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Regular version of the site

Book chapter

Анализ актуарных стохастических моделей

С. 28-35.
Волкова В. В., Миронкина Ю. Н.

Investment income is one of the most important source of income for an insurance company, but since the investment process implies handling serious risks, the investment policy of global insurance faces extremely high requierements. The objective of the study was to investigate the risk of ‘ruin’ and to evaluate the probability that an insurer will become insolvent through fitting the Wilkie stochastic investment model (A.D.Wilkie, 1986; 1995) on the indicators influencing the performance of insurance companies in Russian Federation. The paper describes how these models can be applied taking into account the features of the Russian economy and the insurance market.