Discrete-time surplus process for takaful insurance with multiple threshold levels

Download
index.pdf
2016
Achlak, Arham
Show full item record
203
views
114
downloads
Takaful is a type of insurance system whose participants contribute a certain sum of money to a common pool in order to guarantee each other against predefined losses. Over the past few years, the global Takaful industry has maintained solid growth trajectory with significant untapped potential across several markets. For this reason, there have been numerous researches conducted on the efficiency of Takaful system, but only few of them approach its actuarial aspect. This study aims to construct a new risk model representing Takaful framework in order to develop a recursive computational procedure for some ruin-related quantities calculation associated with Takaful insurance. We consider a discrete-time Sparre Andersen model which incorporates multiple threshold levels functioning as trigger points for investment activities, loan undertakings, and dividend payments. We analyze the effectiveness of Takaful insurance by comparing its finite-time ruin probabilities and expected total discounted dividends with its conventional counterpart. Additionally, we investigate several numerical results for different Takaful business models/forms and make observations concerning the impact of some parameters used in our risk model on the ruin-related quantities. 
Insurance., Dividends., Insurance, Insurance
http://etd.lib.metu.edu.tr/upload/12620617/index.pdf
https://hdl.handle.net/11511/26160
Graduate School of Applied Mathematics, Thesis

Suggestions

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 surplus processes with VaR AND CVaR simulations in actuarial applications
Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016)
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 mo...
Reinsurance pricing using exposure curve of two dependent risks
Akarsu, Gülçin; Kestel, Sevtap Ayşe; Lourdes Centeno, Maria de; Department of Actuarial Sciences (2018)
It is known that experience rating and exposure rating are used for insurance and reinsurance pricing by many practitioners. One of the main tools of exposure rating which is commonly used is exposure curves. It evaluates the percents of pure risk premium shared by insurer and reinsurer. In practice, the exposure curves which depend solely on claim history are widely utilized as an important indicator to determine the price and retention level based on the preferences and strategies of the insurer and reins...
Pricing and risk minimizing hedging strategies for multiple life unit linked insurance policies using constant proportion portfolio insurance approach
Jafarova, Vafa; Gebizlioğlu, Ömer L.; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2015)
A unit-linked life insurance policy (ULIP) is an agreement between an insurer and an insured that the insurance benefits or the obligations of the insurance company depend on the price of some specified stocks. As opposed to the classical life insurance, the payments to be paid at the occurrence of risk or at the end of the period of a unit linked life insurance contract can not be known at the time the policy is sold. Therefore, the benefits are random and unknown in advance, and based on this the obligati...
The Comparison of risk measures on claim distributions: Turkish motor insurance case
Telkes, Cansu; Kestel, Sevtap Ayşe; Tank, Fatih; Department of Actuarial Sciences (2018)
In this thesis, the impact of various risk measures on pricing methodology of automobile insurance product by using the historical claim data which is obtained from one of the most reputable insurance company in Turkey is investigated. To model the distribution of claim experience for pricing methodology, four right skewed distributions are chosen, namely Gamma, Weibull, Lognormal and Pareto. Two classical methods, which are methods of moment estimation and maximum likelihood estimation, are used to estimat...
Citation Formats
A. Achlak, “Discrete-time surplus process for takaful insurance with multiple threshold levels,” M.S. - Master of Science, Middle East Technical University, 2016.
METU IIS - Integrated Information Service open@metu.edu.tr