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
Reinsurance pricing using exposure curve of two dependent risks
Download
index.pdf
Date
2018
Author
Akarsu, Gülçin
Metadata
Show full item record
Item Usage Stats
367
views
319
downloads
Cite This
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 reinsurer. The aim of this study is to present exposure curves, their use and statistical distribution for single risk and then develop a theoretical distribution for bivariate case when two risk sources generating claims behave under dependent assumption. Bivariate Pareto distribution constructed is employed to generate exposure curves performing simulation with respect to their parameters. Sensitivity of curves to the different values of parameters are investigated and compared for better estimations. The findings of this thesis show that the joint statistical distribution for dependent risks yield meaningful exposure curves which may be easily implemented to practical use.
Subject Keywords
Insurance.
,
Reinsurance.
,
Insurance
,
Insurance
URI
http://etd.lib.metu.edu.tr/upload/12622336/index.pdf
https://hdl.handle.net/11511/27497
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...
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...
Discrete-time surplus process for takaful insurance with multiple threshold levels
Achlak, Arham; Kestel, Sevtap Ayşe; Tank, Fatih; Department of Actuarial Sciences (2016)
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 ...
INDEMNITY PAYMENTS IN AGRICULTURAL INSURANCE: RISK EXPOSURE OF EU STATES
Yildirak, Kasirga; Gülseven, Osman (2012-01-01)
This study estimates the risk contributions of individual European countries regarding the indemnity payments in agricultural insurance. We model the total risk exposure as an insurance portfolio where each country is unique in terms of its risk characteristics. The data has been collected from the recent surveys conducted by the European Commission and the World Bank. Farm Accountancy Data Network is used as well. 22 out of 26 member states are included in the study. The results suggest that the Euro-Medit...
Risk premium estimation in MTPL insurance using copula: Turkey case
Usta, Erdener; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016)
Motor third part liability (MTPL) insurance has a significant share among non-life or property- casualty insurance businesses in Turkey. Like most countries, it is compulsory while the premium is determined in the competitive market by companies contrary to the few other countries where regulator sets the rates. In this study,the present value of the mean pure premium per policy is estimated based on the simulations using Clayton copula probability distribution function which also defines the dependence struc...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
G. Akarsu, “Reinsurance pricing using exposure curve of two dependent risks,” M.S. - Master of Science, Middle East Technical University, 2018.
