Stochastic successive approximation method for assessing the insolvency risk of an insurance company

Authors:
B. V. Norkin
Affiliations:
V. M. Glushkov Cybernetics Institute, National Academy of Sciences of Ukraine, Kiev, Ukraine
Venue:
Cybernetics and Systems Analysis
Year:
2008

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Abstract

A stochastic successive approximation method is analyzed with a view to solving risk assessment problems that are reduced to a renewal integral equation and, in particular, to assessing the insolvency risk of an insurance company. Integrals in the equation are evaluated approximately, for example, by the Monte Carlo method. Iterations of the method are proved to converge uniformly with probability one. Theoretical results are illustrated by numeral computations.