Survey on the Fisibility of Substitution Catastrophe Securitization and Current Reinsurance in Iranian Insurance Industry

Subject Areas : Financial Knowledge of Securities Analysis

Kambiz  Peykarjou ¹ (نویسنده مسئول و طرف مکاتبات)
hanieh  davodi ² (ندارد)

Received: 2009-08-16 Accepted : 2009-11-10 Published : 2009-09-23

Keywords: Mishaps, Risk Maintenance, Reliance Based Insurance, Risk Transfer Methods, Risk Stocks, Mount Carlo Simulation, Value at Risk (VaR),

Abstract :

After 2004, Alternative Risk Transfer (ART) has been more popular in the Litriture of Financial Economics & Financial Management. For using ART, many Researches Pursue Resolution, which Minimize Claims of this Catastrophe, through Risk Distribution Cycle, or if any Profitability, find Subsititutions of ART; such as Insurance. However, we study about this, by Estimating Nnon-linear relation between Claims of Catastrophe and Insured Risk Capitals(IRC), Accounting Loss Distribution Function(LDF), given Historical Data(HD) & using Monte Carlo Simulation(MCS) and then, Stimating Value at Risk(VaR) of Conditional Loss Distribution Function of Catastroph(CLDFC), which has almost Optimal Profitability.