Optimal Premium allocation understop-loss insurance using exposure curves

Download
2022-1-01
Mert, Özenç Murat
Kestel, Ayşe Sevtap
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.
HACETTEPE JOURNAL OF MATHEMATICS AND STATISTICS

Suggestions

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
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.