Abstract
In this study, VaR (Value-at-Risk) risk measure which is commonly used in financial sector in recent years, are
analyzed by minimizing cedent’s total risk of exposure using Monte Carlo Stochastic optimization method, with
calculating the optimal retention limit in terms of expected and standart deviation premium principles under
the stop loss reinsurance contract for the cedent. Thus, it is revealed that, in the circumstances, when analytic
solution is not achieved, the optimal retention limit can be achieved by Monte Carlo optimization method.
Keywords
Reinsurance Stop loss Optimal retention limit Value-at-Risk (VaR) Monte Carlo optimization Stochastic optimization.
References
- A. Balbas, B. Balbas, and A. Heras, 2009, Optimal Reinsurance with General Risk Measures, Insurance: Mathematics and Economics, 44, 374-384.
- N. L. Bowers, H. U. Gerber, J. C. Hickman, D. A. Jones, C. J. Nesbitt, 1997, Actuarial Mathematics, The Society of Actuaries, USA.
- J. Cai, and K. S. Tan , 2007, Optimal Retention For a Stop-Loss Reinsurance Under the VaR and CTE Risk Measures, ASTIN Bulletin, 37(1), 93-112.
- J. Cai, K. S. Tan, C. Weng, and Y. Zhang, 2008, Optimal Reinsurance Under VaR and CTE Risk Measures, Insurance Math. and Econom., 43, 185-196.
- C. D. Daykin, T. Pentikainen, and M. Pensonen, 1994, Practical Risk Theory for Actuaries, London: Chapman and Hall.
- B. H. Dickman, and M. J. Gilman, 1987,Monte Carlo optimization, Journal of Optimization Theory and Applications, Tecnical note, Vol. 60, No 1, 149-157.
- K. Dowd, 2004, Value-at-risk, in Encyclopedia of Actuarial Science, ed. Sundt, B. and Teugels, J. (New York: John Wiley & Sons, Ltd.
- M.C. Fu, FW Glover, and J. April, Simulation optimization: a review, new developments, and applications, In: M.E. Kuhl, N.M. Steiger, J.A. Joines, editors, Proceedings of the 2005 winter simulation conference, 2005.
- M.C. Fu, C.H. Chen, and L. Shi, Some topics for simulation optimization, In: S.J. Mason, R.R. Hill, L. Mönch, O. Rose, T. Jefferson, and J.W. Fowler, editors, Proceedings of the 2008 winter simulation conference, 2008.
- T. Kaas, M. Goovaerts, J. Dhaene, and M. Denuit, 2001, Modern Actuarial Risk Theory, Kluwer Academic Publishers, Boston.
- J. Mun, 2006, Modeling Risk Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, And Optimization Techniques, New Jersey.
- K. S. Tan, C. Weng, and Y. Zhang, 2009, VaR and CTE criteria for Optimal Quota-Share and Stop-Loss Reinsurance, The North American Actuarial Journal, Volume 13, No: 4.
- V. R. Young, 2004, Premium Principles, In Encyclopedia of Actuarial Science, vol. 3, ed. J. Teugels and B. Sundt, pp. 1323-31, John Wiley.
Abstract
Bu çalmada, son yllarda finans sektöründe yaygn olarak kullanlan riske maruz de#er (Value-at-Risk,
VaR) risk ölçüsü ile toplam hasar fazlas reasürans yöntemi altnda beklenen ve standart sapma prim ilkeleri
açsndan sigortacnn maruz kalaca# toplam ödemeyi Monte Carlo stokastik optimizasyon yöntemi ile
minimize ederek sigortac için optimal saklama paynn hesaplanmas incelenmitir. Böylece analitik
çözümün elde edilemedi#i durumlarda optimal saklama paynn Monte Carlo stokastik optimizasyon yöntemi
ile elde edilebilece#i gösterilmitir.
Keywords
Reasürans Toplam hasar fazlası Optimal saklama payı Riske maruz değer (VaR) Monte Carlo optimizasyon Stokastik optimizasyon.
References
- A. Balbas, B. Balbas, and A. Heras, 2009, Optimal Reinsurance with General Risk Measures, Insurance: Mathematics and Economics, 44, 374-384.
- N. L. Bowers, H. U. Gerber, J. C. Hickman, D. A. Jones, C. J. Nesbitt, 1997, Actuarial Mathematics, The Society of Actuaries, USA.
- J. Cai, and K. S. Tan , 2007, Optimal Retention For a Stop-Loss Reinsurance Under the VaR and CTE Risk Measures, ASTIN Bulletin, 37(1), 93-112.
- J. Cai, K. S. Tan, C. Weng, and Y. Zhang, 2008, Optimal Reinsurance Under VaR and CTE Risk Measures, Insurance Math. and Econom., 43, 185-196.
- C. D. Daykin, T. Pentikainen, and M. Pensonen, 1994, Practical Risk Theory for Actuaries, London: Chapman and Hall.
- B. H. Dickman, and M. J. Gilman, 1987,Monte Carlo optimization, Journal of Optimization Theory and Applications, Tecnical note, Vol. 60, No 1, 149-157.
- K. Dowd, 2004, Value-at-risk, in Encyclopedia of Actuarial Science, ed. Sundt, B. and Teugels, J. (New York: John Wiley & Sons, Ltd.
- M.C. Fu, FW Glover, and J. April, Simulation optimization: a review, new developments, and applications, In: M.E. Kuhl, N.M. Steiger, J.A. Joines, editors, Proceedings of the 2005 winter simulation conference, 2005.
- M.C. Fu, C.H. Chen, and L. Shi, Some topics for simulation optimization, In: S.J. Mason, R.R. Hill, L. Mönch, O. Rose, T. Jefferson, and J.W. Fowler, editors, Proceedings of the 2008 winter simulation conference, 2008.
- T. Kaas, M. Goovaerts, J. Dhaene, and M. Denuit, 2001, Modern Actuarial Risk Theory, Kluwer Academic Publishers, Boston.
- J. Mun, 2006, Modeling Risk Applying Monte Carlo Simulation, Real Options Analysis, Forecasting, And Optimization Techniques, New Jersey.
- K. S. Tan, C. Weng, and Y. Zhang, 2009, VaR and CTE criteria for Optimal Quota-Share and Stop-Loss Reinsurance, The North American Actuarial Journal, Volume 13, No: 4.
- V. R. Young, 2004, Premium Principles, In Encyclopedia of Actuarial Science, vol. 3, ed. J. Teugels and B. Sundt, pp. 1323-31, John Wiley.
Details
| Primary Language | Turkish |
|---|---|
| Subjects | Engineering |
| Journal Section | Articles |
| Authors | |
| Publication Date | March 1, 2011 |
| Published in Issue | Year 2011 Volume: 4 Issue: 1 |