A Quantum-Type Approach to Non-Life Insurance Risk Modelling

Risks

Muhsin Tamturk¹  Sergey Utev¹  Claude Lefèvre²  Stéphane Loisel³ 

[1] Department of Mathematics, University of Leicester, University Road, Leicester LE1 7RH, UK;Département de Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, B-1050 Bruxelles, Belgique;ISFA, Université Lyon 1, LSAF EA2429, 50 Avenue Tony Garnier, F-69007 Lyon, France;

关键词: non-life insurance;    reserve process;    ruin probability;    quantum mechanics;    Hamiltonian;    path-integral;    econophysics;    learning techniques;    data analysis;   

DOI  :  10.3390/risks6030099

来源: DOAJ

【 摘 要 】

A quantum mechanics approach is proposed to model non-life insurance risks and to compute the future reserve amounts and the ruin probabilities. The claim data, historical or simulated, are treated as coming from quantum observables and analyzed with traditional machine learning tools. They can then be used to forecast the evolution of the reserves of an insurance company. The following methodology relies on the Dirac matrix formalism and the Feynman path-integral method.

【 授权许可】

Unknown