摘要翻译：
保险公司风险管理的一个可能的方法是在可能的破产之前建立一个早期和适当的报警系统。破产是通过总风险过程的状态来定义的，总风险过程又由保险公司的保费积累和理赔支出决定。本文的主要目的是设计一个有效的报警系统，即确定报警时间，并建议在这些时间点增加适当数量的资本，以防止或减少破产的机会。为了公平地衡量警报系统的有效性，将每次警报响起时都增加资本的警报系统与没有任何警报但初始资本相当高的相应系统进行比较。在一般情况下得到了分析结果，并用各种损失严重度分布的模拟性能进行了验证。这提供了一个战略，以适当地分散资本，但在令人满意的水平上解决生存问题。
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英文标题：
《Alarm System for Insurance Companies: A Strategy for Capital Allocation》
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作者：
Shubhabrata Das, Marie Kratz
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement outgo for the insurance company. The main purpose of this work is to design an effective alarm system, i.e. to define alarm times and to recommend augmentation of capital of suitable magnitude at those points to prevent or reduce the chance of ruin. To draw a fair measure of effectiveness of alarm system, comparison is drawn between an alarm system, with capital being added at the sound of every alarm, and the corresponding system without any alarm, but an equivalently higher initial capital. Analytical results are obtained in general setup and this is backed up by simulated performances with various types of loss severity distributions. This provides a strategy for suitably spreading out the capital and yet addressing survivability concerns at satisfactory level.
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PDF链接：
https://arxiv.org/pdf/1006.5473