The presented approach provides the optimal ratio between the expected value of return and the risk of yield values below a certain level. The uncertainty in the return values is conditioned by use of expert evaluations and preliminary calculations, which result in expected return values and the corresponding risk levels. The proposed method allows for implementation of computationally simple schemes and algorithms for numerical calculation of the numerical structure of the efficient portfolios of reinsurance contracts of a given insurance company.

[发布机构] National Research Nuclear University, MEPhl, Kashirskoe highway 31, Moscow; 115409, Russia^1

[效力级别] 数学

[关键词] Efficient portfolio;Expected return;Expected values;Expert evaluation;Insurance companies;Numerical calculation;Numerical structure;Risk reductions