Title :
Applications of simulation models in finance and insurance
Author :
Herzog, Thomas N. ; Lord, Graham
Author_Institution :
Office of Evaluation, U.S. Dept. of Housing & Urban Dev., Washington, DC, USA
Abstract :
We describe a number of applications of simulation methods to practical problems in finance and insurance. The first entails the simulation of a two-stage model of a property-casualty insurance operation. The second application simulates the operation of an insurance regime for home equity conversion mortgages (also known as reverse mortgages). The third is an application of simulation in the context of Value at Risk, a widely-used measure for assessing the performance of portfolios of assets and/or liabilities. We conclude with an application of simulation in the testing of the efficient market hypothesis of the U.S. stock market.
Keywords :
digital simulation; insurance data processing; mortgage processing; risk analysis; stock markets; US stock market; Value at Risk; assets; finance; home equity conversion mortgages; insurance regime; liabilities; market hypothesis; portfolio performance assessment; property-casualty insurance operation; reverse mortgages; simulation methods; simulation model applications; two-stage model; Context modeling; Density functional theory; Finance; Frequency; Insurance; Loans and mortgages; Portfolios; Predictive models; Random variables; Tail;
Conference_Titel :
Simulation Conference, 2003. Proceedings of the 2003 Winter
Print_ISBN :
0-7803-8131-9
DOI :
10.1109/WSC.2003.1261431
