Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Open Access Guideline
Open Access Guideline
Postgraduate Thesis Guideline
Postgraduate Thesis Guideline
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
Optimal Premium allocation understop-loss insurance using exposure curves
Download
index.pdf
Date
2022-1-01
Author
Mert, Özenç Murat
Kestel, Ayşe Sevtap
Metadata
Show full item record
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
.
Item Usage Stats
167
views
55
downloads
Cite This
Determining the retention level in the stop-loss insurance risk premium for both insurerand reinsurer is an important factor in pricing. This paper aims to set optimal reinsurancewith respect to the joint behavior of the insurer and the reinsurer under stop-loss contracts.The dependence between the costs of insurer and reinsurer is expressed as a function ofretention (d) and maximum-cap (m) levels. Based on the maximum degree of correlation,the optimal levels for d and m are derived under certain claim distributions (Pareto,Gamma and Inverse Gamma). Accordingly, the risk premium and exposure curves forboth parties are based on the selected distributions. Quantification of the premium shareover derived exposure curves based on the optimized retention and maximum levels andthe maximum loss risk is obtained using VaR and CVaR as risk measures.
Subject Keywords
Stop-loss reinsurance
,
Optimal retention
,
Optimal cap
,
Premium share
,
Exposure curves
,
Risk measures
URI
https://hdl.handle.net/11511/102471
Journal
HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
DOI
https://doi.org/10.15672/hujms.xx
Collections
Graduate School of Applied Mathematics, Article
Suggestions
OpenMETU
Core
Optimal premium allocation under stop-loss insurance using exposure curves
Mert, Özenç Murat; Kestel, Sevtap Ayşe (2021-11-01)
Determining the retention level in the stop-loss insurance risk premium for both insurer and reinsurer is an important factor in pricing. This paper aims to set optimal reinsurance with respect to the joint behavior of the insurer and the reinsurer under stop-loss contracts. The dependence between the costs of insurer and reinsurer is expressed as a function of retention (d) and maximum-cap (m) levels. Based on the maximum degree of correlation, the optimal levels for d and m are derived under certain claim...
Optimal premium allocation under stop-loss insurance using exposure curves
Mert, Özenç Murat; Kestel, Sevtap Ayşe (2022-1-01)
Determining the retention level in the stop-loss insurance risk premium for both insurer and reinsurer is an important factor in pricing. This paper aims to set optimal reinsurance with respect to the joint behavior of the insurer and the reinsurer under stop-loss contracts. The dependence between the costs of insurer and reinsurer is expressed as a function of retention (d) and maximum-cap (m) levels. Based on the maximum degree of correlation, the optimal levels for d and m are derived under certain claim...
Time dependent stop-loss reinsurance and exposure curves
Mert, Özenç Murat (2021-06-01)
Stop-loss contracts are the most commonly used reinsurance agreements in insurance whose important factors are the retention and the maximum (cap) values attained on the random loss, which may occur within the policy period. Therefore, determining and forecasting the loss amounts is an important issue for both the insurer and the reinsurer. Along with many approaches in actuarial literature, we propose a geometric Brownian motion (BM) with the time-varying parameters to capture the time-dependent loss amoun...
Constant proportion portfolio insurance in defined contribution pension plan management under discrete-time trading
TEMOÇİN, BÜŞRA ZEYNEP; KORN, Ralf; Kestel, Sevtap Ayşe (2018-01-01)
Portfolio insurance strategies are designed to protect investors against adverse market movements by providing an initially specified guarantee during the investment period. This kind of a protection mechanism is especially important for systems with long investment horizons such as pension plans. In this paper, we consider various versions of the Constant Proportion Portfolio Insurance (CPPI) method under discrete-time trading for a defined-contribution pension plan that includes regular contributions of r...
Local volatility model applied to BIST30 european warrants: pricing and hedging
Kirazoğlu, Zekiye Sıla; Sezer, Ali Devin; Department of Financial Mathematics (2016)
One of the basic observations on pricing options is that the assumption of constant volatility does not agree with data and market price data gives a volatility smile that depends on maturities and strike prices. The first model that developed to be compatible with this observation is the local volatility model. The purpose of this work is to study the performance of the local volatility model on BIST30 warrants and compare it to the standard Black Scholes model. To estimate the local volatility model from d...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
Ö. M. Mert and A. S. Kestel, “Optimal Premium allocation understop-loss insurance using exposure curves,”
HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS
, vol. 1, no. 1, pp. 1–20, 2022, Accessed: 00, 2023. [Online]. Available: https://hdl.handle.net/11511/102471.