I am a second-year graduate student in the Department of Computational Mathematics, the Novosibirsk State University. My recent research includes Monte Carlo Methods,
Insurance Theory and Actuarial Mathematics.
Research & Projects
Monte-Carlo Methods For Computation Of Insurance Companies’ Credit Risk (Motor insurance)
In this study, I developed a statistical algorithm for calculating the risk of insurance companies, depending on the frequency of insurance claims and the value of payouts. A mathematical model for calculating the dynamics of profits and losses of the insurance company (for example, motor insurance) is represented as a random moment of the insured event and the size of the random variable pay for insurance. There has been developed a program calculating the risk and profits of insurance companies.
The results were published on XLVII International Scientific Students Conference, Mathematics, 2009.
To simulate the dynamics of profits and losses of companies engaged in life insurance, you need to develop custom algorithms for simulating random variables for different “curve of deaths” (models of de Moivre, Gompertz, Makeham, Weibull).
Monte-Carlo Methods For Computation Of Insurance Companies’ Credit Risk (Life insurance)
There is a work on the development of statistical algorithms for calculating risk of insurance companies dealing with life insurance. In general, the work is similar to calculations for auto insurance. The main difficulty is the randomness of the time of death and time of payments under the insurance contract. Calculations are made for different “curves of death.”