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
Stochastic surplus processes with VaR AND CVaR simulations in actuarial applications
Download
index.pdf
Date
2016
Author
Şimşek, Meral
Metadata
Show full item record
Item Usage Stats
341
views
122
downloads
Cite This
The theory of ruin is a substantial study for those who are interested in financial survival probability based on the patterns imposed by the surplus process, which determines the insurer’s capital balance at a given time. In other words, fluctuations in aggregate claims as well as premiums in such processes can be secured by a certain capital. In this study, we simulate various surplus processes under different claim sizedistribution assumptions and extend the analyses by adding perturbation of a Brownian motion in order to capture the possible uncertainty on aggregate claims as well as premiums. The capital, which is required to prevent an insurance company from possible losses, is achieved by using the capital-based risk measures,such as the Value-at-Risk (VaR) and the Conditional Value-at-Risk (CVaR) associated to the surplus process. Findings of the thesis fill a gap in the related literature, especially for the claim size distributions whose closed-form expressions for the ruin probabilities cannot be obtained. This study sheds light on practitioners who allocate capital by means of VaR and CVaR when ruin is considered.
Subject Keywords
Risk management.
,
Stochastic processes.
,
Insurance
,
Insurance
URI
http://etd.lib.metu.edu.tr/upload/12620152/index.pdf
https://hdl.handle.net/11511/25769
Collections
Graduate School of Applied Mathematics, Thesis
Suggestions
OpenMETU
Core
Valuation of life insurance contracts using stochastic mortality rate and risk process modeling
Çetinkaya, Şirzat; Hayfavi, Azize; Department of Financial Mathematics (2007)
In life insurance contracts, actuaries generally value premiums using deterministic mortality rates and interest rates. They have ignored them stochastically in most of the studies. However it is known that neither interest rates nor mortality rates are constant. It is also known that companies may encounter insolvency problems such as ruin, so the ruin probability need to be added to the valuation of the life insurance contracts process. Insurance companies should model their surplus processes to price som...
Stochastic optimal control theory: new applications to finance and insurance
Akdoğan, Emre; Yolcu Okur, Yeliz; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
In this study, the literature, recent developments and new achievements in stochastic optimal control theory are studied. Stochastic optimal control theory is an important direction of mathematical optimization for deriving control policies subject to timedependent processes whose dynamics follow stochastic differential equations. In this study, this methodology is used to deal with those infinite-dimensional optimization programs for problems from finance and insurance that are indeed motivated by the real l...
Actuarial present value and variance for changing mortality and stochastic interest rates
Yıldırım, Bükre; Kestel, Sevtap Ayşe; Coşkun-Ergökmen, N. Gülden (2017-01-01)
Stochastic modeling of interest rates is expected to lead a better risk management in long-term investments due to the rapid changes and random fluctuations in the economies. Considering the fact that deterministic interest rate approach does not yield realistic future values, a country-specific stochastic model is aimed to fit the interest rates based on the United States Treasury Inflation Protected Securities (TIPS) at 10-year constant maturity by using time series techniques. Under the assumption that i...
Empirical comparison of portfolio risk diversification algorithms
Yerli, Çiğdem; Kestel, Sevtap Ayşe; Schindler, Nilüfer; Department of Financial Mathematics (2018)
The enhanced correlations during global financial crisis has revealed that simple asset allocation portfolios prove to be not well-diversified across different risk factors, which makes the risk based asset allocation strategies popular. However, the strategies still construct the risk concentrated portfolios due to the correlation among the asset classes. As a result, risk allocation among uncorrelated risk factors instead of risk allocation among asset classes have become widely used. This thesis aims to di...
Stochastic modeling of accident risks associated with an underground coal mine in Turkey
Sari, Mehmet; Kestel, Sevtap Ayşe; Karpuz, Celal; Duzgun, H. Sebnem B. (2009-01-01)
In this study, a methodology is proposed towards development of all uncertainty model that includes randomness in the occurrence of days-lost accidents in a coal mine. The accident/injury data consists of 1390 days-lost accident cases recorded at GLI-Tuncbilek underground lignite mine from January 1994 to December 2002. In the first step of proposed methodology, the frequency and the severity of the accidents have been modeled statistically by fitting appropriate distributions. The test done by BestFit soft...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
M. Şimşek, “Stochastic surplus processes with VaR AND CVaR simulations in actuarial applications,” M.S. - Master of Science, Middle East Technical University, 2016.
