Next Article in Journal
A User-Friendly Algorithm for Detecting the Influence of Background Risks on a Model
Previous Article in Journal
Optimum Technology Product Life Cycle Technology Innovation Investment-Using Compound Binomial Options
Article Menu
Issue 3 (September) cover image

Export Article

Open AccessArticle
Risks 2018, 6(3), 99; https://doi.org/10.3390/risks6030099

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

1
Département de Mathématique, Université Libre de Bruxelles, Campus de la Plaine C.P. 210, B-1050 Bruxelles, Belgique
2
ISFA, Université Lyon 1, LSAF EA2429, 50 Avenue Tony Garnier, F-69007 Lyon, France
3
Department of Mathematics, University of Leicester, University Road, Leicester LE1 7RH, UK
*
Author to whom correspondence should be addressed.
Received: 30 July 2018 / Revised: 24 August 2018 / Accepted: 11 September 2018 / Published: 14 September 2018
Full-Text   |   PDF [897 KB, uploaded 14 September 2018]

Abstract

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. View Full-Text
Keywords: non-life insurance; reserve process; ruin probability; quantum mechanics; Hamiltonian; path-integral; econophysics; learning techniques; data analysis non-life insurance; reserve process; ruin probability; quantum mechanics; Hamiltonian; path-integral; econophysics; learning techniques; data analysis
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).
SciFeed

Share & Cite This Article

MDPI and ACS Style

Lefèvre, C.; Loisel, S.; Tamturk, M.; Utev, S. A Quantum-Type Approach to Non-Life Insurance Risk Modelling. Risks 2018, 6, 99.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top