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1 results

  • Scenario Analysis for a Multi-Period Diffusion Model of Risk

  • Vsevolod K. Malinovskii
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 39 / Issue 2 / November 2009
    Published online by Cambridge University Press:
    09 August 2013, pp. 649-676
    Print publication:
    November 2009

  • This paper extends and develops the results of a previous paper Malinovskii (2007). Dealing with a simplistic diffusion multi-year model of insurance operations, this paper illustrates the adaptive control approach when the object of control is the balance of solvency and equity. Compared to the previous paper, a new element is the “scenario of nature”, or the incomplete knowledge of future risk, which is quite often the case in insurance. It introduces a new and inevitable randomness in the model and leads to a qualitative difference in its behavior.