BUSINESS ENTERPRISE RISK MODEL AND METHOD

专利名称：BUSINESS ENTERPRISE RISK MODEL AND

METHOD

发明人：LUI, WILLIAM, WAI, SHING,TANG, WAI-KEUNG,LU, HUNG, JUNG

申请号：EP03735092申请日：20030131公开号：EP1479024A4公开日：20070103

摘要：A method for evaluating the risk associated with an enterprise is presented. Themethod, based on a value-at-risk approach, uses a large number of scenarios to simulatethe potential variation in the enterprise's future surplus capital based on its currentassets and liabilities, and produces a probability distribution of future surplus capital. Thescenarios are generated using quasi-Monte Carlo techniques in order to quickly achieverealistic scenarios. Each asset and each type of liability is modeled rigorously, and theeffect of credit, interest rate, insurance, currency exchange, and equity risks on thoseassets and liabilities determined. The model also allocates surplus capital by divisionaccording to the risk associated with each division. The model is particularly well-suitedfor insurance companies.

申请人：SEABURY ANALYTIC LLC

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