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Quantum Computing in Insurance Capital Modelling

Author

Listed:
  • Muhsin Tamturk

    (Department of Mathematics, University of Leicester, Leicester LE1 7RH, UK)

Abstract

This paper proposes a quantum computing approach for insurance capital modelling. Using an open-source software development kit, Qiskit, an algorithm for working on a superconducting type IBM quantum computer is developed and implemented to predict the capital of insurance companies in the classical surplus process. With the fundamental properties of quantum mechanics, Dirac notation and Feynman’s path calculation are shown. Furthermore, custom quantum insurance premium and claim gates are investigated in order to build a quantum circuit with respect to initial reserve, premium and claim amounts. Some numerical results are presented and discussed at the end of the paper.

Suggested Citation

  • Muhsin Tamturk, 2023. "Quantum Computing in Insurance Capital Modelling," Mathematics, MDPI, vol. 11(3), pages 1-13, January.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:3:p:658-:d:1049124
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    References listed on IDEAS

    as
    1. Dickson,David C. M., 2016. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9781107154605.
    2. Muhsin Tamturk & Dominic Cortis & Mark Farrell, 2020. "Examining the Effects of Gradual Catastrophes on Capital Modelling and the Solvency of Insurers: The Case of COVID-19," Risks, MDPI, vol. 8(4), pages 1-13, December.
    3. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
    4. Claude Lefèvre & Stéphane Loisel & Muhsin Tamturk & Sergey Utev, 2018. "A Quantum-Type Approach to Non-Life Insurance Risk Modelling," Risks, MDPI, vol. 6(3), pages 1-17, September.
    5. Nie, Ciyu & Dickson, David C. M. & Li, Shuanming, 2011. "Minimizing the ruin probability through capital injections," Annals of Actuarial Science, Cambridge University Press, vol. 5(2), pages 195-209, September.
    6. Tamturk, Muhsin & Utev, Sergey, 2018. "Ruin probability via Quantum Mechanics Approach," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 69-74.
    Full references (including those not matched with items on IDEAS)

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