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Time Dependent Stop-Loss Reinsurance and Exposure Curves
Date
2021-07-09
Author
Mert, Özenç Murat
Kestel, Sevtap Ayşe
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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URI
https://ime-2021.pages.math.illinois.edu/program-book/
https://hdl.handle.net/11511/94768
Conference Name
Virtual 24th International Congress on Insurance: Mathematics and Economics
Collections
Graduate School of Applied Mathematics, Conference / Seminar
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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...
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Ö. M. Mert and S. A. Kestel, “Time Dependent Stop-Loss Reinsurance and Exposure Curves,” presented at the Virtual 24th International Congress on Insurance: Mathematics and Economics, Amerika Birleşik Devletleri, 2021, Accessed: 00, 2021. [Online]. Available: https://ime-2021.pages.math.illinois.edu/program-book/.