Insurance and Finance module

The Insurance and Finance Module adds even more insurance and finance specific features to the already extensive range of risk modeling tools within ModelRisk. The module is fully integrated into ModelRisk. Features include:

Popular financial time series forecasts:

• ARCH
• GARCH
• EGARCH
• APARCH
• Multivariate GBM
• Multivariate GARCH (BEKK)
• Wilkie models

Fitting of the time series models to data including:

• Simulation of statistical uncertainty of the parameters
• Goodness of fit using three information criteria (AIC, SIC, HQIC)
• Functions for returning parameter estimates, Objects or simulation
• Log likelihood calculations
• Bayesian model average tools for blending models

Aggregate insurance claim calculations:

• De Pril
• Fast Fourier transform
• Panjer
• Multivariate fast Fourier transform
• Aggregate Product (simulate aggregation of claims based on products of variables)
• Aggregate Tranche (simulate exposure to different tranches simultaneously)

Classical portfolio optimization
Insurance fund ruin and depletion tools
Stochastic dominance tool
Eigenvalue and eigenvector calculations
Mean excess calculations
Insurance principle calculations (expected value, standard deviation, risk adjusted, Esscher)
Runoff triangle simulation

Deduct tool for modeling insurance payouts with a deductible and/or limit.	Fast Fourier, Panjer and De Pril tools for modeling aggregate claim costs. Includes checks against theoretical moments
Multivariate Fast Fourier transforms for claim portfolios. Calculate exceedance probabilities, quantiles, moments, etc. directly	Simulate and fit to data univariate and multivariate financial time series models.