Stochastic risk assessment of an insurance portfolio underrenewal process with VaR and CVaR as initial capital

2017-09-04
2nd International Conference on Computational Finance

Suggestions

Stochastic Surplus Process and Constrained Portfolio Optimisation with VaR and CVaR
Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe (2016-09-05)
Stochastic surplus process and constrained portfolio optimization with VaR and CVaR
Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe (null; 2016-09-08)
STOCHASTIC EMERGENCY MEDICAL SERVICE VEHICLE LOCATION PROBLEM: EQUITY, PERFORMANCE EVALUATION AND MATHEMATICAL MODELS
Akdoğan, Muharrem Altan; Bayındır, Zeynep Pelin; İyigün, Cem; Department of Industrial Engineering (2023-1-23)
In this thesis, emergency medical service (EMS) vehicle location problem with uncertainties in demand, travel times, and incident handling time is studied in three layers. The performance measures of EMS systems are evaluated with discrete event simulation models due to the uncertainties incorporated. Firstly, we focus on the equity in service quality resulting from vehicle location decisions in emergency medical services. We address the unbalanced service quality among regions with respect to various mathe...
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...
STOCHASTIC MODELING OF STOP-LOSS REINSURANCE AND EXPOSURE CURVES UNDER TIME DEPENDENT STRUCTURE
Mert, Özenç Murat; Kestel, Sevtap Ayşe; Department of Financial Mathematics (2022-12-2)
Insurance markets play an essential role in the economy of the world and its structure requires reinsurance policies due to the growth in populations, extreme (catastrophic) events, political and economical perspectives. In this thesis, stop-loss contracts, one of the reinsurance policy types, are covered for two different contract types: (i) contracts with retention and (ii) contracts with both retention and cap (maximum). This thesis covers two different methodologies, distributional and stochastic behavi...
Citation Formats
M. Şimşek and Ö. Uğur, “Stochastic risk assessment of an insurance portfolio underrenewal process with VaR and CVaR as initial capital,” presented at the 2nd International Conference on Computational Finance, 2017, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/90422.