파산확률에 근거한 보험정책의 분석 = Insurance policy analysis based on ruin probability

다국어 초록 (Multilingual Abstract)

The increasing vulnerability of the modern society to natural and human-made disasters and the deregulation in insurance industry increase risks taken by an insurance company. In order to systematically manage risks, more accurate decision based on quantitative analysis seems to be desirable. Ruin probability can be a fundamental measure for that purpose. But the accurate computation of ruin probability has been remained as a very complicated problem. In this study, we provide various approximation techniques to compute ruin probability and demonstrate procedures to analyze insurance policies based on the ruin probability. The stochastic approach explained in this study can be used not only to figure out solvency margin and safety loading in a insurance policy but also to set retention limit of a reinsurance plan.