, which are commonly used in risk analysis, and illustrate our novel risk measure using a Monte Carlo simulation. … much money should a government hold to prepare for natural or human-made extreme risk events that the government will cover …? Although the ruin theory is commonly used for extreme risk events, we suggest a new risk measure to deal with such events in a …

We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the … problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from … their investors, and use either reinsurance contracts or cat bonds to hedge their tail risk. The model generates plausible …