Regensburg 2019 – wissenschaftliches Programm

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SOE: Fachverband Physik sozio-ökonomischer Systeme

SOE 16: Networks and Systemic Risks (joint SOE/DY)

SOE 16.3: Vortrag

Donnerstag, 4. April 2019, 10:00–10:30, H17

Agent Bases Models and Complex Networks for Insurance Riskmanagement — •Magda Schiegl — University of Applied Sciences, Landshut, Germany

Riskmanagement is a main topic in insurance business with a variety of methods that are used traditionally in this field. The natural sciences develop models and methods to describe and understand complex systems. Some of the most successful developments of the last few decades are agent based models and complex networks. They have also been applied to socio-economic contexts and have been documented in a huge amount of scientific literature. We deal with the application of agent based models and complex networks in insurance business. We give a review of scientific research in these fields with special relevance for riskmanagement. Some examples that can be examined and/or modelled with this kind of methods are: risk aggregation schemes as the Solvency II tree structure in the context of networks, credit risk, pandemia, supply chain and operational risk. Further we focus on one of the few published agent based models for a typical insurance application. It is embedded in an economic context and published in an actuarial journal. We formulate it as a discrete time dynamic model and discuss it from the physic*s point of view. We compare our results with Monte Carlo simulations of the model.