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

Volume

1

fYear

2003

fDate

7-10 Dec. 2003

Firstpage

249

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Simulation Conference, 2003. Proceedings of the 2003 Winter

Print_ISBN

0-7803-8131-9

Type

conf

DOI

10.1109/WSC.2003.1261431

Filename

1261431