On the Actuarial Simulation of the General Pareto Distribution of Catastrophe Loss

Abstract

Precisely estimation of Cat-loss is not only the foundation of risk analysis, but also the premise of product design and the practice of insurance compensation. The law of large numbers generally assumes risks have normal distributions, which reduces the accuracy of damage assessment and influences the pricing of cat-insurance due to negligence of the extreme value at both sides of the distribution. Data of more than 100 million Yuan of earthquake disaster loss from 1969-2014 presents the characteristics of right skewed peak, excess kurtosis and heavy tail. Furthermore, the comparison of QQ plot, parameter estimation as well as test of model parameters between N-distribution, E-distribution, W-distribution and P-distribution shows that the generalized Pareto distribution fits the earthquake loss perfectly, and significantly improves the estimate precision.

Research on the Risk Measurement Algorithm of Supply Chain Order Financing Based on Insurance Actuarial

“…e second is the research on the market risk, liquidity risk, and pledge rate setting of inventory financing mode of supply chain finance. At present, many scholars in domestic theoretical circles have used VaR for risk measurement of inventory pledge financing; for example, Li Yixue (2010) studied the setting of inventory advisory pledge rate and inventory financing market risk [9]; Chen Baofeng et al (2009) studied inventory financing liquidity risk. en there is a study on the risk of accounts receivable financing model.…”

“…Based on the importance of order financing business, this paper will apply the principle of Jin Christmas engineering, use the modern Jin Christmas engineering risk measurement model, analyze and discuss the operational risk, credit risk, and exchange rate risk factors of coincidental order financing in tracing country trade, analyze the problem of risk identification and measurement of supply chain finance in multinational supply chain from the bank's point of view, and calculate the risk measurement for coincidental order financing by means of calculation examples and the analysis and calculation of the risk measurement of the supply chain finance from the bank's perspective [9]. Also, the modern tools for measuring the financial engineering risk are introduced, which are used to measure the supply chain finance's financial risk.…”